GLD / XAUTZAR Cross-Institution Pair Analysis

Period: 2026-03-28 → 2026-06-28 | 45 trading days | GLD: NewGold ETF (JSE/StandardBank) | XAUTZAR: synthetic from gold futures × USDZAR | Generated: 2026-06-28

⚠ Live config unit mismatch detected: GLD candles are stored in ZAR-cents (÷100 for ZAR); XAUTZAR candles from VALR are stored in ZAR directly. The SpreadZScore model uses raw DB values — with hedging_ratio=0.009 this produces a spread near +1.97 rather than near 0. Fix required before live trading: either store XAUTZAR×100 (cents) in the DB, or set hedging_ratio≈0.926 in the live config. This analysis uses correctly normalised data (GLD ÷100, XAUTZAR as-is) with OLS-computed β.

Strategy Parameters

Trade size

R20,000

Lookback

20d

Entry |z|

>1.5

Exit z

0.0

GLD fee/side

R57.50

XAUT taker fee

0.2%

Long interest p.a.

13.5%

OLS β

0.00897

Price History

Spread & Z-Score

Cointegration

ADF Test on spread — stat -7.4139, p-value 0.0 (critical 1%: -3.5925, 5%: -2.9315) → spread is stationary ✓ at 5%

Engle-Granger cointegration test — stat -7.4787, p-value 0.0 (critical 5%: -3.4785) → pair is cointegrated ✓ at 5%

Simulation Results

Total return

+0.96%

Final equity

R20,191

Trades

Win rate

66.7%

Avg net P&L

R+64

Total fees

R578

Net interest

R-16

Sharpe (ann.)

+1.65

Max drawdown

-0.8%

Trade Log

Open	Close	Days	Direction	Entry z	Exit z	GLD	XAUTZAR	GLD P&L	XAUT P&L	Fees	Interest	Net P&L
2026-05-04	2026-05-05	1d	Short spread	+1.80	-0.54	R703.38 → R704.00	R74,921 → R76,483	R-18	R+398	−R191	R+6	R+196
2026-06-11	2026-06-15	2d	Long spread	-1.65	+0.65	R619.70 → R650.23	R67,828 → R69,977	R+985	R-622	−R194	R-15	R+155
2026-06-25	2026-06-26	1d	Long spread	-1.67	-1.24	R610.12 → R618.85	R66,763 → R67,595	R+286	R-245	−R194	R-7	R-159

Notes

Synthetic XAUTZAR: constructed from COMEX gold futures (GC=F) × USDZAR spot from Yahoo Finance. Within 0.2–1.6% of actual VALR prices for the recent validated period.
XAUTZAR actual data: only 32 days from VALR (data loader started 2026-05-23); pre-June-18 values are stale/repeated — use with caution.
GLD: NewGold ETF, 1/100th troy oz. Prices in DB are ZAR-cents; analysis divides by 100 for ZAR. Small persistent discount vs synthetic (~5–8%) due to ETF tracking error.
Fees: GLD R57.50 per side (SB base fee). XAUTZAR 0.2% taker per side. No VALR margin interest included (spot product; 10× leverage available but not yet enabled).
Interest: 13.5% p.a. charged on long GLD, 11.5% p.a. received on short GLD, accrued per holding day.
Unit mismatch: live config has hedging_ratio=0.009 intended for when XAUTZAR is in cents. Must be fixed before the live model can signal correctly.