Crude Term Structure Contango
In plain terms
When crude oil or natural gas front-month prices have dropped more than 5% over the past six months, short the matching oil/gas producer stocks for 30 to 90 days. This is an internal price-trend heuristic, not the cited academic basis strategy (which our single-contract data cannot compute).
How it works
Internal energy-price momentum heuristic on the front-month crude (CL) and natural-gas (NG) continuous futures series. A sustained slide in the front-month commodity price tends to precede weaker upstream E&P producer cashflow over the following 30-90 days, so a falling front-month signals a short on the matching producer basket. This is NOT the Gorton-Rouwenhorst cross-sectional futures basis (that requires two simultaneous contract tenors, which our continuous-front-month feed cannot provide); the original GR citation has been removed because the paper does not support this implementation, and the paper itself trades commodity futures, not producer equities (which it finds are not a close substitute, corr ~0.40 with futures).
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
- Tested over
- T+0 to T+90d
-1% to -4% over 60-90d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
WTI tightening to Brent → US refiner margin tailwind.
EIA crude-storage surprise (vs consensus) → 1-5d energy move.
NWS forecasts cold spike → long nat-gas E&P for 1-2 weeks.
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