Importance This article deals with the strategies of derivative financial instrument trading. Objectives The paper aims to describe and develop a trading algorithm of gold futures calendar spreads with low correlation to the overall market (S&P500) and minimum drawdowns. Methods For the study, I used general scientific and special research methods of analysis, synthesis, experiment, and comparison. Results This article suggests an algorithm for gold futures calendar-spread trading strategy. The strategy is based on the assumption that there is a predictable commercial or institutional interest in a particular futures contract. Conclusions and Relevance The strategy analysis confirms the logic of using the calendar spread strategy consisting of buying futures contracts in summer with the date of expiration in winter. The paper assumes that there is the overall bullish trend in the gold market for the analyzed period. This may be a consequence of world demand for metals in volatile markets, so this strategy should be used in growing markets.
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