GC · Metals / Cross-Asset Coherence Regime
Z13085 – GC Multifractal Spectrum Persistence Asymmetry
Truth the data source documents multifractality as universal. For gold specifically, elevated dH is a fingerprint of safe-haven-bid regimes: episodes when large-magnitude returns cluster (concentrated.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.604
GC Multifractal Spectrum Persistence Asymmetry composite, tanh-bounded
Signal state
Safehaven Strong
95 trading days in current state
Phase
HEALTHY
Positive equals persistence asymmetry positive; negative equals persistence asymmetry…
Sample
16 years
Live since 2010-05
As of Oct 30, 2026. Updated nightly.
SIGNAL OVERVIEW
Truth the data source documents multifractality as universal. For gold specifically, elevated dH is a fingerprint of safe-haven-bid regimes: episodes when large-magnitude returns cluster (concentrated flight-to-quality flow) drive the tails’ scaling to a higher Hurst exponent than the body of the distribution. Historically this state precedes 20-60d gold rallies. The composite is bounded between minus one and plus one through. Across 16 years Phase +1 persistence asymmetry positive state has returned on average plus 3.10 percent forward 60-day gold return. Phase -1 persistence asymmetry negative state has returned on average minus 0.58 percent. Today the composite reads +0.604, in Safehaven Strong territory.
LIVE CHART
GC Multifractal Spectrum Persistence Asymmetry: 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 persistence asymmetry negative regime. The pale green band marks persistence asymmetry positive regime. The bronze line in the middle panel is the trailing 252-day rolling Spearman information coefficient. The lower panel is COMEX gold continuous back-adjusted price on the right axis in dollars per ounce.
COMPOSITE
+0.604 / tanh
STATE
(nightly)
PHASE
(nightly)
FWD 60d
(nightly, baseline +1.10 percent)
SAMPLE N
4,148 days
TODAY’S PLAYBOOK READING
STATE
Safehaven Strong
STATE AND HISTORY
Safehaven Strong. Sample N=4,148 days since 2010-05.
WHY THE SIGNAL IS HERE
Truth the data source documents multifractality as universal. For gold specifically, elevated dH is a fingerprint of safe-haven-bid regimes: episodes when large-magnitude returns cluster (concentrated flight-to-quality flow) drive the tails’ scaling to a higher Hurst exponent tha.
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 +0.604 placing the dot inside the Safehaven Strong 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 gold returns and sample share
Baseline gold forward 60 day return (unconditional): mean plus 1.10 percent, median plus 0.65 percent, across 3,836 trading days.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Persistence asymmetry positive TODAY | +1 | 39.1% (1523 d) | +3.17% | +2.07pp | Jun 2026, Apr 2024, Jan 2024 | |
| Normal | 0 | 20.0% (781 d) | +0.68% | -0.42pp | May 2026, Mar 2026, Dec 2025 | |
| Persistence asymmetry negative | -1 | 40.9% (1592 d) | -0.59% | -1.69pp | Apr 2026, Feb 2026, Sep 2023 |
The historical pattern
How to use the signal today
THE TRACK RECORD
Every state change in the last 2 years
6 state transitions from 12/12/2025 to 10/30/2026. Full history (48 total transitions since 05/03/2010) is downloadable.
| State | Start | End | Duration | Fwd 60d SPY |
|---|---|---|---|---|
| Neutral | 12/12/2025 | 02/12/2026 | 42d | -2.30% |
| Defensive | 02/13/2026 | 03/16/2026 | 21d | +8.28% |
| Neutral | 03/17/2026 | 04/15/2026 | 21d | +9.98% |
| Defensive | 04/16/2026 | 05/14/2026 | 21d | +7.15% |
| Neutral | 05/15/2026 | 06/15/2026 | 21d | +4.51% |
| Expansion LIVE | 06/16/2026 | current | 95d | +1.86% |
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 multifractality as universal. For gold specifically, elevated dH is a fingerprint of safe-haven-bid regimes: episodes when large-magnitude returns cluster (concentrated flight-to-quality flow) drive the tails’ scaling to a higher Hurst exponent than the body of the distribution. Historically this state precedes 20-60d gold rallies. The composite is z-scored against a and bounded through.
Why it matters
Truth the data source documents multifractality as universal. For gold specifically, elevated dH is a fingerprint of safe-haven-bid regimes: episodes when large-magnitude returns cluster (concentrated flight-to-quality flow) drive the tails’ scaling to a higher Hurst exponent than the body of the distribution. Historically this state precedes 20-60d gold rallies.
The signal flags the current gold regime for the next 60 trading days on average. Pair with price-based signals for precise entry.
State-conditional spreads are empirical averages across 16 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 03:32 PM ET