Gold Dual Momentum
A monthly rotation strategy that holds the SPDR Gold ETF (GLD) only when it shows positive absolute momentum and outperforms cash, otherwise sitting in short-term Treasuries.
Last updated June 18, 2026
The idea
The Gold Dual Momentum strategy applies Gary Antonacci's dual-momentum framework to a single asset. It holds gold only when gold's own trailing return is both positive (absolute momentum) and better than holding cash — otherwise it rotates into short-term Treasuries to defend capital.
How it works
- Measure momentum — at the end of each month, compute GLD's 12-month rate of change (ROC).
- Absolute momentum gate — only hold GLD if its 12-month return is greater than the return on cash / T-bills over the same window.
- Defend — if gold fails the gate, hold a short-term Treasury ETF instead.
- Rebalance — re-evaluate monthly and rotate as the signal changes.
Why dual momentum
Absolute momentum (versus cash) is what historically cuts deep drawdowns: it pulls you out of an asset during sustained declines rather than riding them down. Applied to gold, it aims to capture strong bull phases while avoiding long, grinding bear markets in the metal.
Parameters to tune
| Parameter | Default | Notes |
|---|---|---|
| Lookback | 12 months | Shorter reacts faster, more turnover |
| Rebalance | Monthly | Weekly increases trading costs |
| Defensive asset | Short Treasuries | Where capital parks when gold is weak |
Next steps
Backtest the rotation in Horizon across multiple gold cycles, compare drawdowns to buy-and-hold gold, then deploy it as an automated monthly strategy.
