Portfolio-Level Early Warning System

CoT portfolio-level early warning: extremes, crowding, squeeze/exhaustion, composite stress index.

As of 2026-01-20

Gemini Summary

Signal Summary:

  • The CoT Early Warning Index is currently in a "Normal" regime, with a composite value of 0.205901 as of 2026-01-20 (1). This indicates stability, reflecting typical market functioning.
  • Conviction Band: Medium | Interpretation Confidence: High Confidence | Internal Conflict Flag: No.

Key Dynamics:

  • The signal has stabilised within the normal range after recently being "Elevated" (0.643468 on 2025-11-04) (1).
  • Current positive contributors to the index include the z-score of any extreme positioning share (0.684428) and squeeze risk share (0.535634) (1).
  • Conditional Invalidation: The index rising to 0.5 or above would shift the regime to "Elevated", signalling increasing risk of volatility or unwinds (1).

Scenario Balance:

  • Base Case dominant: The index remains in the "Normal" regime, supported by its current value well within the -0.5 to 0.5 range (1).
  • Upside secondary: A decline below -0.5 (Subdued regime), triggered by a broad unwinding of speculative extremes and tactical reversal risks (1).
  • Downside residual: An increase to 0.5 or higher (Elevated/High Alert regime), prompted by a surge in speculative crowding or squeeze/exhaustion pressures (1).

Time Horizon & Aggregation:

  • Time Horizon: Tactical (weeks). Rationale: It uses weekly CoT data to identify short-term instability and potential reversals (1).
  • Aggregation Weight Hint: High. Justification: This signal provides critical cross-asset instability insights for tactical risk management and portfolio adjustments (1).

Macro Relevance:

  • This signal primarily informs macro dimensions of sentiment and risk, indirectly impacting liquidity through potential forced unwinds (1).
  • It is relevant across all cycle positions, particularly as an early warning for potential inflection points.
  • It often precedes VAR spikes and deleveraging cycles, complementing other macro signals like credit conditions (2) or financial stress (3) by providing critical positioning context.

Data & References:

  • Enriched unified CoT dataset (`df_cot_signals`) (1), latest observation: 2026-01-20.
  • Datapoints most influential for current state: `any_extreme_share_z` (0.684428) and `squeeze_share_z` (0.535634).
  • Additional public datasets that would improve depth or reliability: Market Volatility (VIX) Signal (4) and Credit Spreads Signal (5).

Early Warning System Chart

Signal chart

Portfolio-level stress indicators: extremes, crowding, squeeze/exhaustion, composite index.

Early Warning System Table▸
Report_Date n_markets spec_extreme_count hedger_extreme_count any_extreme_count crowded_long_count crowded_short_count squeeze_count exhaustion_count spec_extreme_share hedger_extreme_share any_extreme_share crowded_long_share crowded_short_share squeeze_share exhaustion_share spec_extreme_share_z hedger_extreme_share_z any_extreme_share_z crowded_long_share_z crowded_short_share_z squeeze_share_z exhaustion_share_z Early_Warning_Index Early_Warning_Regime
197 2025-10-14 351 36 32 57 99 84 14 16 0.102564 0.091168 0.162393 0.282051 0.239316 0.039886 0.045584 0.207268 -0.079008 0.851595 1.185806 -0.120179 -0.694320 -0.036331 0.237314 Normal
198 2025-10-21 358 32 24 47 93 85 17 18 0.089385 0.067039 0.131285 0.259777 0.237430 0.047486 0.050279 -0.039241 -0.628534 0.117072 0.706601 -0.155084 -0.363241 0.179327 0.096935 Normal
199 2025-10-28 361 30 25 48 97 80 12 23 0.083102 0.069252 0.132964 0.268698 0.221607 0.033241 0.063712 -0.156766 -0.578134 0.156718 0.898533 -0.447925 -0.983799 0.796297 0.083965 Normal
200 2025-11-04 362 33 37 62 101 87 21 25 0.091160 0.102210 0.171271 0.279006 0.240331 0.058011 0.069061 -0.006044 0.172465 1.061211 1.120281 -0.101390 0.095261 1.041975 0.643468 Elevated
201 2025-11-10 358 35 24 51 100 91 21 24 0.097765 0.067039 0.142458 0.279330 0.254190 0.058659 0.067039 0.117507 -0.628534 0.380891 1.127254 0.155084 0.123498 0.949118 0.547169 Elevated
202 2025-11-18 366 33 30 50 95 86 19 22 0.090164 0.081967 0.136612 0.259563 0.234973 0.051913 0.060109 -0.024680 -0.288553 0.242854 0.702004 -0.200564 -0.170407 0.630826 0.240943 Normal
203 2025-11-25 367 34 32 53 89 88 20 21 0.092643 0.087193 0.144414 0.242507 0.239782 0.054496 0.057221 0.021693 -0.169528 0.427078 0.335071 -0.111559 -0.057869 0.498151 0.218174 Normal
204 2025-12-02 364 33 32 50 88 87 17 25 0.090659 0.087912 0.137363 0.241758 0.239011 0.046703 0.068681 -0.015413 -0.153162 0.260578 0.318967 -0.125828 -0.397339 1.024547 0.216185 Normal
205 2025-12-09 366 29 34 50 85 84 23 21 0.079235 0.092896 0.136612 0.232240 0.229508 0.062842 0.057377 -0.229108 -0.039652 0.242854 0.114207 -0.301694 0.305692 0.505332 0.173278 Normal
206 2025-12-16 365 29 36 54 86 84 22 16 0.079452 0.098630 0.147945 0.235616 0.230137 0.060274 0.043836 -0.225048 0.090937 0.510452 0.186836 -0.290057 0.193841 -0.116638 0.096887 Normal
207 2025-12-23 364 24 32 46 83 85 16 14 0.065934 0.087912 0.126374 0.228022 0.233516 0.043956 0.038462 -0.477905 -0.153162 0.001107 0.023454 -0.227514 -0.517018 -0.363474 -0.216689 Normal
208 2025-12-30 362 21 24 37 84 81 15 15 0.058011 0.066298 0.102210 0.232044 0.223757 0.041436 0.041436 -0.626106 -0.645404 -0.569442 0.109985 -0.408131 -0.626779 -0.226834 -0.344240 Normal
209 2026-01-06 346 26 26 44 76 77 14 17 0.075145 0.075145 0.127168 0.219653 0.222543 0.040462 0.049133 -0.305621 -0.443937 0.019855 -0.156587 -0.430590 -0.669211 0.126673 -0.221972 Normal
210 2026-01-13 368 33 32 55 84 84 19 15 0.089674 0.086957 0.149457 0.228261 0.228261 0.051630 0.040761 -0.033846 -0.174924 0.546137 0.028593 -0.324778 -0.182698 -0.257864 -0.038122 Normal
211 2026-01-20 367 30 37 57 88 81 25 17 0.081744 0.100817 0.155313 0.239782 0.220708 0.068120 0.046322 -0.182179 0.140751 0.684428 0.276452 -0.464548 0.535634 -0.002458 0.205901 Normal
Methodology: Portfolio-Level Early Warning System