SILO Strategy

Javier Rivaya Martos 19/02/2016 12:24:38 1 comentario

The chart shown in the post image shows performance of the SILO strategy compared to a long gold buy and hold. The SILO strategy involves going long in gold just after the market close until the market open, then short it from the market open until the market close. So SILO stands for Short Intraday and Long Overnight.

Gold has been an asset which most have considered to be a safe heaven until 2012. Until this date most retail traders where bullish on gold, if they opened a long position they did it during market session. This behaviour led to some institutions manipulate price of gold by increasing selling pressure during the day, causing prices to drop (ratailers panic and sell their position, in the other side there is an insitution) and, once the session is closed and there is a small portion of retail traders, they push up the price again during the overnight session. This can be shown in Chart 3 and Chart 4.

Taking a $0.10 spread into account the short intraday and long overnight index would have increased from 100 to 1827.34 since 2001 to 2012. This increase of 1727.4% outperforms the 593% increase in gold prices over the same period by almost 3 times. If a $0.20 spread is used on a short intraday and long overnight index, there is an increase of 530.4%, which slightly underperforms a buy and hold strategy.

Authorities took action in 2012 after zerohedge.com published the effects of such manipulation. Since then institutions which used to fix gold prices every morning (gold cross) have resigned to their seat, there has also been a change in gold market trend after this date from bullish to bearish. It seems some kind of manipulation/rigging was going as the SILO Strategy has never worked again since 2012.

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One comment on “SILO Strategy

  • La volatilidad de la que estas hablando :
    “la volatilidad es un reflejo de la magnitud de las desviaciones que se producen en los mercados.”

    no tiene nada que ver con lo que estas operando

    y lo que tu dices que refleja el VIX
    “Concretamente cuando hablamos del Índice VIX, hablamos del índice que refleja la volatilidad subyacente del índice S&P 500 ”

    no tiene nada que ver con lo que es el VIX

    Un saludo

    Reply

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