Gold/Silver Ratio: does it work?

None of these versions passed. Sample: 220 holdings changes across 590 rebalances (a holdings change is a rebalance that altered what the portfolio held, not a completed trade) over 2005-01-04 to 2025-03-14 (20.2 years).

Traders watch the gold/silver ratio and swap into the metal that looks cheap when the ratio stretches, expecting it to snap back.

The rule we tested. Using GLD and SLV as the two metals: long SLV when the GLD/SLV ratio's 60-day z-score is above 1.5, long GLD when it is below -1.5, cash otherwise, daily.

• Gold/silver ratio reversion: long SLV when GLD/SLV 60d z > 1.5, long GLD when z < -1.5, else cash, daily (2 ETFs (GLD, SLV)), 2005-01-04 to 2025-03-14, costs 0.05% per side: −10.9 pts/yr vs the benchmark across 220 holdings changes across 590 rebalances (a holdings change is a rebalance that altered what the portfolio held, not a completed trade), unadjusted p=1.000, BH-adjusted q=1.000: did not beat the benchmark.

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None of these versions passed. ETFs −10.9 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared our Benjamini-Hochberg q<0.10 bar once counted alongside every other rule we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

Failed: only the tested version above. Not tested: Physical metal; other z-score thresholds and windows; futures; mining stocks. A result for the tested version says nothing about these.

In the stored result for Gold/silver ratio reversion: long SLV when GLD/SLV 60d z > 1.5, long GLD when z < -1.5, else cash, daily, the rule's return is exactly 0.0% from 2005-01-04 to 2015-02-05, the first half of the window. Tickfloor has not established why, so read the full-period figure as a weaker test than its length suggests.

This is one line in a bigger check. The research desk has run 694 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for how many we tried (Benjamini-Hochberg, 777 tests), 0 passed. That does not prove no strategy works, and it says nothing about versions we did not test. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Tests 1010 family page, or the full method and every result.

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All the rules we tested

• See a full worked example (free, no account)
• Start lesson 1 of the course (free)
• Run your own version of this rule in the Backtest Lab (pass)