Commodities#234tier 2live in productionNew

`cit extreme positioning reversion`

cadence: Weeklydata: mediumlong onlyshort only

2018

Yang, J. & Du, X. (2018). "Bubbles and the Index Futures-Index Spot Discount." JF. Tang, K. & Xiong, W. (2012). "Index investment and the financialization of commodities." FAJ.

Read the paper →

What it checks

When commodity-index traders pile in extremely on one side, the equity basket of that commodity tends to mean-revert over 10-20 days.

Mechanism

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.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

weekly CFTC CIT z-score per contract; |z|>2σ → LONG mean-reversion in the commodity-equity basket (WTI→XOM/CVX/COP, natgas→EQT/RRC, gold→NEM/GOLD, copper→FCX/SCCO, ag→ADM/BG/MOS). Hold 10/20d. T+1 lag.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
cftc_cit_supplement
Worker data table — see services/worker schema.

Expected edge

Paper alpha: 60-150 bps over 10-20d on >2σ positioning
Paper window: 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

XOM CVX COP EQT RRC NEM GOLD FCX SCCO ADM BG MOS

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

eia natgas storage surpriseCommodities

The EIA Weekly Natural Gas Storage Report (Thu 10:30am ET) is the dominant single-event-day driver for the natgas equity complex. The market trades the surprise vs same-week-of-year 5y mean: build smaller than expected (or draw larger) = bullish, natgas E&P basket re-rates up 1-5 trading days.

eia crude storage surpriseGeographical

EIA weekly surprise drives same-day move in WTI + energy equities; bullish-draw → 1-5d energy outperformance.

cit unwind velocity vol regimeMeta-regime

Week-over-week absolute change in CIT net positioning is a real-time vol-of-vol proxy for the commodity complex. High unwind velocity precedes broad commodity-equity vol-of-vol expansion; used as a gate signal to size down other commodity-correlated families.

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cit extreme positioning reversion