Gold H4 · v1 configuration
1 Jan 2026 — 21 Aug 2026
Costs excluded
- Annualised return
- Strategy cumulative: +18.15% · 233 calendar daysGeometric extrapolation · not a forecastStrategy+29.86%S&P 500+19.61%
- Return / risk ratios
- Strategy: Reported CAGR / vol · NOT conventional SharpeS&P 500: daily Sharpe · √252 · risk-free rate 0Strategy0.92S&P 5001.39
- Maximum drawdown
- Strategy: based on saved observationsS&P 500: daily closes, including the pre-window baseline · not intraday lowsStrategy-16.74%S&P 500-9.10%
Strategy vs S&P 500
Matching window · annualised returnsS&P 500 cumulative: +12.11% · Cumulative gap: +6.04 percentage points above the index.
USD price return · dividends excluded. Recomputed from Yahoo Finance / ^GSPC ↗.
Read this comparison carefully. This is a market reference, not risk-matched alpha: assets, leverage and costs differ. The index excludes dividends; a total-return benchmark would differ. Strategy inputs are source-reported, not independently reconstructed.
Only six recorded trades. Missing volume changes the leverage behaviour; fills approximate the signal-bar close.
Calculation & evidence Formulas, sources & conventions
Strategy evidence
Configuration:Gold H4 · v1 configuration
The archive calls this Sharpe, but its implementation divides annualised compounded return by daily volatility, not mean excess return by volatility. This is a CAGR/volatility ratio, NOT a conventional Sharpe ratio.
Source:02_gold_v1.json · Archived simulation — not live performance. Source files are retained privately;
strategy parameters and execution logic are not published here.
Benchmark & annualisation
Daily observed trading-close returns: mean / sample standard deviation × √252; risk-free rate 0. USD price index, dividends excluded. Drawdown uses closing prices including the pre-window baseline, not intraday lows.
160 observed daily returns. Maximum drawdown peak: 27 Jan 2026; trough: 30 Mar 2026.
Baseline: 2025-12-31 close (6845.50); endpoint: 2026-08-21 close (7674.37). The last close before the window covers the opening holiday. Annualisation uses the same 233-day window as the strategy.
Annualised return = [(1 + cumulative return / 100)^(365 / days) − 1] × 100. Days include both stated dates, using UTC calendar days. Sub-year rates extrapolate the observed period; they are not earned one-year returns. Source-reported inputs remain unvalidated after annualisation. Monthly bars remain actual period returns, not annualised.