I was intrigued by Frank McGhee's article in FUTURES (mentioned Friday) on viewing gold as a currency so I decided to expand the currency rotator model and run GLD against the Project Z algorithm. The results are encouraging . . to say the least . . and in talks with my compadres today we will probably make a gold trading model part of the larger repertoire on the new site.
At the same time I've created a separate MLR gold rotator featuring the GLD ETF and 11 highest market cap gold stocks. ABX, AU GG, KGC and NEM are the largest market cap gold stocks with ABX at almost 2x NEM's cap.
The GLD ETF understandably has the lowest beta, barely 1/6 to 1/9 of the stocks. This differential is further reflected in the price volatility metric column where GLD ranks lowest. I've got a little EXCEL spreadsheet that normalizes the price volatility/beta and the % change (yellow column values). Hopefully, I'll be able to integrate those results into Telchart or, failing that, simply export the data to an EXCEL charting format.
The odd outcome of Monday was that GLD declined while the majority of the gold stocks rose (GOLD was the exception).
On the Gold Rotator ABX is the leader with GG and EGO close behind.
On the Currency Rotator GLD is in the top slot despite Monday's weakness, reflecting the big gains over the past five days.
Tomorrow we'll take a look at the Project Z results as well as a new PDQ Dashboard for GLD.