GC · Metals / Mean-Reversion Technical
Z32814 – GC Gold Self Mean-Reversion 5-Day Z
Gold weakness over the past five days flags mean-reversion setups; the short-horizon momentum signal has delivered a 67 basis-point edge on forward 60-day gold returns across 36 years.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.713
5-day gold momentum z-score, sign-flipped, tanh-bounded
Signal state
Strong POS
1 trading days in current state
Phase
NEUTRAL
Positive equals MR setup; negative equals MR exhausted
Sample
36 years
Daily gold returns since November 1990
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Gold has mean-reverting tendencies on short horizons. A 5-day drawdown without broader regime change often snaps back over the following weeks. This signal reads gold 5-day momentum, z-scores on a rolling window, and sign-flips so weakness reads positive. On April 16 2013 the composite reached its series maximum plus 1.0000 in the post-crash window. On September 29 1999 the composite reached series minimum minus 1.0000 during the Washington Agreement sell-off. Across 36 years Phase +1 has delivered plus 2.20 percent mean forward 60-day return versus Phase -1 plus 1.53 percent. Today the composite reads +0.713, in Strong POS territory.
LIVE CHART
The 504-day z-score of a multi-input composite of US credit-quality indicators including BAA-AAA corporate spreads, 9016 trading days of history for GC.
The dark line in the top panel is the composite bounded between minus one and plus one. The pale red band at the top marks MR-setup regime. The pale green band at the bottom marks MR-exhausted. The bronze line in the middle panel is the trailing 252-day rolling Spearman information coefficient. The lower panel is COMEX GC continuous back-adjusted price on the right axis in dollars per ounce. Dashed threshold lines at plus and minus 0.2 mark phase transitions.
COMPOSITE
+0.804 / tanh
STATE
Extreme Pos
PHASE
+1
FWD 60d
+5.24% (baseline +2.32%)
SAMPLE N
9,016 days
TODAY'S PLAYBOOK READING
STATE
Strong Pos
STATE AND READING
Strong POS, 1 days running. Composite at +0.713 is in the range.
WHY THE SIGNAL IS HERE
The underlying input is at its current level relative to the 504-day baseline. The composite reflects this with the sign-convention stated in section 2.
POSTURE FOR THE WEEKS AHEAD
The signal's historical edge is concentrated at the tanh-saturation extremes (composite below minus 0.5 or above plus 0.5). The cross-sample Pearson IC of +0.04 on SPY forward-sixty-day is a reference-asset read; the appropriate direct read is GC forward returns, which are not computed as a baseline in this page.
WHAT THE CHART SHOWS
Today the composite reads +0.713 placing the dot inside the Strong POS band. Signal updates daily from the 5-day rolling momentum computation.
TOP INPUTS FIRING
- Gold 5-day return momentum Short momentum window on daily log returns.
- Rolling z-score Standardizes against trailing baseline.
- Sign flip Weakness maps to positive composite for mean-reversion semantics.
THE REGIME MAP
The six regime states
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| MR setup | +1 | 37.8% (3415 d) | +2.20% | +0.30pp | Oct 2026, Oct 2026, Oct 2026 | |
| Normal TODAY | 0 | 22.2% (2004 d) | +2.05% | +0.15pp | Nov 2026, Oct 2026, Oct 2026 | |
| MR exhausted | -1 | 39.9% (3604 d) | +1.53% | -0.37pp | Oct 2026, Oct 2026, Sep 2026 |
The historical pattern
Signature episodes
THE TRACK RECORD
Every state change in the last 2 years
8 state transitions from 01/02/2025 to 11/04/2026. Full history (99 total transitions since 11/30/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d GC |
|---|---|---|---|---|
| Neutral | 01/02/2025 | 01/31/2025 | 21d | -4.32% |
| Defensive | 02/03/2025 | 02/28/2025 | 19d | -7.23% |
| Neutral | 03/03/2025 | 07/31/2025 | 105d | +0.68% |
| Defensive | 08/01/2025 | 08/29/2025 | 21d | +10.22% |
| Neutral | 09/02/2025 | 10/31/2025 | 44d | +5.43% |
| Expansion | 11/03/2025 | 11/28/2025 | 19d | +1.26% |
| Neutral | 12/01/2025 | 12/31/2025 | 22d | +0.84% |
| Defensive LIVE | 01/02/2026 | current | 212d | -4.81% |
Scroll inside the table for the full history. Forward 60-day GC is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
The engine computes gold daily log returns, takes a 5-day rolling sum, z-scores on a rolling baseline, sign-flips, and bounds through tanh. Gold weakness maps to positive composite. The signal captures short-horizon mean-reversion setups where below-trend price action precedes above-baseline forward returns.
Why it matters
Gold tends to mean-revert on 2-to-4-week horizons when short-term weakness is uncorrelated with broader regime change.
Phase +1 MR-setup has delivered 67 basis-point edge versus Phase -1 MR-exhausted. Pair with direction signals.
Strong trending regimes can run mean-reversion signals into losses.
GO DEEPER
What the Gold Credit-Quality Composite signal actually tells you (and when it does not)
Brief covers 5-day momentum methodology, three signature episodes (2013-04 post-crash series max, 1999-09 Washington Agreement series min, 2024-26 regime), and caveats on reading a mean-reversion technical.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 06, 2026 12:26 AM ET