cit unwind velocity vol regime
What it checks
When commodity-index traders flip positions fast, vol spikes are coming — size down other commodity strategies for a few weeks.
Mechanism
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.
Signal rule
z(|Δ_CIT_positioning|) > 1.5σ → activate vol-regime gate; reduce gross commodity-family exposure by 50% for 5/10/20d. T+1 lag. Returns gate-signal series, not position-series.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
cftc_cit_supplementWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 15-25% risk-adjusted improvement to gated families
- Paper window
- T+1 to T+20d
Not a standalone alpha — improves risk-adjusted return of other commodity families by 15-25% via vol-aware sizing (per Cheng-Kirilenko-Xiong 2015 framework).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
cit extreme positioning reversionCommoditiesCommodity 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.
meta regime gate 1Meta-regimeCluster of promoted alpha-v2 champions that consistently underperform when the 60d-z-score of VIX exceeds +1.0 (panic-spike regime). Their shared failure IS the alpha: gating long exposure to 0 on those days flips the failure into avoided drawdown.
meta regime gate 2Meta-regimeCluster of promoted alpha-v2 champions that fail when SPY trades more than 10% below its 252d rolling high. Gating long exposure to 0 in those windows captures the failure as avoided loss.
Explore cit unwind velocity vol regime on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.