The London Gold Fix Drift

Gold futures fall into the LBMA AM gold auction: a short from 10:25 to 10:31 London time earned +1.6 bp per day on average over 4,061 trading days of CME gold futures (2010–2026, t ≈ 17, 59% of days positive). The effect disappears on English bank holidays, when no auction is held (−0.07 bp, t = −0.13, 88 days), which ties it to the auction rather than to the time of day. It is strongly regime-dependent: near zero in the quiet years 2017–2019, weak in 2022–2024 and at its strongest in 2026. Implemented on a retail gold CFD with a $4 stop, a post-fix rebound leg and a re-entry after stops, the strategy earned +149 R over 489 trades from July 2025 to October 2026 (+0.31 R per trade), with a profit factor of 2.55 and a maximum drawdown of 4.3 R, where 1 R is the loss at the stop. The main risks are the effect's dependence on volatility and the small number of truly independent observations behind any refinement. AI disclosure. The author used Claude (Anthropic), an AI assistant, to write the data-analysis code, todraft and edit the text, to assist with wording and structure, and as a consultative tool for discussingmethodological and technical questions. The research questions and the decisions on what to test and whatto accept are the author’s. The author reviewed, verified, and edited all AI-assisted content and takes fullresponsibility for the content of the paper, including its analysis, results, and conclusions.