This month, another new trading strategy called Nuggets Of Gold has been included in our research program Marwood Research.
This is a daily, long/short strategy composed of simple rules that is designed to find short-term swing trades.
Nuggets Of Gold – NUGT Trading System Details
It was first developed for GDX, the non leveraged Vectors Gold Miners ETF and later adapted for NUGT, the Direxion Daily Gold Miners Bull 3X ETF.
When applied to NUGT, the system benefits from the concept of time decay caused by the process of daily rebalancing.
This is a high risk/high reward system that is not suitable for all investors. In historical simulations between 2011 – 2018, it produced a compounded annualised return of 42.28% with a maximum drawdown of -47%.
This is with an aggressive position sizing that can be altered to an investors taste.
As always, the strategy comes with full Amibroker source code and is presented not necessarily as a finished system but with the potential for further refinement.
Following are some statistics and graphics taken from Amibroker simulations:
As you can see from the recorded results, this is a system with high potential which could be a strong addition to a trader’s portfolio of strategies.
Observant traders will notice that this is high risk/ high reward. Note that the system performs well with lower risk on similar securities – such as GDX the unleveraged gold miners ETF.