Cit Extreme Positioning Reversion
In plain terms
When commodity-index traders pile in extremely on one side, the equity basket of that commodity tends to mean-revert over 10-20 days.
How it works
Commodity Index Trader (CIT) net positioning measured weekly by CFTC. Extreme z-scores (|z|>2σ) reflect crowded long/short flow, which historically mean-reverts in the commodity equity basket of the underlying contract.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Cftc cit supplement
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 60-150 bps over 10-20d on >2σ positioning
- Tested over
- T+1 to T+20d
Yang-Du 2018 reports 50-100 bps weekly drift in spot when CIT positioning hits 95th percentile; equity translation ~60-150 bps over 10-20d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Every Thursday EIA publishes US natgas storage. If the build is smaller than expected, natgas E&Ps (EQT, RRC, CHK) jump for 1-5 days.
EIA crude-storage surprise (vs consensus) → 1-5d energy move.
When commodity-index traders flip positions fast, vol spikes are coming — size down other commodity strategies for a few weeks.
Explore Cit Extreme Positioning Reversion on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.