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macro, rates, and cross-asset strategies · 2026-07-23

Cross-asset gold regime filter

hold gold only when both gold and Treasuries are trending up

expected Sharpe 0.5–0.9confidence: mediumfree daily data

A cross-asset regime rule conditions GLD exposure on the joint 12-month momentum state of GLD and IEF, holding gold 100% only when both are positive and sitting in cash (fed funds) otherwise. Research shows only that jointly-positive state carries reliable predictive content; it materially improves Sharpe and cuts drawdown versus buy-and-hold GLD (whose standalone Sharpe is ~0.69).

Why it's relevant now

The gold-vs-real-yield relationship that held for two decades broke in 2024-2025 (gold made new highs with positive TIPS yields), making a price-based regime filter more robust than a macro-fundamental one in the current environment.

Universe

GLD (gold), IEF (7-10y Treasury) as the regime pair; cash / SHY as the out-of-regime holding.

How it works

Each month, if both GLD and IEF trailing 12-month total returns are strictly positive, hold 100% GLD; otherwise hold cash/SHY.

Expected performance

Research-derived Sharpe estimate: 0.5–0.9. improves on GLD buy-and-hold ~0.69 by sidestepping unfavorable regimes; long, deep sample).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Hold GLD when both GLD and IEF trailing 12-month returns are positive, otherwise hold SHY, rebalanced monthly Get SignalChain — $49 →

Research & sources

More macro, rates, and cross-asset strategies ideas

Cross-asset time-series momentum (ETF trend)
go long/short each asset on its own 12-month trend, vol-scaled
Credit risk-on/off rotation
rotate HYG when credit is healthy, IEF when spreads widen
Treasury yield-curve carry & roll-down
long duration when the curve pays you to wait
Cross-asset relative-strength rotation with a correlation short hedge
own the strongest sleeves, short the weakest

Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.