GC · Metals / Cross-Asset Coherence Regime
Z99137 – GC Shiller Inflation Cycle HP
Level-based inflation signal (a sibling signal) has NEGATIVE IC to GC. the trend dominates. Removing trend surfaces the cyclical component, which is the actual driver of real-yield movements over 20-6.
At a glance
IN-SEASON · ACTIVE
Current reading
-0.227
GC Shiller Inflation Cycle HP composite, tanh-bounded
Signal state
Mild Inflation
4 trading days in current state
Phase
NEUTRAL
Positive equals inflation cycle rising; negative equals inflation cycle falling
Sample
37 years
Live since 1989-11
As of Nov 06, 2026. Updated nightly.
SIGNAL OVERVIEW
Level-based inflation signal (a sibling signal) has NEGATIVE IC to GC. the trend dominates. Removing trend surfaces the cyclical component, which is the actual driver of real-yield movements over 20-60d horizons. The composite is bounded between minus one and plus one through. Across 37 years Phase +1 inflation cycle rising state has returned on average plus 0.35 percent forward 60-day gold return. Phase -1 inflation cycle falling state has returned on average plus 0.15 percent. Today the composite reads -0.227, in Mild Inflation territory.
LIVE CHART
GC Shiller Inflation Cycle HP: 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 inflation cycle falling regime. The pale green band marks inflation cycle rising 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
-0.227 / tanh
STATE
(nightly)
PHASE
(nightly)
FWD 60d
(nightly, baseline +0.73 percent)
SAMPLE N
9,277 days
TODAY’S PLAYBOOK READING
STATE
Mild Inflation
STATE AND HISTORY
Mild Inflation. Sample N=9,277 days since 1989-11.
WHY THE SIGNAL IS HERE
Level-based inflation signal (a sibling signal) has NEGATIVE IC to GC. the trend dominates. Removing trend surfaces the cyclical component, which is the actual driver of real-yield movements over 20-60d horizons.
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 -0.227 placing the dot inside the Mild Inflation 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 0.73 percent, median plus 0.04 percent, across 9,217 trading days.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Inflation cycle rising | +1 | 24.4% (2259 d) | +0.35% | -0.38pp | Jun 2026, Oct 2025, Oct 2023 | |
| Normal TODAY | 0 | 51.5% (4777 d) | +1.19% | +0.45pp | Nov 2026, Aug 2026, May 2026 | |
| Inflation cycle falling | -1 | 24.2% (2241 d) | +0.15% | -0.58pp | Sep 2026, Mar 2026, Jan 2026 |
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
Level-based inflation signal (a sibling signal) has NEGATIVE IC to GC. the trend dominates. Removing trend surfaces the cyclical component, which is the actual driver of real-yield movements over 20-60d horizons. The composite is z-scored against a and bounded through.
Why it matters
Level-based inflation signal (a sibling signal) has NEGATIVE IC to GC. the trend dominates. Removing trend surfaces the cyclical component, which is the actual driver of real-yield movements over 20-60d horizons.
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 37 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