Cit Unwind Velocity Volatility Regime
In plain terms
When commodity-index traders flip positions fast, vol spikes are coming — size down other commodity strategies for a few weeks.
How it works
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.
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
- 15-25% risk-adjusted improvement to gated families
- Tested over
- 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
When commodity-index traders pile in extremely on one side, the equity basket of that commodity tends to mean-revert over 10-20 days.
When VIX spikes more than 1σ above its 60d mean, this gate forces position to 0 — derived from a cluster of champions whose failures all land on those days.
When SPY is more than 10% off its trailing-year high, this gate forces position to 0 — derived from a cluster of champions whose failures all land in those windows.
Explore Cit Unwind Velocity Volatility Regime on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.