KC SPECIALIST · Softs / Macro Regime
Z1188 – [KC] CPI Inflation Regime Z-Score Signal
the US CPI year-over-year z-score as a US inflation regime lens on Arabica forward 60-day returns.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.720
SEASONAL STATE
IN-SEASON · ACTIVE
US BLS CPI monthly release drives signal refresh.
Signal state
High Inflation
62 days in Healthy phase
Updated
Nov 04, 2026
US BLS CPI monthly release
Sample
36-year window
Monthly cadence; 1990 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
US consumer price inflation is a macro regime variable that affects every commodity including coffee. The signal reads the US CPI year-over-year change, z-scores on a rolling 5-year window, and tanh-bounds. Empirically high-inflation regimes have preceded Arabica forward 60-day weakness while low-inflation disinflation regimes have preceded Arabica strength. Daily Spearman IC against Arabica forward 60-day returns is minus 0.034 at p-value 0.001 across 8,947 observations, statistically significant on the long sample but modest in magnitude. Phase plus 1 (high inflation) firings deliver minus 2.01 pp below the plus 2.32 percent baseline. Phase minus 1 (low inflation or disinflation) firings deliver plus 1.89 pp above baseline. 3.90 pp directional spread. The polarity is contrarian relative to the stagflation thesis the engine was named for; the empirical pattern is cleaner than the a priori mechanism.
LIVE CHART
KC CPI Inflation Regime Z-Score Signal
What the chart is showing right now. The dark line is US the US CPI year-over-year percent change z-scored on a rolling 5-year window and tanh-bounded. Positive composite means current inflation is running hot relative to the trailing 5-year norm; negative composite means disinflation or low-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
+0.720 / tanh
STATE
High Inflation
PHASE
+0.91
PHASE +1 EDGE
-2.01 pp
PHASE -1 EDGE
+1.89 pp
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
High Inflation firing at composite +0.720, 62 trading days running in HEALTHY phase. Phase +1 (High Inflation) delivers plus 0.30 percent fwd60d / minus 2.01 pp below plus 2.32 percent baseline. Phase -1 (Disinflation) delivers plus 4.21 percent / plus 1.89 pp above baseline. Daily Spearman IC minus 0.034 at p-value 0.001 significant on long sample.
THE INFLATION-REGIME MECHANISM
US consumer price inflation is a macro regime variable affecting every commodity. High-inflation regimes historically coincide with Fed tightening cycles, dollar strength, and risk-off commodity rotation that pressures soft commodities. Disinflation regimes historically coincide with easing cycles, dollar weakness, and commodity-friendly macro backdrops.
HOW TO POSITION
Macro regime overlay for Arabica. High Inflation firings flag macro headwind regimes with Arabica weakness following; Disinflation firings flag macro tailwind regimes with Arabica strength following. Pair with dollar index, real yields, and ENSO signals.
WHAT THE CHART SHOWS
The composite sits at +0.720 in the High Inflation band. US the US CPI year-over-year has run above the 5-year z-score mean through 2026 and Arabica forward 60-day returns historically run below baseline in this regime.
TOP INPUTS FIRING
- Primary composite +0.720 State High Inflation, 62 days running in HEALTHY phase.
- US CPI YoY above 5-year z-score mean Raw z-score +0.91; the US CPI YoY has run elevated through 2026 consistent with high-inflation macro regime.
- Daily IC modest but significant, non-overlap not independent Daily Spearman IC minus 0.034 at p-value 0.001 significant on full distribution. Non-overlap IC minus 0.032 at p-value 0.70 not independently significant on 150 samples.
THE TAKEAWAY
What this means for you today
THE REGIME CALL
Composite +0.720, High Inflation. US the US CPI year-over-year has run above the 5-year z-score mean through 2026. Signal firing in High Inflation bucket for 62 days; forward 60-day edge in Phase +1 historically runs minus 2.01 pp below baseline.
THE EMPIRICAL CONTEXT
Daily IC minus 0.034 at p-value 0.001 statistically significant on 36-year sample but modest in magnitude. Phase +1 (High Inflation) delivers minus 2.01 pp below baseline; Phase -1 (Disinflation) delivers plus 1.89 pp. 3.90 pp directional spread with clean monotone phase pattern.
THE HONEST CAVEAT
Non-overlap IC at 60-day sampling minus 0.032 at p-value 0.70 not independently significant on 150 samples. The polarity is contrarian relative to the stagflation thesis the engine was named for; empirical pattern says high inflation precedes KC weakness not strength. Treat as macro overlay not standalone trigger.
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 (High Inflation) delivers -2.01 pp edge; Phase -1 (Disinflation) delivers +1.89 pp. 3.90 pp directional spread with daily IC minus 0.034 significant but modest.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| High Inflation TODAY | +1 | 34.7% (3102 d) | +0.30% | -2.01pp | 2026 (current), 2022-23, 2008 | |
| On Trend | 0 | 16.3% (1460 d) | +0.91% | -1.40pp | various | |
| Disinflation | -1 | 49.0% (4385 d) | +4.21% | +1.89pp | 2019-20, 2015, 2001-02 |
The historical pattern
Signature episodes in the 36-year sample
THE TRACK RECORD
Every state change in the last 2 years
4 state transitions from 03/02/2026 to 11/04/2026. Full history (96 total transitions since 12/03/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d KC |
|---|---|---|---|---|
| Neutral | 03/02/2026 | 04/09/2026 | 28d | +9.34% |
| Expansion | 04/10/2026 | 05/29/2026 | 35d | +9.70% |
| Neutral | 06/01/2026 | 08/07/2026 | 48d | +0.99% |
| Expansion LIVE | 08/10/2026 | current | 62d | -2.42% |
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 US the US CPI year-over-year percent change on a rolling 5-year window, tanh-bounded. Positive composite equals high-inflation regime relative to the 5-year window; negative composite equals low-inflation or disinflation regime. Target ICE US Coffee C first-nearby back-adjusted close.
Why it matters
Why US inflation regime matters for Arabica
US CPI inflation is a macro regime variable that affects every commodity via the real-yield channel, the dollar channel, and the risk-rotation channel. High inflation drives Fed tightening, dollar strength, and commodity underperformance in the broader rotation. Disinflation drives easing expectations, dollar weakness, and commodity-friendly backdrops. Arabica is sensitive to this macro regime beyond its own supply-demand fundamentals.
How to use this signal today
Macro regime overlay for Arabica positioning. High Inflation firings flag macro-headwind regimes where fundamental KC tightening may fail to translate to price; Disinflation firings flag macro-tailwind regimes where fundamental supply shocks amplify. Pair with real yields, DXY, and fundamental supply signals (ENSO, CHIRPS, Brazil CONAB) for full stacking.
Risk overlay
Daily IC modest at minus 0.034; non-overlap test minus 0.032 at p-value 0.70 not independently significant. The polarity is contrarian relative to the stagflation thesis the engine was named for. Recent-decade behavior (2022-23 inflation peak, 2024 disinflation) is consistent with the long-sample empirical pattern but short-term macro regime shifts can be abrupt.
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 10:30 PM ET