GC · Metals / Structural CB Regime Detector
Z102125 – GC Gold WGC CB Cross-Country Z
Aggregated cross-country changes in central-bank gold holdings z-scored on a 60-month window form a regime detector where saturation in either direction has historically preceded above-baseline gold returns.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.134
60-month z of WGC cross-country CB holdings change, tanh-bounded
Signal state
Normal
253 trading days in current state
Phase
NEUTRAL
Positive equals CB-buying peak; negative equals CB-buying trough
Sample
25 years
WGC cross-country reliable since 2001, roughly 6,491 trading days
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Central-bank gold activity is lumpy by country. Russia buys twenty tonnes one month and zero the next; Turkey sells during an FX crisis; China discloses accumulation in bursts. Aggregating cross-country activity on a 12-month rolling sum smooths single-country lumpiness and reveals the broader official-sector trend. This signal takes the WGC cross-country sum of 12-month CB gold-holdings changes, z-scores on a 60-month rolling window, and bounds through tanh. The pattern is unusual: both buying and selling extremes have historically preceded above-baseline gold returns. The Normal middle state has underperformed. This is a regime detector, not a trend-following signal. On June 2, 2015 the composite reached +1.0000 during the Russia-Turkey peak buying window and gold fell 3.5 percent. On October 2, 2025 the composite reached -1.0000 and gold rallied 10.8 percent. Today the composite reads +0.134, in Normal territory.
LIVE CHART
The 504-day z-score of a multi-input composite of US credit-quality indicators including BAA-AAA corporate spreads, 9016 trading days of history for GC.
The dark line in the top panel is the composite, bounded between minus one and plus one. Both pale bands at top and bottom mark the extreme-regime zones; because this is a regime-detector signal, both extremes have historically preceded above-baseline gold returns. The middle Normal band has underperformed. The bronze line in the middle panel is the trailing 252-day rolling Spearman IC against gold forward 60-day returns. The lower panel is COMEX GC continuous back-adjusted price on the right axis in dollars per ounce.
COMPOSITE
+0.804 / tanh
STATE
Extreme Pos
PHASE
+1
FWD 60d
+5.24% (baseline +2.32%)
SAMPLE N
9,016 days
TODAY'S PLAYBOOK READING
STATE
NORMAL
STATE AND READING
Normal, 253 days running. Composite at +0.134 is in the range.
WHY THE SIGNAL IS HERE
The underlying input is at its current level relative to the 504-day baseline. The composite reflects this with the sign-convention stated in section 2.
POSTURE FOR THE WEEKS AHEAD
The signal's historical edge is concentrated at the tanh-saturation extremes (composite below minus 0.5 or above plus 0.5). The cross-sample Pearson IC of +0.01 on SPY forward-sixty-day is a reference-asset read; the appropriate direct read is GC forward returns, which are not computed as a baseline in this page.
WHAT THE CHART SHOWS
Today the composite reads +0.134, placing the dot inside the Normal band. WGC Financial Transactions Overview publishes monthly with a 4-6 week lag; country-level CB disclosures are the primary catalyst.
TOP INPUTS FIRING
- WGC cross-country sum of 12-month CB gold-holdings change Aggregated monthly data from WGC Financial Transactions Overview across all reporters.
- 60-month rolling z-score Five-year scale of the aggregated series against its own history.
- Market phase direction Direction of the current state run from the engine Market_Phase_Int column.
THE REGIME MAP
The six regime states
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| CB stress peak | +1 | 38.4% (2494 d) | +1.43% | +0.17pp | Sep 2024, Oct 2023, Jul 2023 | |
| Normal TODAY | 0 | 20.2% (1309 d) | +0.59% | -0.67pp | Nov 2025, Aug 2024, Sep 2023 | |
| CB stress trough | -1 | 41.4% (2688 d) | +1.41% | +0.15pp | Oct 2024, Apr 2023, May 2022 |
The historical pattern
Signature episodes
THE TRACK RECORD
State changes
| State | Start | End | Duration | Fwd 60d GC |
|---|---|---|---|---|
| Positive | 10/28/2024 | 10/26/2026 | 501d | +3.19% |
Scroll inside the table for the full history. Forward 60-day GC 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
World Gold Council publishes monthly Financial Transactions Overview country-level central-bank gold-holdings data. The engine aggregates the 12-month year-on-year change in holdings across all reporting countries, computes a cross-country sum, z-scores on a 60-month rolling window, and bounds through tanh. The signal is a regime detector: extreme readings in either direction historically coincide with above-baseline gold returns, while Normal readings underperform.
Why it matters
Extreme CB buying or selling typically reflects unusual macro conditions (currency crises, de-dollarization waves, post-crisis reserve rebuilding). These same conditions drive gold through other channels (real rates, dollar strength, geopolitical risk). The V-shape in state-conditional returns reflects the fact that CB extremes are a symptom, not a cause.
Both buying and selling extremes have delivered above-baseline forward returns (+1.43% and +1.41% respectively versus baseline +1.26%). Normal state has underperformed (+0.59%). Use the signal as a regime-identification filter; pair with direction signals (credit stress, positioning) for directional view.
Spearman IC is +0.01, essentially zero. This reflects the V-shape; linear measures of signal-return correlation cannot capture non-monotonic state-conditional patterns. Readers should NOT interpret the signal as a direction signal on daily basis; the state-conditional analysis is where the regime information lives.
GO DEEPER
What the Gold Credit-Quality Composite signal actually tells you (and when it does not)
The brief covers the WGC Financial Transactions Overview methodology, the cross-country aggregation approach, three signature episodes (2015-06 series max, 2025-10 series min, 2010-11 post-GFC peak), and four caveats on reading a regime-detector signal with non-monotonic state-conditional means. Includes the V-shape state-conditional pattern analysis.
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 05, 2026 09:26 PM ET