Gold autumn effect

Checked October 2026

The gold autumn effect is long gold in September and November, and flat the other ten months. Dirk Baur published it in 2013. Backtoast ran it on gold futures. The standard version failed our test, breaking even over 10 trades.

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Gold autumn effect

The position is bought at the close on the last trading day of August and of October, and sold a month later. Ten trades is five Septembers and five Novembers, which is a small sample for a calendar effect.

The other calendar rules on this list are the turn of the month in stocks and the bitcoin Monday effect.

When it works

The edge is a calendar effect, which Baur tied partly to jewelry demand for the Indian wedding season, and it comes and goes. In our run it averaged +0.63% a trade until the last six months, when it lost 7.47% a trade. It holds gold two months a year, so it carries far less exposure than holding all year, which is why some traders use it to time a gold position.

Origins

Dirk Baur used monthly gold prices from 1980 to 2010, and September and November were the only months with significant positive returns, about 2.2% and 1.8% on average. A 2024 replication by Potrykus and Augustynowicz found the effect reversed from December 2010 to July 2022, with a winter effect in its place. The run used gold futures from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.