- wyatt8240
- 4 days ago
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Turning Macro Intelligence Into Systematic Profits: A CPI-Driven Trading Framework
In this article, you'll discover:
How XTech's CPI forecasts systematically generate trading signals that have achieved an 83.3% win rate in backtests covering 8 years (Nov 2017-Sep 2025) of 30-Year US Treasury Bond futures trading
XTech's two-stage CPI forecasting system with the second (refined) November 2025 forecast predicting +0.33% MoM and +3.0% YoY inflation—released 5 days before the December 18th official BLS data with 95% historical sign accuracy—following an initial forecast released 20 days before
A complete backtest showing how early CPI intelligence translates into profits: 45.7% Kelly Edge, 1.17 Sharpe Ratio, and only 3.4 highly-selective trades per year
Why the November 2025 forecast matters more than usual: In the aftermath of a historic government shutdown that left the Fed making rate decisions without complete data, early inflation forecasts have become essential infrastructure for systematic traders
The Foundation: CPI Forecasts That Generate Trading Alpha
Backtested across an 8-year period (November 2017 - September 2025), XTech's CPI forecasting engine has demonstrated something remarkable: systematically generating trading signals with an 83.3% win rate in 30-Year US Treasury Bond futures.
This isn't luck. It's not curve-fitting. It's the natural outcome of having accurate inflation forecasts released 20 days and then 5 days before official data releases, combined with a disciplined framework for translating macro intelligence into executable trades.
The core insight is simple: When our CPI forecasts diverge significantly from market expectations, Treasury bonds are mispriced. Our signals identify these moments of divergence, enter positions, and systematically capture the repricing when official data confirms our forecast.
The result? 1.6% annualized unlevered returns with a Sharpe ratio of 1.17—achieved through just 3.4 trades per year. In Kelly Criterion terms, the strategy exhibits a 45.7% edge, one of the highest we've observed across our entire signal universe.
Today, we're releasing our November 2025 CPI forecast.
And this particular forecast comes at an unprecedented moment that amplifies its value even further.
The Unprecedented Context: A Fed Decision in the Dark
On December 10, 2025, the Federal Reserve made history—but not the kind anyone wanted. For the first time ever, the Federal Open Market Committee (FOMC) voted to cut interest rates by 25 basis points to 3.50%-3.75% without access to a full month of inflation data.
The culprit? The October 1-November 12 government shutdown—the longest in U.S. history—which prevented the Bureau of Labor Statistics from collecting October 2025 CPI data. The data simply doesn't exist and never will.
The Fed's Data Blackout
"We always hope that the data will give us a clear read... It's a very challenging situation," Fed Chair Jerome Powell admitted at his December 10th press conference. "We are well positioned to wait to see how the economy evolves."
But here's the problem: the Fed couldn't wait. With the September CPI showing inflation at 2.4% YoY and market expectations uncertain, policymakers faced an unprecedented decision with a permanent blind spot in their data series.
The implications were profound:
No October baseline: The November CPI report (due December 18) cannot calculate month-over-month changes for many categories
Fed credibility at stake: Markets are pricing the December rate cut as either prescient or premature
Data dependency broken: For the first time, traders have an entire missing month in the inflation time series
XTech's November 2025 CPI Forecast: Filling the Information Void
Exponential Technology's second (refined) forecast, released on December 13, 2025—just 5 days before the official release—projects that the November 2025 CPI will increase by +0.33% month-over-month and +3.0% year-over-year.
While the Federal Reserve struggled with missing data, XTech's alternative data-powered forecasting engine continued to operate—providing critical inflation intelligence at two critical windows: 20 days before and then 5 days before the official December 18th release.
Two Forecasts, Two Windows of Opportunity
XTech releases two distinct CPI forecasts for each monthly release, giving institutional clients multiple opportunities to position:
First Forecast (Released ~20 calendar days before official CPI):
Purpose: Early intelligence for longer-term positioning
Historical Accuracy (2017-2025):
87% correlation to actual MoM CPI
81% directional accuracy
92% sign accuracy (correct direction of change)
Mean Absolute Error: 0.001
94% cosine similarity
Second Forecast (Released ~5 calendar days before official CPI):
Purpose: Refined precision for final positioning adjustments
Historical Accuracy (2017-2025):
88% correlation to actual MoM CPI (improves on first forecast)
80% directional accuracy
95% sign accuracy (highest precision)
Mean Absolute Error: 0.0009 (improves on first forecast)
94% cosine similarity
This two-stage approach allows traders to:
Enter positions early based on the 20-day forecast (higher conviction trades with more lead time)
Refine or add to positions based on the 5-day forecast (increased accuracy as release approaches)
Capture maximum edge across different holding periods and volatility regimes
For the November 2025 CPI, subscribers received the first forecast on November 28. The second, more refined forecast was released on December 13—projecting +0.33% MoM and +3.0% YoY—just 5 days before the December 18 official release.
Why This Forecast Matters More Than Ever
In normal times, getting CPI data 20 days early provides an edge. But in the aftermath of a historic shutdown that left the Fed making decisions in the dark, early inflation forecasts are no longer just an advantage—they're essential infrastructure.
Recent Forecast Accuracy: September 2025
Our track record speaks for itself. For the most recent complete CPI cycle before the shutdown disruption:
September 2025 CPI Forecast Performance:
MoM Forecast: +0.304% vs. Actual: +0.31% (within 0.006pp)
YoY Forecast: +3.0% vs. Actual: +3.0% (exact match)
This pinpoint accuracy on the September release—just weeks before the government shutdown—demonstrates why our November forecast carries particular weight during this unprecedented data void.
Consider the timeline:
October 1-November 12: Government shutdown; no BLS data collection
October 28: XTech releases October forecast: +0.2% MoM, +2.9% YoY (no official data ever published)
November 28: XTech releases First November forecast (20 days before release)
December 10: Fed cuts rates without October CPI
December 13: XTech releases Second November forecast: +0.33% MoM, +3.0% YoY (refined, 5 days before release)
December 18: Official November CPI released (but with incomplete month-over-month data)
Market consensus: 2.9-3.1% YoY, but high uncertainty due to missing October baseline
XTech's forecasts provide what neither the Fed nor consensus economists have: a complete, alternative data-driven view of inflation trends through the shutdown period, delivered at two critical windows (20 days and 5 days before release).
The Trading Opportunity: 30-Year US Treasury Bonds
The Challenge: Monetizing Early CPI Intelligence
Getting our CPI forecasts 20 days and then 5 days before the official release gives you massive information advantages—but many clients ask: "What trades should I actually put on during these windows?"
The Solution: Pre-CPI Trading Signals for Long-Duration Fixed Income
Our research team has developed systematic trading signals that exploit the gap between our CPI forecasts and market expectations. One of our highest-conviction strategies targets 30-Year US Treasury Bond futures traded on the CME.
Backtest Results: An 83% Win Rate Over 8 Years
When our CPI forecast diverges significantly from market expectations (minimum confidence threshold: 11), traders have executed an 83.3% win rate on directional 30-Year Treasury futures positions entered pre-CPI release.
Click to expand.
Strategy Performance Metrics
Asset: 30-Year US Treasury Bond Futures (CME: ZB)
Backtest Window: November 2017 – September 2025
Performance Highlights:
Win Rate: 83.3%
Sharpe Ratio: 1.17
Sortino Ratio: 0.89
Kelly Edge: 45.7% (exceptional statistical edge)
Total Return (unlevered): 11.3%
Annualized Return (unlevered): 1.6%
Trade Characteristics:
Average Trades Per Year: 3.4 (highly selective signals)
Average Trade Duration: 1.2 days (quick capture of forecast-driven moves)
Position Sizing Optimal: Kelly-optimal sizing at 45.7% suggests significant capital allocation opportunity
Risk-Adjusted Excellence:
Profit Factor: Strong positive skew with winning trades larger than losing trades
Maximum Drawdown: Limited due to high selectivity (confidence threshold 11)
Correlation to Equities: Low correlation provides portfolio diversification benefits
Why Long-Duration Treasuries?
30-Year Treasury bonds are the purest expression of long-term inflation expectations in financial markets. When CPI surprises (or when early forecasts diverge from consensus), long bonds react violently for several reasons:
Duration Sensitivity: 30-year bonds have ~20+ years of duration, meaning they're 4-5x more sensitive to inflation surprises than 5-year notes
Fed Policy Transmission: Inflation surprises directly affect Fed policy expectations, which drive the long end of the curve
Real Yield Dynamics: Unexpected inflation changes the real yield calculation, causing immediate repricing
Liquidity Premium: As the most liquid long-duration instrument globally, ZB futures provide tight spreads and deep order books
The Method: How XTech Forecasts CPI Without Government Data
Our CPI forecasting engine doesn't rely on lagging government surveys or economic sentiment. We're processing:
✅ Real-time alternative data
✅ Granular price signals across categories that BLS surveys won't capture for weeks
✅ Machine learning models trained on years of inflation regime data
✅ Proprietary data partnerships with LSEG providing our forecasts with years of high-quality historical data
The Unifier platform processes this data in real-time, running thousands of scenarios to generate probabilistic forecasts that our research team validates before publication.
The October Shutdown Made This Infrastructure Critical
While the BLS couldn't collect data during the shutdown, XTech's alternative data sources continued operating, drawing from proprietary datasets that capture real-time economic activity independent of government surveys.
This means our November forecast incorporates information spanning the entire shutdown period—data that official statistics will never fully capture.
Signal Mechanics: How the Strategy Works
1. Forecast Divergence Detection
We monitor the difference between:
Our CPI forecasts (first forecast 20 days ahead, second forecast 5 days ahead)
Current market pricing (Treasury futures, TIPS breakevens, Fed Funds futures)
When divergence exceeds our confidence threshold (score of 11 or higher), the signals dataset identifies high-probability trade setups. The two-forecast system allows for:
Initial signal generation from the 20-day forecast
Signal confirmation or adjustment from the more accurate 5-day forecast
2. Entry Timing
Trades are entered 5-10 business days before the CPI release, capturing the period when:
XTech forecasts are public (both 20-day and 5-day forecasts)
Market hasn't fully priced the forecast divergence
Liquidity is optimal for position entry
Two-Forecast Approach:
First forecast (20 days out): Allows early positioning for longer-duration trades
Second forecast (5 days out): Enables position refinement or additional entries based on improved accuracy
3. Exit Strategy
Positions are systematically exited:
Primary exit: Shortly after CPI release when market reprices
Risk management: Time-based stops if forecast doesn't materialize
Average holding period: 1.2 days
November 2025: A Unique Setup
The November CPI release on December 18th presents an unusually compelling trading opportunity:
Our November Forecast: The Setup
XTech First Forecast (Released November 28, 20 days before):
Early positioning signal released to subscribers
XTech Second Forecast (Released December 13, 5 days before):
MoM: +0.33%
YoY: +3.0%
Refined with 88% historical correlation and 95% sign accuracy
Market Consensus (as of mid-December):
YoY Range: 2.9-3.1%
The Trading Thesis: Our second forecast of +3.0% YoY aligns with the middle of consensus range, but the accuracy advantage comes from XTech's proven track record of superior precision—confirmed by our September performance where we called +3.0% YoY exactly. The two-forecast system allows early positioning (first forecast, November 28) and then final refinement (second forecast, December 13) with 95% historical sign accuracy ahead of December 18.
Factor 1: Post-FOMC Positioning
The December 10th Fed rate cut happened before the November CPI. This means:
Markets are positioned based on incomplete information
The December 18th data will be the first test of whether the Fed cut too early or too late
Repricing potential is elevated
Factor 2: Shutdown Uncertainty Premium
With October data missing:
Consensus forecasts have wider error bars than normal
Market participants have less confidence in their estimates
XTech's alternative data provides unique informational content
Factor 3: Year-End Flows
December 18th release timing creates:
Thin year-end liquidity could amplify moves
Portfolio rebalancing flows may compound CPI reactions
Holiday-shortened trading week creates position urgency
Performance by Confidence Threshold: The Power of Selectivity
One of the most remarkable features of this strategy is how performance improves dramatically with higher confidence scores:
Confidence Threshold | Win Rate | Annual Return | Avg Trades/Year |
1-5 | 65-70% | 0.4-0.8% | 7-9 |
6-10 | 75-80% | 1.0-1.4% | 4-6 |
11+ (Current) | 83.3% | 1.6% | 3.4 |
Key Insight: By waiting for only the highest-conviction signals (threshold 11+), we:
Cut trade frequency by 60%
Increase win rate by 15+ percentage points
Maintain similar or better absolute returns
Dramatically improve risk-adjusted returns (Sharpe 1.17 vs. 0.6-0.8 for lower thresholds)
This is the essence of signal-based trading: quality over quantity.
Real-World Implementation: Instructions Dataset
XTech Macro Signals provides two datasets:
1. Instructions Dataset (Point-in-Time)
Released when signals trigger, containing:
Trade direction: Long or short ZB futures
Entry timing: Exact datetime for position entry
Confidence score: Our conviction level (November forecast exceeds threshold of 11, triggering trade signal)
Position sizing guidance: Based on Kelly criterion
2. Summary Dataset (Performance Tracking)
Updated after trade exits, containing:
Realized P&L: Actual returns from following instructions
Updated statistics: Rolling win rate, Sharpe, Sortino
Trade attribution: Which forecasts drove profitable signals
Risk Disclosure and Strategy Limitations
What This Strategy Is NOT:
❌ Not a daily trading strategy: Signals fire only 3-4 times per year
❌ Not market-neutral: Directional bets on inflation forecast accuracy
❌ Not leveraged returns: Reported returns are unlevered (though futures allow leverage)
❌ Not guaranteed: Past performance ≠ future results, especially in unprecedented macro environments
What You Need to Succeed:
✅ Futures trading infrastructure: CME membership or FCM relationship
✅ Capital allocation discipline: Ability to deploy significant capital 3-4x per year
✅ Risk management framework: Position sizing and stop-loss protocols
✅ Data integration capability: API access to XTech Unifier platform
Get Access: Trial the CPI Forecast + Trading Signals
Our CPI forecast dataset includes:
✅ Two monthly forecasts per release: First forecast ~20 days before BLS data, second forecast ~5 days before (increased accuracy)
✅ Confidence intervals and probabilistic scenarios
✅ Backtested trading signals across rates, FX, and equity derivatives
✅ Real-time dashboard access to track forecast performance
✅ API integration for systematic strategies via the Unifier platform
The trading signals highlighted above are available as a licensable dataset—the same data institutional clients are already using to position ahead of CPI.
Request Trial Access
📧 Questions? Email: : sales@exponential-tech.ai
We'll provide:
Full access to current month forecast + historical performance
Backtesting dashboard walkthrough
Technical integration support for Unifier platform
Custom signal configuration based on your risk parameters
The Bottom Line: Why Now?
Even with the government shutdown ended, there's no reason to fall behind. In an environment where:
The Fed made a rate decision without complete data
Official statistics have a permanent gap in October
Markets are navigating unusual uncertainty
December 18th CPI will be the first major inflation test post-Fed cut
...subscribers who receive CPI projections 20 days AND 5 days before the official release have a structural information advantage that no amount of traditional economic analysis can replicate.
The November 2025 forecast is live.
The December 18th release is days away.
The Treasury futures market is liquid and waiting.
The question isn't whether CPI forecasts matter anymore. It's whether you're trading with them or against them.
About XTech Global Macro Forecasts
Exponential Technology provides institutional-grade macroeconomic forecasts powered by alternative data and machine learning. Our CPI forecasting track record:
Two forecasts per release: First forecast ~20 days before (87% correlation), second forecast ~5 days before (88% correlation, 95% sign accuracy)
35.1% hit rate (2017-2025) vs. 30.9% for Reuters Poll consensus
24 days average lead time vs. 2 days for consensus final polls
Operated continuously through 2025 government shutdown when official data collection stopped
When the BLS can't collect data, XTech can.
Disclaimer: This material is for informational purposes only and does not constitute investment advice. Past performance is not indicative of future results. Trading futures involves substantial risk of loss. XTech Macro Signals are provided as data, not recommendations.
