Commodities#149tier 1live in productionNew

`crude brent spread`

cadence: Dailydata: mediumlong onlyshort only

paper

2014

Source

Buyuksahin, B., Robe, M. A. (2014). "Speculators, commodities and cross-market linkages." Review of Asset Studies.

Read the paper →

What it checks

WTI tightening to Brent → US refiner margin tailwind.

Mechanism

WTI-Brent tightening = bullish US refining margins.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.

Signal rule

DCOILWTICO - DCOILBRENTEU; 60d z; Δ10d-z < -1 = long US refiners; hold 10/30d

Data dependencies

fred_macro
Worker data table — see services/worker schema.
daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper alpha: t-stat 2010-2014
Paper window: 2003-2013

Buyuksahin-Robe 2014: measurable t-stat on refiners 2010-2014.

Example tickers where this is likely to fire

VLO PSX MPC DK HFC

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

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Beyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.

yield curve sector rotationMacro

Yield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.

copper steel ratioCommodities

Copper/steel ratio is a forward indicator of industrial-cycle leadership.