SP500 Enhanced with Gold

Congratulation to your success on the first day the system started on C2. The back tests results look great and I like the fact that you actively try to manage tail risk. I also like the way how you conduct the discussions on the forum in an informative and polite way. Your long professional career seems to shine through. Keep up the good work.

Thank you Karl. I am humbled and happy it has worked out so far. I also know that time will tell and that investing is a journey, so I want to stay focused on the model that is driving the strategy which speaks more to discipline than technical indicators. That is on my shoulders.

Welcome to C2 & thank you for sharing your expertise & strategies with us! Enhanced with gold sounds very interesting, Where do we find these backtest results? Can you add them to the strategies description?

Yes Norman I can. I submitted a description several days ago to C2 compliance for approval but they have not released it yet. I think they may be swamped.

I want to be careful what i say here because I don’t want to appear that I am hyping the strategy. People need to engage in a proper due diligence (which I encourage).

SP500 Enhanced with Gold combines two algorithm strategies:

  1. SP500 Enhanced: Using ES futures, goal is to outperform the S&P500 by identifying periods of strength and weakness and setting long or short positions accordingly. Signals are derived using optimization techniques from the price action in the previous 1 to 10 days. Most important feature is how risk is managed. I do use stops (not a big fan), but I also use OTM put options. Strategy is several years old. To avoid SEC regs, I’ll stop short of giving numbers here, but suffice it to say that the strategy is definitely on par with the top SP500 strategies I see here on C2 which are managed by some pretty smart people!

  2. Gold: Similar algorithm as the SP500 Enhanced but parameters driving the strategy are tweaked to optimize the price behavior of Gold. The overlay of gold provides additional return plus a form of diversification.

Right now I am trading one contract each of ES and GC. I am grateful that several folks have subscribed but I also realize that others will need more of a track record. That’s OK! A week does not make a successful strategy! I do have regular communication with subs and am happy to include anyone in those communiques. Just let me know! They give more insight into the algorithm and performance. In the meantime, simulating is a great way to monitor.