Futures-Positioning#195tier 2live in productionNew
crude term structure contango
cadence: Dailydata: mediumshort only
paper
2006
Source
Gorton, G., Rouwenhorst, K.G. (2006). "Facts and Fantasies about Commodity Futures." Financial Analysts Journal, 62(2), 47-68.
Read the paper →
What it checks
Oil/gas futures curve sags into deep contango → energy producers underperform 1-3 months.
Mechanism
Steep contango (front/back < 0.95) → oversupply → short E&P names.
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
CL or NG front/6-back ratio < 0.95 → short XOM/CVX/COP/EOG/OXY or EQT/RRC/AR/CHK; hold 30/90d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
cme_futures_settleWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -1% to -4%
- Paper window
- 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
crude brent spreadCommoditiesWTI-Brent tightening = bullish US refining margins.
eia crude storage surpriseGeographicalEIA weekly surprise drives same-day move in WTI + energy equities; bullish-draw → 1-5d energy outperformance.
hdd surprise natgasWeatherForecast HDD anomaly > +1σ → long nat-gas E&P + LDC utilities.
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See which tickers this family is currently firing on, with live signals and rankings.