A gold volatility indicator describes how large recent moves in gold have been. The Behavioral Transform Model does this with an expected-range band built from roughly the last 60 daily returns. On the published gold futures series, the next close landed inside the inner band 72.7% of the time and the outer band 94.0%, historically.
The Proof page lists gold futures over 2000–2024 at 72.7% inner and 94.0% outer. Past behavior is not a guarantee of future results.
The gold row is one of 40 instruments in five asset classes scored on the same question. The cross-asset article covers the full set.
Gold moves by different amounts than an equity index, so a fixed-width band would not suit both. The band is built in return space, so its width follows how large gold's recent percentage moves were rather than a price distance. The same rolling calculation was run on every instrument, with nothing fitted per instrument. Return space vs price space explains the construction.
A containment rate like gold's 72.7% is a statement about the average. It says the band's width matched gold's recent behavior well enough that about that share of next closes fell inside, over the sample. It does not say any single day will land inside, and the band is an expected range, not a claim that price reverses at its edges.
The gold sample (2000–2024) is far shorter than the 97-year S&P 500 series, and the published figure is for gold futures, not separately for spot XAUUSD. The paper reports confidence intervals per instrument. Like any rolling-window band, it runs too narrow in the first days of a fast volatility jump, and the outer band is slightly optimistic in the deep tails. The paper validates calibration, not the profitability of any use.
Does the indicator work on XAUUSD spot?
The published gold figure is for gold futures. No separate spot figure is published, so this article makes no claim about spot beyond describing the construction, which uses closing prices of whatever series is on the chart.
Does the range predict whether gold goes up or down?
No. It describes the size of recent moves, not direction.
Can the window length be changed for gold?
The window is an input; shorter windows react faster and are noisier, and longer ones are steadier (lookback period article). The published figures use the same typical window of about 60 bars across instruments.
Details are in the working paper. The 30-day free trial lets you view the range on a gold chart yourself: start free, cancel anytime.
Oisigma provides descriptive market analytics for educational use. It is not investment advice, does not predict prices, and does not provide buy or sell signals. Statistics referenced are historical and were measured in our working paper (not peer-reviewed); past behavior is not a guarantee of future results. Trading and investing involve substantial risk of loss, including the possible loss of all capital invested. Leveraged products (futures, options, margin) carry additional risk and can result in losses that exceed your initial investment. Bollinger Bands® is a registered trademark of John Bollinger; Oisigma is not affiliated with or endorsed by Mr. Bollinger. RiskMetrics® is a registered trademark of MSCI Inc.; Oisigma is not affiliated with or endorsed by MSCI Inc. Nothing in this article is a recommendation to use any particular strategy. Read the full Disclaimer →
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