BO · Metals / Cross-Asset Coherence Regime
Z13043 – BO AD-to-BO Aussie Dollar Spillover
Truth the data source documents AD- greater than BO residualized directional spillover at 1d lag. AD-idio-shocks propagate to BO even AFTER removing 9 common factors.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.057
BO AD-to-BO Aussie Dollar Spillover composite, tanh-bounded
Signal state
Neutral
391 trading days in current state
Phase
NEUTRAL
Positive equals ad-bo spillover positive; negative equals ad-bo spillover negative
Sample
14 years
Live since 2012-01
As of Oct 30, 2026. Updated nightly.
SIGNAL OVERVIEW
Truth the data source documents AD- greater than BO residualized directional spillover at 1d lag. AD-idio-shocks propagate to BO even AFTER removing 9 common factors. Channels: (1) China soy-crush margin nowcast via AUD-China-demand link, (2) AUD-MYR/IDR resource-currency correlation transmits to palm oil – greater than BO substitution, (3) biodiesel-vegoil demand cycle via AUD resource proxy, (4) AD closes 17:00 CT after BO closes 13:20 CT (~3.5h ASYNC window – the transmission window itself). The composite is bounded between minus one and plus one through. Today the composite reads +0.057, in Neutral territory.
LIVE CHART
BO AD-to-BO Aussie Dollar Spillover: composite bounded minus one to plus one.
The dark line in the top panel is the composite bounded between minus one and plus one. The pale red band marks ad-bo spillover negative regime. The pale green band marks ad-bo spillover positive regime. The bronze line in the middle panel is the trailing 252-day rolling Spearman information coefficient. The lower panel is CBOT soybean-oil continuous back-adjusted price on the right axis in cents per pound.
COMPOSITE
+0.057 / tanh
STATE
(nightly)
PHASE
(nightly)
FWD 60d
(nightly, baseline +1.23 percent)
SAMPLE N
3,722 days
TODAY’S PLAYBOOK READING
STATE
NEUTRAL
STATE AND HISTORY
Neutral. Sample N=3,722 days since 2012-01.
WHY THE SIGNAL IS HERE
Truth the data source documents AD- greater than BO residualized directional spillover at 1d lag. AD-idio-shocks propagate to BO even AFTER removing 9 common factors. Channels: (1) China soy-crush margin nowcast via AUD-China-demand link, (2) AUD-MYR/IDR resource-currency correla.
POSTURE FOR THE WEEKS AHEAD
The signal is a regime detector on a 60-day forward horizon. Pair with price momentum signals for conviction.
WHAT THE CHART SHOWS
Today the composite reads +0.057 placing the dot inside the Neutral band.
TOP INPUTS FIRING
- Silver returns Primary silver price momentum.
- 10-year TIPS-implied inflation breakeven Market-implied inflation expectation.
- Rolling coherence trend 5-year first-difference of coherence at 170-day cycles.
THE REGIME MAP
The three regime phases, forward 60-day soybean-oil returns and sample share
Baseline soybean-oil forward 60 day return (unconditional): mean plus 1.23 percent, median minus 1.06 percent, across 3,662 trading days.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| AD-BO spillover positive | +1 | 0.0% (1 d) | -3.07% | -4.30pp | Dec 2023 | |
| Normal TODAY | 0 | 99.9% (3719 d) | +1.23% | -0.01pp | Apr 2025, Dec 2023, Mar 2020 | |
| AD-BO spillover negative | -1 | 0.1% (2 d) | +16.60% | +15.36pp | Apr 2025, Mar 2020 |
The historical pattern
How to use the signal today
THE TRACK RECORD
Every state change in the last 2 years
5 state transitions from 11/21/2024 to 11/06/2026. Full history (64 total transitions since 03/14/1996) is downloadable.
| State | Start | End | Duration | Fwd 60d SPY |
|---|---|---|---|---|
| Neutral | 11/21/2024 | 12/20/2024 | 21d | +2.81% |
| Defensive | 12/23/2024 | 03/25/2025 | 63d | -5.16% |
| Neutral | 03/26/2025 | 04/24/2025 | 21d | +5.55% |
| Expansion | 04/25/2025 | 05/23/2025 | 21d | +15.18% |
| Defensive LIVE | 05/27/2025 | current | 366d | +7.51% |
Scroll inside the table for the full history. Forward 60-day SPY 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
Truth the data source documents AD- greater than BO residualized directional spillover at 1d lag. AD-idio-shocks propagate to BO even AFTER removing 9 common factors. Channels: (1) China soy-crush margin nowcast via AUD-China-demand link, (2) AUD-MYR/IDR resource-currency correlation transmits to palm oil – greater than BO substitution, (3) biodiesel-vegoil demand cycle via AUD resource proxy, (4) AD closes 17:00 CT after BO closes 13:20 CT (~3.5h ASYNC window – the transmission window itself). The composite is z-scored against a and bounded through.
Why it matters
Truth the data source documents AD- greater than BO residualized directional spillover at 1d lag. AD-idio-shocks propagate to BO even AFTER removing 9 common factors. Channels: (1) China soy-crush margin nowcast via AUD-China-demand link, (2) AUD-MYR/IDR resource-currency correlation transmits to palm oil – greater than BO substitution, (3) biodiesel-vegoil demand cycle via AUD resource proxy, (4) AD closes 17:00 CT after BO closes 13:20 CT (~3.5h ASYNC window – the transmission window itself).
The signal flags the current soybean-oil regime for the next 60 trading days on average. Pair with price-based signals for precise entry.
State-conditional spreads are empirical averages across 14 years. Individual regime windows can run longer or shorter than mean sample.
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 07, 2026 05:54 PM ET