cme silver gold ratio regime
What it checks
When silver outperforms gold, industrial miners rally. When gold outperforms, the market is in safe-haven mode — go GLD only.
Mechanism
SI/GC ratio z-score. SI/GC rising = silver outperforming gold = industrial-metals regime → LONG industrial miners (FCX, SCCO, X). SI/GC falling = monetary-stress regime → LONG GLD/IAU only.
Signal rule
z(SI/GC ratio) > 1.0σ → LONG industrial miners; z < -1.0σ → LONG GLD/IAU. Hold 10/20/40d. T+1 lag.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
cme_futures_settleWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 100-250 bps over 20-40d
- Paper window
- T+1 to T+40d
Baur-Lucey 2010 documents regime-specific gold/silver behaviour; the cross-asset metal-rotation overlay adds ~100-250 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
cme basis curve steepeningCommoditiesFront-month vs back-month spread for crude/copper. Backwardation steepening (front > back rising) signals cyclical demand strength → LONG cyclical equities (FCX, XLB, CAT, DE).
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
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