Kitchin Composite
| Metric | Value |
|---|
| Signal | BULLISH |
| Score | 2/2 |
| Expected Return (6m) | 5.6% |
| Hit Rate | 77% |
| Sharpe | 2.33 |
| Implied S&P (Oct 2026) | 6951 |
| IS-Ratio | 1.35 |
| IS-Ratio Trend | FALLING |
| IS-Ratio Score | 1 |
| EBP | -0.295713 |
| EBP Trend | EASING |
| EBP Score | 1 |
| As Of | 2026-02 |
| Backtest N | 66 |
| Basis | ISRATIO 12m momentum + EBP 3m momentum. Backtest n=66 score+2 months, 1993-2026. |
Kitchin Phase Clock
| Metric | Value |
|---|
| Phase | CONTRACTION |
| Phase % | 73% |
| Portfolio Tilt | DEFENSIVE |
| Tilt Detail | Inventory liquidation, production cuts. Favor bonds, quality, low-vol. |
| Next Transition | TROUGH |
| Estimated Date | 2026-05-07 |
| Months to Transition | 1 |
| OOS p-value | 0.000267 |
VIX Term Structure
| Metric | Value |
|---|
| Signal | NEUTRAL |
| VIX | 19.49 |
| VIX3M | 21.81 |
| VIX/VIX3M Ratio | 0.8936 |
| Moderate Threshold | ≥1.05 |
| Severe Threshold | ≥1.1 |
| As Of | 2026-04-09 |
| Backtest 60d Return | 9.69% |
| Backtest Cohen’s d | 1.005 |
| Backtest Hit Rate | 81% |
| Interpretation | Ratio >= 1.10 = severe backwardation = CONFIRMED 60d forward edge (Cohen d=1.005, 81% hit rate). DA: crisis clustering PASSED (65% non-crisis events, hit rate 84.4%). Current: CONTANGO |
COT Composite
As Of: latest available COT report (2024-Q4)
Active Signals (battery-verified): None
Battery-filtered: only COT soybeans survived April 2026 5-test validation.
Full killed list: /killed-signals/ (COT corn, wheat, crude, EUR/USD).
| Instrument | z (52wk) | z (104wk) | Extreme Short | Extreme Long | Signal Active |
|---|
| Gold (COMEX) | 0.94 | 1.19 | · | · | · |
| E-mini S&P 500 (CME) - Asset Manager | -1.76 | -0.54 | · | · | · |
ENSO Spread
| Metric | Value |
|---|
| Signal | FLAT |
| Regime | neutral |
| ONI | -0.16 |
| Trend | approaching_la_nina |
| Confidence | NONE |
| Rationale | Neutral ENSO (ONI=-0.16, trend: approaching_la_nina). No directional edge. |
| Horizon (months) | 6 |
