cot positioning
What it checks
CFTC weekly: when commercial hedgers are extreme-long crude or gold, the related ETF drifts up 1-3 months.
Mechanism
Commercial-net-long extremes relative to 52w history predict 4-12wk drift in futures + linked equities.
Signal rule
long commodity-linked ETF when (commercial_net - noncommercial_net) 52w z > +1; short when z < -1; hold 30/60d
Data dependencies
cftc_cotWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~4-8% over 30-90d
- Paper window
- T+0 to T+60d
Bessembinder-Chan 1992: 4-8% over 30-90d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
dr copper industrial leaderCommoditiesCopper prices lead the industrial-sector equity bucket by 4-8 weeks.
oil energy sector rotationMacroOil-price changes predict equity returns with a lag; strongest single-sector effect is on energy producers.
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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