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Gold: A strategy backtest

October 15, 2026
by
Hari P Krishnan
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Standard disclaimers apply strongly to a backtest, with performance in blue. And it's instructive to see how a strategy with such low initial delta can capture so much upside. Even though the call skew is typically quite flat, it's structurally overpriced for a commodity with such a high stock-to-flow ratio.

As always, this isn't investment advice, but simply a demo of what Allasso Copilot can do.

About the Author

Hari P Krishnan

Hari P Krishnan has 25 years’ experience in financial markets, with over two decades as a portfolio manager. Formerly a PM at Doherty Advisors in New York, a fund manager at CrossBorder Capital in London, and an Executive Director at Morgan Stanley, he now manages or advises separately managed accounts at SCT Capital in New York.

Hari is the author of The Second Leg Down on regime-based hedging, and lead author of Market Tremors: Quantifying structural risks in modern financial markets. He holds a BA in maths from Columbia University, a PhD in Applied Math from Brown University and was a Postdoctoral Research Scientist at the Columbia Earth Institute.