Real-World & Alternative DataExtended setInactiveNew
Gasoline Distillate Crack Spread
Updated dailyData needs: lowlong onlyshort only
paper
2002
Source
Considine, T.J. (2002). "Inventories and market power in the world crude oil market." Energy Economics 24(4), 343-364. + Geman & Smith (2013) Resources Policy.
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In plain terms
When gasoline ETF rallies vs crude ETF (a wide crack spread), refiners benefit; when it compresses, they suffer.
How it works
Refiner crack-spread divergence from norm passes through to refiner-tier (VLO/MPC/PSX/PBF) relative performance in 1-2w. We proxy the 2:1 crack via log(UGA)-log(USO) ETF spread.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- 80-180 bps over 5-20d (modeled)
- Tested over
- T+1 to T+20d
Considine 2002 / Geman-Smith 2013 spread-passthrough; internal target 80-180 bps over 5-20d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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