cot managed money extreme reversal
What it checks
When managed-money speculators are extremely long a commodity, fade them on the equity proxy — they tend to be wrong at extremes.
Mechanism
Extreme managed-money positioning in commodity futures predicts ~3-month reversal in the underlying commodity and its equity proxies.
Signal rule
MM net long top decile of trailing 1y -> SHORT commodity-equity proxy; bottom decile -> LONG; hold 21/63/126d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
cftc_cotWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ±5-8% over 3mo
- Paper window
- 21/63/126d
Hong-Yogo 2012; ~5-8% over 3mo on extreme decile fades.
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.
cit unwind velocity vol regimeMeta-regimeWeek-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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