KC SPECIALIST · Softs / Macro Regime
Z100223 – [KC] Median CPI Core-Core Inflation Signal
Cleveland Fed Median CPI inverted year-over-year captures entrenched-inflation regime shifts that drive Fed tightening cycles and Arabica forward 60-day returns.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.805
SEASONAL STATE
IN-SEASON · ACTIVE
Cleveland Fed Median CPI monthly release drives signal refresh.
Signal state
Disinflation Signal
67 days in Healthy phase
Updated
Nov 04, 2026
Cleveland Fed monthly release
Sample
36-year window
Monthly cadence; 1990 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The Cleveland Fed Median CPI is a trimmed-mean inflation measure that captures the median expenditure-category price change rather than the weighted all-items average. It strips outlier volatility from headline CPI and provides a cleaner read on entrenched broad-based inflation. Rising Median CPI historically signals Fed tightening cycles that translate into dollar strength, higher real yields, and commodity-complex headwinds for Arabica. Falling Median CPI signals disinflation that historically precedes commodity-friendly regimes. The signal reads Cleveland Fed Median CPI monthly year-over-year, z-scores on a rolling 2-year window, inverts (so disinflation reads positive composite), and tanh-bounds. Daily Spearman IC against Arabica forward 60-day returns is plus 0.075 at p-value 1.5e-12 across 8,947 observations, strongly significant on the 36-year sample. Phase plus 1 (disinflation) firings deliver plus 1.63 pp above the plus 2.32 percent baseline. Phase minus 1 (entrenched inflation) firings deliver minus 1.70 pp. 3.33 pp directional spread with clean monotone phase pattern.
LIVE CHART
KC Median CPI Core-Core Inflation Signal
What the chart is showing right now. The dark line is the Cleveland Fed Median CPI monthly year-over-year z-scored on a 2-year rolling window, inverted so disinflation reads positive, tanh-bounded. Positive composite means Median CPI is running below the 2-year z-score mean (disinflation regime); negative composite means above the mean (entrenched inflation regime). The bronze line in the middle panel is ICE US Coffee C first-nearby. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
+0.805 / tanh
STATE
Disinflation Signal
PHASE
+1.11
PHASE +1 EDGE
+1.63 pp
PHASE -1 EDGE
-1.70 pp
TODAY’S PLAYBOOK READING
STATE
Deflation Signal
STATE AND HISTORY
Disinflation Signal firing at composite +0.805, 67 trading days running in HEALTHY phase. Phase +1 (Disinflation Signal) delivers plus 3.94 percent fwd60d / plus 1.63 pp above plus 2.32 percent baseline. Phase -1 (Entrenched Inflation) delivers plus 0.61 percent / minus 1.70 pp below baseline. Daily Spearman IC plus 0.075 at p-value 1.5e-12 strongly significant.
THE CORE-CORE MECHANISM
Median CPI is a trimmed-mean inflation measure that captures the median expenditure-category price change rather than the weighted all-items average. It strips volatile outliers from headline CPI and provides a cleaner read on entrenched broad-based inflation. Rising Median CPI signals Fed tightening cycles that translate into commodity headwinds.
HOW TO POSITION
Macro regime overlay for Arabica. Disinflation Signal firings flag macro-tailwind regimes with Arabica strength following at 60-day horizon. Entrenched Inflation firings flag macro-headwind regimes with Arabica weakness following. Pair with the US CPI macro overlay, real yields, DXY, and supply fundamentals.
WHAT THE CHART SHOWS
The composite sits at +0.805 in the Disinflation Signal band. Cleveland Fed Median CPI has run below the 2-year z-score mean through late 2026 and Arabica forward 60-day returns historically run above baseline in this regime.
TOP INPUTS FIRING
- Primary composite +0.805 State Disinflation Signal, 67 days running in HEALTHY phase.
- Cleveland Fed Median CPI below 2-year mean Raw z-score +1.11; Median CPI has moderated below the 2-year rolling mean through late 2026 consistent with entrenched disinflation after the 2022-23 inflation peak.
- Daily IC strongly significant, non-overlap borderline Daily Spearman IC plus 0.075 at p-value 1.5e-12 strongly significant on full distribution. Non-overlap IC plus 0.133 at p-value 0.10 borderline significant on 150 samples.
THE TAKEAWAY
What this means for you today
THE DISINFLATION CALL
Composite +0.805, Disinflation Signal. Cleveland Fed Median CPI has run below the 2-year z-score mean through late 2026 consistent with entrenched disinflation after the 2022-23 inflation peak. Signal firing in Disinflation Signal bucket for 67 days; forward 60-day edge in Phase +1 historically runs plus 1.63 pp above baseline.
THE EMPIRICAL CONTEXT
Daily IC plus 0.075 at p-value 1.5e-12 strongly significant on 36-year sample. Phase +1 (Disinflation Signal) delivers plus 1.63 pp above baseline; Phase -1 (Entrenched Inflation) delivers minus 1.70 pp. 3.33 pp directional spread with clean monotone phase pattern.
THE HONEST CAVEAT
Non-overlap IC at 60-day sampling plus 0.133 at p-value 0.10 borderline significant on 150 samples. Median CPI monthly cadence limits short-horizon use; the signal is a slow-moving macro regime anchor. Orthogonal to the US CPI via different aggregation and lower autocorrelation (rho 0.73 vs the US CPI rho 0.99).
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 8,947 post-warmup trading days (1990 onward). Baseline Arabica fwd60d mean plus 2.32 percent. Phase +1 (Disinflation Signal) delivers +1.63 pp edge; Phase -1 (Entrenched Inflation) delivers -1.70 pp. 3.33 pp directional spread with daily IC plus 0.075 strongly significant.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Disinflation Signal TODAY | +1 | 42.5% (3806 d) | +3.94% | +1.63pp | 2026 (current), 2024, 2015 | |
| On Trend | 0 | 20.8% (1863 d) | +1.99% | -0.33pp | various | |
| Entrenched Inflation | -1 | 36.6% (3278 d) | +0.61% | -1.70pp | 2022-23, 2008, 1990-91 |
The historical pattern
Signature episodes in the 36-year sample
THE TRACK RECORD
Every state change in the last 2 years
10 state transitions from 03/03/2025 to 11/04/2026. Full history (202 total transitions since 12/03/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d KC |
|---|---|---|---|---|
| Neutral | 03/03/2025 | 04/30/2025 | 42d | +0.68% |
| Expansion | 05/01/2025 | 05/30/2025 | 21d | +13.75% |
| Neutral | 06/02/2025 | 06/30/2025 | 20d | +9.10% |
| Expansion | 07/01/2025 | 11/28/2025 | 106d | +6.73% |
| Neutral | 12/01/2025 | 12/31/2025 | 22d | +0.84% |
| Expansion | 01/02/2026 | 03/31/2026 | 61d | -4.81% |
| Defensive | 04/01/2026 | 05/29/2026 | 41d | +13.09% |
| Expansion | 06/01/2026 | 06/30/2026 | 21d | +0.99% |
| Neutral | 07/01/2026 | 07/31/2026 | 22d | +3.43% |
| Expansion LIVE | 08/03/2026 | current | 67d | +1.58% |
Scroll inside the table for the full history. Forward 60-day KC is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
Z-score of Cleveland Fed Median CPI monthly year-over-year on a rolling 2-year window, inverted so disinflation reads positive composite, tanh-bounded. Positive composite equals Median CPI below the 2-year z-score mean (disinflation regime); negative composite equals above the mean (entrenched inflation regime). Target ICE US Coffee C first-nearby back-adjusted close.
Why it matters
Why core-core inflation matters for Arabica
The Cleveland Fed Median CPI is a trimmed-mean inflation measure that strips outlier volatility from headline CPI and provides a cleaner read on entrenched broad-based inflation. Rising Median CPI signals Fed tightening cycles that translate into dollar strength, higher real yields, and commodity- complex headwinds for Arabica. Falling Median CPI signals disinflation that historically precedes commodity-friendly regimes. The signal is orthogonal to the headline the US CPI overlay via different aggregation and lower autocorrelation (rho 0.73 vs the US CPI rho 0.99).
How to use this signal today
Macro regime overlay for Arabica positioning. Disinflation Signal firings flag macro-tailwind regimes where Arabica strength historically follows at 60-day horizon; Entrenched Inflation firings flag macro-headwind regimes where fundamental KC tightening may fail to translate to price. Pair with the headline the US CPI overlay, real yields, DXY, and fundamental supply signals for stacked macro-plus-fundamental conviction.
Risk overlay
Daily IC strongly significant but non-overlap test (150 independent 60-day samples) plus 0.133 at p-value 0.10 borderline significant. Median CPI monthly release cadence limits short-horizon use; the signal is a slow-moving macro regime anchor. Cleveland Fed Median CPI series from 1983 but historically less sensitive to commodity cycles than headline CPI.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 06, 2026 01:20 AM ET