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Macro, rates & cross-asset (ETF-based) · 2026-09-05

Copper/Gold growth-proxy duration timing

let the copper/gold ratio decide when to own long Treasuries vs the short end

expected Sharpe 0.4-0.8confidence: mediumfree daily data

The copper-to-gold ratio is a market-priced proxy for the growth/inflation impulse and is documented to lead the 10-year Treasury yield (Chen et al., 2024, *Economic Fin. Analysis*). A rising ratio (cyclical strength) tends to precede higher yields — bearish for long duration — while a falling ratio precedes lower yields, favoring TLT. This times *duration* off a cross-asset signal rather than off bond prices themselves, so it is mechanically distinct from the published curve-carry idea.

Universe

CPER or COPX (copper), GLD (gold) to build the ratio; TLT (20y+) as the long-duration leg and SHY/cash as the defensive leg.

How it works

Monthly, compute the copper/gold ratio and its ~63-126-day momentum (or ratio-vs-moving-average); hold TLT when the ratio is falling/below its MA (growth cooling → yields down), rotate to SHY/cash when the ratio is rising/above its MA, hold 1 month.

Expected performance

Research-derived Sharpe estimate: 0.4-0.8. single cross-asset timing signal on two ETFs; academic evidence is short-horizon and prone to false signals, so discounted).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Monthly duration timing: hold TLT when the copper/gold ratio (CPER/GLD) is below its 6-month moving average, else hold SHY Get SignalChain — $49 →

Research & sources

More Macro, rates & cross-asset (ETF-based) ideas

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Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.