Cme Basis Curve Steepening
In plain terms
When front-month crude or copper shows strong 3-month momentum (our stand-in for a steepening, backwardated futures curve), the strategy goes long related cyclical stocks like CAT, DE, and FCX for one to four weeks.
How it works
Data-constrained proxy: cme_futures_settle (v2 schema, migration 20260517161132) stores only one continuous front-month close per symbol with no contract_month tenor, so the true front-vs-back basis spread is not computable from this table. The generator proxies backwardation steepening with 63d log-return momentum of the front-month continuous series (CL=F for the crude basket, HG=F for the copper basket), z-scored over a 252d rolling window. Steepening fires LONG cyclical equities. Note: both cited papers document the term-structure premium on commodity futures only; the equity passthrough is this family's own extension hypothesis, not a paper-reported result.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Cme futures settle
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- Futures-only term-structure premium (backwardation predicts higher commodity-futures excess returns); no equity-passthrough alpha is reported in either cited paper.
- Tested over
- T+1 to T+20d (implemented holds 5/10/20d)
Erb-Harvey and Gorton-Rouwenhorst document a futures-only term-structure premium: backwardated (positive roll yield) commodities earn higher futures excess returns. Neither paper tests an equity passthrough; any equity edge here is the family's own hypothesis, validated only by the internal harness.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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Explore Cme Basis Curve Steepening on alphactor.ai
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