Commodities#236tier 2live in productionNew

`eia degree days weather anomaly`

cadence: Dailydata: mediumlong only

2018

Linn, J. & Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." JAERE. Mu, X. (2007). "Weather, storage, and natural gas price dynamics." Energy Economics.

Read the paper →

What it checks

Cold snap means natgas E&Ps win; heat wave means utilities win. The z-score vs 10y baseline tells you when the move is real.

Mechanism

HDD/CDD vs 10y same-day baseline z-score predicts heating/cooling demand surprise. Cold anomaly (z>1.5σ HDD) → LONG natgas E&Ps; hot anomaly → LONG utilities.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

z(HDD or CDD vs 10y same-day baseline) > 1.5σ → LONG basket (cold: EQT/RRC/AR/CHK; hot: D/SO/EXC). Hold 5/10/20d. T+1 lag.

Data dependencies

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

Expected edge

Paper alpha: 200-400 bps basket over 5-20d
Paper window: T+1 to T+20d

Linn-Muehlenbachs document 2-4% basket-level move within 5d on >1.5σ weather anomaly.

Example tickers where this is likely to fire

EQT RRC AR CHK D SO EXC

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

Related families

eia natgas storage surpriseCommodities

The EIA Weekly Natural Gas Storage Report (Thu 10:30am ET) is the dominant single-event-day driver for the natgas equity complex. The market trades the surprise vs same-week-of-year 5y mean: build smaller than expected (or draw larger) = bullish, natgas E&P basket re-rates up 1-5 trading days.

weather x eia x utilitiesEnergy composite

Cold-weather anomaly (HDD 1σ above same-week 5y mean) combined with tight natgas storage (storage_change 1σ below same-week 5y mean) is a joint demand+supply stress. Utilities (fuel-cost passthrough lag) underperform short-term; natgas E&Ps benefit on price. We combine both legs into a directional pair trade per ticker.

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eia degree days weather anomaly