Cox, who last month won his first Eclipse Award as North America's outstanding trainer, reckons the five-year-old could then go on to emulate Arrogate by adding the Dubai World Cup to complete a spectacular four-race spree.
Knicks Go is unbeaten in four races since joining Cox and captured the Breeders' Cup Dirt Mile in November before landing the Pegasus last month at Gulfstream Park.
"He's had two good works since the race and seems to be moving well," Cox said on Wednesday in Riyadh as he supervised the Korea Racing Authority-owned challenger's tilt at the $20 million Saudi Cup.
"He's continued since the Pegasus to show us what he showed us prior to the Pegasus and prior to the Breeders' Cup," added the trainer. "This race is back a little quick, but one thing that gives us confidence is that he won the Pegasus without Lasix and this race is without Lasix too. Another thing is this is five weeks from the Pegasus and it was five weeks between his allowance win where he broke the track record at Keeneland and the Breeders' Cup."
Knicks Go is drawn in gate five in a 14-runner field for the Saudi Cup. Favourite Charlatan is drawn nine, while the John Gosden-trained Mishriff starts in stall 12.
Cox added: "He had a little bit of a freshening of a couple easy weeks after the Breeders' Cup and before the Pegasus, so this is sort of a second race off a layoff for him. Hopefully, after the race, he gives us confidence that he can travel internationally and compete."
Knicks Go could head to the Dubai World Cup after contesting the second edition of the Saudi showpiece. "Right now we're treating him as if this is his time to shine," Cox added. "If he's able to do well in the Saudi Cup and then do well in Dubai, that would be very special.
"If he were able to win the Breeders' Cup Dirt Mile, Pegasus, Saudi Cup and Dubai, it would be very similar to what Arrogate did with the Travers, the (Breeders' Cup) Classic, Pegasus and Dubai. If he were able to do something like that, it would go down as one of the great streaks in racing history.
"We would try to get through these two and then ship him back to the States and work our way back from the Breeders' Cup after this. Whether that's the Dirt Mile or the Classic, his runs in Saudi Arabia and Dubai will tell us which one, so it's one race at a time."