Cme Basis Curve Steepening
In plain terms
When the crude/copper curve flips into steeper backwardation, cyclical industrials (CAT/DE/FCX) outperform for several weeks.
How it works
Front-month vs back-month spread for crude/copper. Backwardation steepening (front > back rising) signals cyclical demand strength → LONG cyclical equities (FCX, XLB, CAT, DE).
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Cme futures settle
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 200-400 bps over 20-40d
- Tested over
- T+1 to T+40d
Erb-Harvey + Gorton-Rouwenhorst show 4-8% annual term-premium harvest in steepening regimes; equity passthrough adds ~200-400 bps over 20-40d.
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 silver outperforms gold, industrial miners rally. When gold outperforms, the market is in safe-haven mode — go GLD only.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore Cme Basis Curve Steepening on alphactor.ai
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