KC SPECIALIST · Softs / Cross-Soft Macro
Z6530 – [KC] Softs Basket Import Price YoY Signal
BLS Import Price Index for the Green Coffee plus Cocoa plus Sugar basket year-over-year, as a cross-soft macro lens for Arabica supply cycles.
At a glance
Current reading
-0.950
Signal state
Basket Collapse
192 days in Stress phase
Updated
Nov 04, 2026
Monthly BLS IPI release
Sample
44-year window
Monthly cadence; 1982-03 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The BLS Import Price Index for the Green Coffee plus Cocoa plus Sugar basket (series IR000) is one of the longest continuous softs-basket series on public record, with monthly data from March 1982 onward. Year-over- year change in this basket captures the multi-decade softs cycle and separates macro cross-soft co-movement from idiosyncratic coffee-only moves. When the softs basket rallies in year-over-year terms, physical demand across the soft commodity complex is tightening and bullish Arabica setups follow; when it collapses, the broader soft complex is loosening. The signal z-scores the basket year-over-year and tanh-bounds. Daily Spearman IC against Arabica forward 60-day returns is plus 0.101 at p-value 7e-20 across 8,194 observations; Phase +1 basket-rally firings deliver a plus 2.44 pp edge above baseline across 3,050 trading days. Full regime stats and historical case episodes below.
LIVE CHART
KC Softs Basket Import Price YoY Signal
What the chart is showing right now. The dark line is the cross-soft basket composite (BLS Import Price Index year-over-year z-score, tanh-bounded) on the left axis plus or minus one. Positive composite means the Green Coffee plus Cocoa plus Sugar import-price basket is running above its year-over-year trend (macro tightness, bullish Arabica). The bronze line in the middle panel is ICE US Coffee C first-nearby in cents per pound. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
-0.950 / tanh
STATE
Basket Collapse
PHASE
-1.83
DAILY IC
+0.101 (p = 7e-20)
PHASE SPREAD
3.97 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Basket Collapse firing at composite -0.950, 192 trading days running in the STRESS phase. Phase +1 (Basket Rally) delivers plus 4.99 percent fwd60d / plus 2.44 pp above plus 2.55 pct baseline across 3,050 days. Phase -1 (Basket Collapse) delivers plus 1.02 percent / minus 1.53 pp below baseline across 3,037 days. Daily IC plus 0.101 at p = 7e-20. Non-overlap rho plus 0.150 at p = 0.08 across 137 samples; sign-consistent with daily IC and near-significant at the 10 pct threshold.
THE CROSS-SOFT MECHANISM
Green Coffee plus Cocoa plus Sugar share common macro demand drivers (emerging-market consumption, global disposable income, dollar strength through import channels). When all three rally in year-over- year terms, the complex is tightening across the board. When all three collapse, broader soft-commodity demand is weakening. The basket signal separates this macro co-movement from idiosyncratic coffee moves.
HOW TO POSITION
Macro cross-asset leading read on Arabica with a multi-quarter lead horizon. Basket Rally firings (composite above plus 0.5) historically coincide with multi-year softs supercycles (1994-1995 rally, 2004- 2005 supercycle, 2010-2011 rally). Basket Collapse firings coincide with macro soft-cycle troughs. Pair with the ENSO signal (long-lead ocean forcing), the Cecafe realized-price signal (short-lead transaction confirmation), and ICE positioning.
WHAT THE CHART SHOWS
The composite sits at -0.950 in the Basket Collapse band. BLS Import Price Index for Green Coffee plus Cocoa plus Sugar has run significantly below its year-over-year trend. The current STRESS episode began February 2026; current episode has run 192 trading days which meets the BTD danger threshold.
TOP INPUTS FIRING
- Primary composite -0.950 State Basket Collapse, 192 days running in STRESS phase.
- BLS Import Price Index below year-over-year trend The IR000 series (Green Coffee plus Cocoa plus Sugar) has run negative year-over-year through 2026, pulling the z-score deep into Phase -1 territory.
- Non-overlap test near-significant (honest caveat) Non-overlap IC at 60-day sampling delivers rho plus 0.150 with p-value 0.08 across 137 samples; near- significant at the 10 pct threshold and sign-consistent with daily IC plus 0.101.
THE TAKEAWAY
What this means for you today
THE CROSS-SOFT CALL
Composite -0.950, Basket Collapse. BLS Import Price Index for the Green Coffee plus Cocoa plus Sugar basket has run significantly below its year-over-year trend. Signal firing in the Basket Collapse bucket for 192 days; forward 60-day edge in Phase -1 historically runs minus 1.53 pp below baseline.
THE EMPIRICAL CONTEXT
Phase stats show clean monotone pattern. Phase +1 (Basket Rally) delivers plus 2.44 pp above baseline; Phase 0 (On Trend) delivers minus 1.34 pp; Phase -1 (Basket Collapse) delivers minus 1.53 pp. 3.97 pp directional spread between Phase +1 and Phase -1, one of the widest cross-soft spreads in the Arabica signal library.
THE HONEST CAVEAT
Non-overlap test at 60-day sampling delivers rho plus 0.150 with p-value 0.08 across 137 samples; sign-consistent with daily IC and near-significant at the 10 pct threshold. The multi-quarter lead horizon means short-horizon forecasting is noisier than the daily IC implies. Phase 0 (On Trend) carries a counter-intuitive minus 1.34 pp edge; the signal works at the extremes, not in the middle.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 8,254 post-warmup trading days (1993-12-02 onward). Baseline Arabica fwd60d: mean plus 2.55 percent (median minus 0.66 percent). Phase +1 (Basket Rally) delivers +2.44 pp edge; Phase 0 delivers -1.34 pp; Phase -1 (Basket Collapse) delivers -1.53 pp. Non-overlap IC near-significant at p=0.08 (every-60d sampling, n = 137).
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Basket Rally | +1 | 37.0% (3050 d) | +4.99% | +2.44pp | 2024 rally, 2010 rally, 2004 supercycle | |
| On Trend | 0 | 26.3% (2167 d) | +1.21% | -1.34pp | 2017, 2013, 2007 | |
| Basket Collapse TODAY | -1 | 36.8% (3037 d) | +1.02% | -1.53pp | 2026 (current), 2019, 2001 |
The historical pattern
Signature episodes in the 33-year sample
What this measures
Year-over-year percent change in the BLS Import Price Index for End-Use series IR000 (Green Coffee plus Cocoa plus Sugar), z-scored on a rolling window and tanh-bounded. Positive composite equals above-trend cross-soft basket rally (macro tightness across the complex); negative composite equals cross-soft collapse (macro looseness). Distinct from coffee-only price signals because it captures the shared macro component across the three major import-weighted softs.
Why it matters
Why the Coffee plus Cocoa plus Sugar basket reads macro Arabica supply
The three major imported softs share common macro demand drivers; emerging-market consumption growth, developed-market disposable income cycles, dollar strength that passes through to import-weighted prices, and shipping and insurance cost cycles. When all three rally together year-over-year, the macro backdrop for softs is tightening across the board. When all three collapse together, macro demand is weakening. The signal separates this shared cross-soft component from idiosyncratic coffee moves (which are better read through the TERRACLIMATE water-deficit or Cecafe realized-price signals).
How to use this signal today
Macro cross-asset leading read on Arabica with a multi-quarter lead horizon. Basket Rally firings historically coincide with multi-year softs supercycles. Basket Collapse firings coincide with cross-soft macro troughs. Pair with the ENSO signal (long-lead ocean forcing), the Cecafe realized-price signal (short-lead transaction confirmation), the TERRACLIMATE water-deficit signal (medium-lead drought lens), and ICE Europe COT positioning for stacked conviction.
Risk overlay
Validation rests on daily Spearman IC plus 0.101 (p-value 7e-20, N = 8,194) with near-significant non-overlap test at 60-day sampling (p-value 0.08 on 137 independent samples). 3.97 pp directional spread. Primary risks are (a) the multi-quarter lead horizon means short-horizon use is noisier than daily IC implies, (b) cross-soft macro regimes can shift rapidly during emerging-market crises, and (c) Phase 0 (On Trend) carries a counter-intuitive negative edge so the signal is bucket-conditional at the extremes.
GO DEEPER
Want the full depth?
The research brief walks through the BLS Import Price Index cross-soft methodology, enumerates the 1994-1995 frost supercycle and the 2004-2005 commodity supercycle as canonical Basket Rally anchors, and explains how to pair this long-lead macro signal with short-lead Cecafe realized-price confirmation.
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 05:45 PM ET