Composite methodology
How the MetalsAlpha Gold Market Composite is built, factor by factor, and the trade-offs we accept to keep it fully automated.
What the composite is
A descriptive sentiment indicator for the physical gold market, expressed as a single number from 0 to 10. Nine factors covering macro, positioning, technical, and structural inputs are normalised to the same 0–10 scale, where 0 is a maximum headwind for gold and 10 is maximum support. The factors are blended using fixed annual weights that we publish in advance.
The composite reads as a market state (Headwinds dominant / Mixed / Constructive backdrop / Strongly supportive backdrop). It does not produce buy or sell instructions, price forecasts, or personal recommendations. It is a tool that summarises conditions you can interpret yourself — not a trading signal.
What the composite is not
- It is not a trading signal. There are no entries, exits, stops, or position sizes.
- It is not a forecast. A constructive backdrop today says nothing definitive about price tomorrow.
- It is not a personal recommendation. We do not know your circumstances, objectives, or tax position.
- It is not financial advice and we are not authorised under FCA rules to provide investment advice.
Factors and weights
Total weights sum to 100%. We review weights annually; mid-year changes would be disclosed here with a dated changelog.
| Factor | Weight | Source |
|---|---|---|
| Real yields (10y TIPS) Real yields are gold's biggest single macro driver — gold competes with risk-free real return. Lower real yields = more supportive backdrop for non-yielding assets. | 18% | FRED — DFII10 (10-year Treasury Inflation-Indexed yield) |
| Central-bank reserve flows Sovereign accumulation, particularly from EM central banks, has been a structural floor under gold since 2022. Proxy: Proxy: 90-day gold momentum in CNY and INR (EM-currency basket) — captures the marginal buying pressure from PBOC and RBI without depending on quarterly WGC releases. | 15% | Derived: gold spot × USDCNY, USDINR (Yahoo Finance) |
| US fiscal trajectory Persistent and rising US deficits and debt-to-GDP support the long-run case for monetary debasement hedges. | 12% | FRED — GFDEGDQ188S (debt-to-GDP, quarterly) and MTSDS133FMS (monthly Treasury statement) |
| Inflation breakevens Market-implied inflation expectations from the spread between nominal Treasuries and TIPS. | 12% | FRED — T10YIE (10y breakeven) and T5YIFR (5y5y forward) |
| DXY trend The US dollar index. Gold is priced in dollars, so dollar weakness is mechanically supportive and vice versa. | 10% | Yahoo Finance — DX-Y.NYB |
| Speculative positioning Managed-money net long position in COMEX gold futures, a weekly snapshot of institutional speculator conviction. | 10% | CFTC — Disaggregated Commitments of Traders, Gold Futures (088691) |
| Geopolitical stress The intensity of geopolitical and broad-market risk. When crisis premia are elevated, safe-haven demand for gold typically rises. Proxy: Proxy: blended VIX volatility percentile + crude oil 30-day move. Captures the two markets where geopolitical shocks show up first. | 8% | Derived: VIX (^VIX) + crude oil (CL=F) via Yahoo Finance |
| Gold premium vs. baseline How far gold sits above or below its 200-day baseline. Captures whether the market has compressed back toward trend (supportive) or stretched far above it (a headwind to further appreciation). | 8% | Derived: gold (GC=F) vs its 200-day simple moving average (Yahoo Finance) |
| Industrial silver demand Industrial demand for silver (solar, electronics, EVs) tightens the broader precious-metals complex when strong, and indirectly supports gold sentiment. Proxy: Proxy: 90-day silver/gold ratio momentum + FRED INDPRO (US industrial production). Captures industrial draw without relying on quarterly Silver Institute releases. | 7% | Derived: silver (SI=F) / gold (GC=F) ratio + FRED INDPRO |
How each factor maps to 0–10
Each factor has its own normaliser that takes the raw observable (a yield, a percentage change, a position count, etc.) and maps it to 0–10 with anchor points chosen for the regime gold has traded in since 2020. The mappings live in the open-source code at src/lib/composite.ts and src/lib/composite/premium-factor.ts.
For example, real yields map: −1% → 10 (very supportive), 1% → ~5 (neutral), +3% → 0 (max headwind). Inflation breakevens use the Federal Reserve's 2% target as the neutral anchor. Mappings are linear between anchor points and clamp at the extremes.
Refresh cadence
The composite is recomputed at most every six hours per warm instance. Underlying data refreshes at the cadence of its source — typically daily for FRED and Yahoo series, weekly for CFTC positioning, and monthly or quarterly for INDPRO and debt-to-GDP. Slower-cadence inputs are carried forward to daily computation.
Sparkline reconstruction
The 18-month sparkline on the dashboard is computed retrospectively from the historical data each provider returns. For each historical day we re-evaluate the daily-cadence factors using only data available up to that day; slower-cadence factors carry the most recent observation forward. This is a best-effort historical view, not a tick-by-tick backtest.
Known caveats
- The weights are not backtested. They reflect our judgement of each factor's economic importance, not optimisation against historical returns. We do not claim predictive power.
- Two factors are proxied. Central-bank reserve flows uses an EM-currency gold momentum basket because the World Gold Council releases its official data quarterly with a six-week lag. Industrial silver demand uses a silver/gold ratio + US industrial production blend for the same reason.
- Data outages are possible. If FRED, CFTC, or Yahoo are temporarily unavailable the corresponding factor reports as unavailable and is excluded from the aggregate. The composite renormalises across the remaining factors and labels the count of available factors on the dashboard.
- Regime sensitivity. The 0–10 mappings were chosen for the macro regime since 2020. A sharp regime change (sustained deflation, persistent negative real yields, etc.) would warrant a recalibration with a disclosed changelog.
- The composite does not include silver, platinum, or palladium prices directly. Industrial silver demand is the only non-gold input and is intentionally light-weighted.
Data sources in detail
- FRED (Federal Reserve Bank of St Louis) — DFII10, T5YIFR, GFDEGDQ188S, INDPRO. Free API.
- CFTC Public Reporting — Disaggregated Commitments of Traders, COMEX Gold (contract code 088691). Free, no auth.
- Yahoo Finance — GC=F (gold), SI=F (silver), ^VIX, DX-Y.NYB, CL=F (crude oil), CNY=X, INR=X.
Changelog
- 2026-05-28 — Initial release. Nine factors, weights as published in the table above. Composite supersedes the standalone GSHPS dashboard; the GSHPS premium calculation is preserved as the “Gold premium vs. baseline” factor.