Geopolitical#153tier 2live in productionNew

`epu sector rotation`

cadence: Dailydata: lowlong onlyshort only

2016

Baker, S. R., Bloom, N., Davis, S. J. (2016). "Measuring Economic Policy Uncertainty." Quarterly Journal of Economics, 131(4), 1593-1636. Also Pastor & Veronesi 2013 JFE.

Read the paper →

What it checks

EPU spike → short cyclicals, long defensives.

Mechanism

EPU spike rotates cross-section: cyclicals underperform defensives 50-100bps/mo.

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

EPU z >= 1 → short cyclicals (CAT/DE/GM/F); long defensives (NEE/DUK/KO/PG); hold 30/60d

Data dependencies

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

Expected edge

Paper alpha: 50-100 bps/mo
Paper window: T+0 to T+60d

Pastor-Veronesi 2013: ERP rises 1.5% per SD EPU.

Example tickers where this is likely to fire

CAT DE NEE DUK KO

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

Related families

macro regimeMacro

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.

tpu trade policy uncertaintyGeopolitical

TPU spikes precede China-exposed semi underperformance.