Gold hedge overlay on equities. Uses GLD and SHNY momentum signals (RSI and cumulative return) to adjust a cash-equal hedge, with no fixed rebalancing—aimed at modestly hedging equity risk via gold exposure when signals align.

What it does in plain language: - It’s an overlay on a stock portfolio that tries to hedge risk with gold rather than change the core stock exposure on a regular basis. - The system uses two gold-related assets: GLD (the standard gold ETF) and SHNY (a 3x leveraged gold instrument) as signals for when to hedge and how much to hedge. - A simple momentum rule looks at GLD’s 10-day RSI. If GLD looks oversold (RSI below 30), the model considers adjusting the hedge weight rather than sticking with a fixed allocation. - There is a secondary rule that uses SHNY and GLD’s performance (a cumulative return check) to decide whether to tilt more toward gold (GLD) or to rely on the hedge implied by cash parity. - The hedge is described as “weight to cash equal” (wt-cash-equal), meaning the system aims for a balance between cash and the gold hedge rather than a fixed, pure-long-Gold allocation. - It does not perform frequent rebalancing (rebalance = none) and it uses a small allowable deviation around the target hedge (rebalance corridor width of 0.1). - In short: if gold momentum signals line up, you tilt toward a gold hedge; otherwise you stay in cash or maintain a light hedge. The exact numeric weights are governed by the rule set, not by a static target. - The intended risk control effect is to provide a hedge against equity risk using gold without making daily trades or over-allocating to highly leveraged gold instruments, which can be volatile.

Out-of-sample, this gold-hedge overlay offers superior risk-adjusted returns vs the S&P: Sharpe ~2.16 vs ~1.0, alpha ~1.04%, Calmar ~5.05, near-zero beta, with more upside, controlled drawdown, and no daily trading costs.