KC SPECIALIST · Softs / Cross-Coffee Coupling
Z9314 – [KC] Arabica-Robusta Tail Co-move State Signal
60-day density of days where Arabica and Robusta both move more than 1.5 sigma in the same direction, as a coupled-tail regime lens for Arabica.
At a glance
Current reading
-0.493
Signal state
Decoupled Regime
24 days in Stress phase
Updated
Nov 04, 2026
Daily Arabica + Robusta closes
Sample
36-year window
Daily cadence; 1990-12 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Arabica and Robusta are the two major coffee futures markets (KC at ICE US, LRC at ICE Europe). Most of the time they move idiosyncratically on origin-specific drivers. But during macro-driven regimes (commodity supercycles, dollar shocks, broad liquidity events) they tend to tail-couple; both move more than 1.5 standard deviations in the same direction on the same day. The signal reads the 60-day density of these coupled-tail days, tanh-bounded. Sustained high co-move density flags a coupled-regime context where cross-coffee flows amplify Arabica moves; low density flags idiosyncratic regimes where Arabica moves on origin-specific news. Daily Spearman IC against Arabica forward 60-day returns is plus 0.041 at p-value 1e-4 across 8,910 observations; Phase +1 coupled-tail firings deliver a plus 1.53 pp edge above baseline. Full regime stats and historical cases below.
LIVE CHART
KC Arabica-Robusta Tail Co-move State Signal
What the chart is showing right now. The dark line is 60-day density of coupled-tail days between Arabica and Robusta, tanh-bounded. Positive composite means both contracts have been moving more than 1.5 standard deviations in the same direction on many recent days (coupled 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
-0.493 / tanh
STATE
Decoupled Regime
PHASE
-0.54
DAILY IC
+0.041 (p = 1e-4)
PHASE SPREAD
1.53 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Decoupled Regime firing at composite -0.493, 24 trading days running in STRESS phase. Phase +1 (Coupled-Tail) delivers plus 4.07 percent fwd60d / plus 1.53 pp above plus 2.54 pct baseline. Phase -1 (Decoupled) delivers near-baseline. Daily IC plus 0.041 at p = 1e-4. Non-overlap not independently significant.
THE CO-MOVE MECHANISM
Arabica (KC) and Robusta (LRC) are the two cultivated coffee species with distinct origin geographies (Brazil-dominated Arabica, Vietnam-dominated Robusta). Coupled-tail days where both move together signal macro-driven regimes (commodity supercycles, dollar shocks, liquidity events). Decoupled regimes reflect idiosyncratic origin-specific drivers (frost, drought, weather).
HOW TO POSITION
Coupled-regime overlay for Arabica positioning. Coupled-Tail firings flag macro-driven regimes where cross-coffee flows amplify Arabica moves. Decoupled firings flag origin-specific regimes where Arabica-focused signals dominate. Use as context overlay, not standalone trigger.
WHAT THE CHART SHOWS
The composite sits at -0.493 in the Decoupled Regime band. Current STRESS episode began October 2026 and has run 24 trading days.
TOP INPUTS FIRING
- Primary composite -0.493 State Decoupled Regime, 24 days running.
- Arabica-Robusta currently diverging 60-day density of coupled-tail days is below baseline; each contract is responding to origin- specific drivers rather than macro flows.
- Non-overlap test not independently significant (honest caveat) Non-overlap IC rho plus 0.079 with p-value 0.34 across 149 samples.
THE TAKEAWAY
What this means for you today
THE CO-MOVE CALL
Composite -0.493, Decoupled Regime. Arabica-Robusta coupled-tail density has run below baseline. Signal firing in Decoupled bucket for 24 days.
THE EMPIRICAL CONTEXT
Phase +1 (Coupled-Tail) delivers plus 1.53 pp above baseline. Phase -1 (Decoupled) delivers near- baseline. 1.53 pp spread; directionally consistent but modest magnitude.
THE HONEST CAVEAT
Non-overlap test at 60-day sampling not independently significant (p = 0.34). 1.53 pp spread is modest. Signal is a regime overlay, pair with directional signals for sizing decisions.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 8,970 post-warmup trading days. Baseline Arabica fwd60d: mean plus 2.54 percent (median minus 0.80 percent). Phase +1 (Coupled-Tail) delivers +1.53 pp edge; Phase 0 near-baseline; Phase -1 near-baseline.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Coupled-Tail Regime | +1 | 30.3% (2719 d) | +3.84% | +1.53pp | Aug 2026, Jul 2026, Jul 2025 | |
| Baseline Co-move | 0 | 33.3% (2985 d) | +0.92% | -1.39pp | Sep 2026, Jul 2026, Jul 2026 | |
| Decoupled Regime TODAY | -1 | 36.4% (3266 d) | +2.31% | -0.00pp | Oct 2026, May 2026, Feb 2026 |
The historical pattern
Signature episodes in the 36-year sample
What this measures
Rolling 60-day density of trading days where both ICE US Coffee C and ICE Europe Robusta close more than 1.5 standard deviations from trailing mean in the same direction, tanh-bounded. Positive composite equals high coupled-tail density (coupled regime); negative composite equals low density.
Why it matters
Why Arabica-Robusta co-move reads macro regime
Arabica (ICE US Coffee C) and Robusta (ICE Europe Robusta) are the two cultivated coffee species traded on separate futures contracts with distinct origin geographies. Idiosyncratic origin drivers pull them apart; macro drivers (commodity supercycles, dollar shocks, liquidity events) pull them together. Coupled-tail density captures the macro-vs-idiosyncratic regime split.
How to use this signal today
Regime overlay for Arabica positioning. Coupled-Tail firings flag macro-driven regimes; use directional signals (ENSO, Cecafe, IMF benchmark) with greater sizing conviction. Decoupled firings flag origin-specific regimes; weight Brazil-origin signals more heavily. The signal tells you WHICH regime is active, not WHICH way to position.
Risk overlay
Daily IC plus 0.041 (p 1e-4). Non-overlap not independently significant. 1.53 pp directional spread is modest. Regime overlay use only. Coupling can amplify downside (2008) as well as upside (2021); the signal tells regime not direction.
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 07:45 PM ET