Market neutral · Live

Gold Spot–Futures Arbitrage

A fully automated, hedged strategy that earns the price difference between gold's spot price and its futures contract. It doesn't need the market to go up. It doesn't need the market to go down. It needs the gap — and the gap is almost always there.

Historical range5 – 8% / mo
Average month
Best / worst month /
Positive months

Monthly returns

Net of costs · as of
How it works

Two legs, one locked-in spread.

Gold futures usually trade at a premium to the spot price — the "basis" — because of storage, financing costs and demand for leverage. As the contract approaches expiry that premium shrinks toward zero. The algorithm captures that convergence, automatically, again and again.

  • Leg 1 — Buy gold spot. The algorithm buys gold (XAU/USD) at the current spot price.
  • Leg 2 — Sell gold futures. At the same moment it sells an equal amount of the gold futures contract at the higher price.
  • Hold to convergence. Whether gold rises or falls, gains on one leg offset losses on the other. The locked-in spread is the profit.
  • Rotate. Positions are closed at convergence and re-opened where the basis is widest, continuously.
EXAMPLE TRADE · GOLD (XAU/USD)
Buy gold spot$2,412.10 / oz
Sell gold futures$2,447.30 / oz
Basis captured+1.46%
Gold drops 5%Spot −$120.60 · Futures +$122.40
Net at convergence+$35.20 / oz locked in

Simplified illustration. Actual returns depend on basis levels, funding rates, fees and capital deployed.

Strategy profile

Key facts

StyleCash-and-carry / basis arbitrage
MarketGold (XAU/USD) spot & gold futures
DirectionMarket neutral — fully hedged
Historical monthly return5 – 8% (net)
Typical holding periodDays to weeks, to convergence
LeverageLow — used only to balance the two legs
Minimum capital$1,000
CustodyYour own account with a regulated MT5 broker
ReportingLive in MT5
WithdrawalsAnytime (open positions closed at convergence)
Suitable forCapital preservation, yield seekers, treasury
Main risksBasis compression, broker/counterparty, execution
Check it yourself

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Honest about risk

What can go wrong

Basis compression

When gold is calm or financing costs fall, the spot–futures gap can shrink, reducing returns toward the low end of the range — or below it — for a period.

Counterparty risk

Positions rely on the broker honouring both legs. We use established, regulated brokers only, but that risk never reaches zero.

Execution & liquidity

Both legs must fill together. In extreme volatility, slippage between the legs can eat into a trade's expected spread.

Full details in our Risk Disclosure. Past performance is not a reliable indicator of future results.

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