QUANTITATIVE ANALYSIS · XAUUSDConflicting indicators, low conviction
Quantitative Analysis — XAUUSD (Gold/USD)
EXTREMEConviction 50/100
Vol 20D
38.6%
ATR 14
148.43
Sharpe
-2.28
Sortino
-2.85
Z-Score
-0.26
Max DD
-18.1%
quant-analyst (ClaudeFinKit) · Apr 26, 2026, 08:06 AM UTC
Vol Regime
EXTREME. Gold realized vol at 38.6% annualized is roughly 2.5x its long-term average (13-15%). This is driven by tariff uncertainty, CPI surprises, and safe-haven flows. The ATR of $148 means a typical day sees a $148 swing — position sizing must account for this.
Headline Metrics
| metric | value | assessment |
|---|---|---|
| Vol Regime | EXTREME | 38.6% annualized (20D) — gold historically trades 12-18% |
| ATR (14D) | $148 (3.11%) | Exceptional daily range |
| VaR (95%) | -4.22% ($201) | Tail risk 3x typical forex pairs |
| Sharpe (ann) | -2.28 | Negative risk-adjusted return over period |
| Momentum | +17/100 | Mildly positive, recovering from trough |
| Signal | NONE | Conflicting indicators, low conviction |
| Conviction | 37/100 | Below actionable threshold |
Full Metrics
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