Gold Reversal 4h · Osprey

Low significance

by qkt Labs (house research)

A mean-reversion Gold strategy on 4-hour bars. Positions are held up to 5 days, behind a fixed protective stop. Every figure below comes from a full tick-data run with spread, commission and swap charged.

Approach: Mean reversion · XAGUSD, XAUUSD · H4
Tested on ticks: Jan 1, 2020 → Dec 31, 2025
Publishing checks: 11 of 11 passed
Overfitting guard: 400 variants declared · deflated Sharpe 9%
In-sample, $100k: +5.9% · max drawdown 2.7% · 148 trades
Version: 2, published Oct 12, 2026 · future versions included

Account size

$25k $50k $100k

The first 80% of the test window. Tick-level replay with realistic fills and the pinned cost profile.

Return

▲+5.89%

on $100k

Jan 2020 – Oct 2024

Max drawdown

2.73%

worst fall from a peak

Sharpe · Calmar

0.53

Calmar 2.15

Profit factor

1.52

gross profit ÷ gross loss

Win rate

50%

148 trades

Equity and drawdown

drag to pan · click, then scroll to zoom

Monthly returns

press a month to see it on the chart

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2020													▲ +5.5%
2021													0.0%
2022													▲ +0.8%
2023													▼ −0.6%
2024													▲ +0.3%

Statistics

Return:: +5.89%
Max drawdown:: 2.73%
Calmar ratio:: 2.15
Sharpe ratio:: 0.53
Profit factor:: 1.52
Win rate:: 50.0%
Trades:: 148

Costs over the whole test window, as qkt reports them

Commission paid:: $185.84
Swap paid:: $6,475.28

Costs

The spread is the market’s own bid and ask in the tick data. Commission and slippage are modelled per symbol with the rates below, and swap is the broker’s quoted rate, charged for every night a position was held across the whole window. The cost-stress runs multiply commission, slippage and swap by 1.5× and 2×.

Symbol	Spread	Commission / lot	Slippage	Swap long	Swap short	Contract
XAUUSD	real bid/ask, every tick	$4	210 points	−560 pts	0 pts	100
XAGUSD	real bid/ask, every tick	$4	20 points	−7.7 pts	0 pts	5000

Negative swap is a charge for holding overnight. The cost-stress runs multiply commission, slippage and swap charges; the spread is always the market's own.

This strategy trades 2 symbols. The breakdown of trades and profit by symbol is included with the strategy.