Pairs Trading in the Metals Complex: A Reality Check
Replication, walk-forward testing, and a simple ensemble fix for precious-metals ETF spread strategies.
A recent paper reports attractive Sharpe ratios from a simple mean-reversion strategy in precious metals ETF spreads. But do those results survive real-world parameter uncertainty? I replicate the study, test it under walk-forward parameter selection, and show why a simple ensemble approach may be more robust.
