Macro#365tier 1experimental liveNew

`gpr oil long`

cadence: Dailydata: lowlong only

2022

Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review, 112(4), 1194-1225. Combined with Hamilton (2003) and Kilian (2009).

Read the paper →

What it checks

When geopolitical risk spikes, oil prices tend to rise on expected supply disruption. Go long oil majors (Exxon, Chevron, ConocoPhillips, etc.) for 1-3 months.

Mechanism

Geopolitical risk shocks historically lift oil prices via expected supply-side disruption — Hamilton (2003) + Kilian (2009 AER) document the link from geopolitical events to oil price risk premia. The oil-major equity basket (XOM, CVX, COP, EOG, PSX, VLO, MPC, OXY, SLB, HAL, BKR, FANG) captures the upstream price-lift LONG side over 20-60 days.

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

gpr_index 252d z >= 1.5 / 2.0 (T+1) -> LONG oil-major ticker for 20/60 trading days.

Data dependencies

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

Expected edge

Paper alpha: +2-4% over 20-60d
Paper window: T+1 to T+60d

+2-4% over 20-60d on oil basket post-GPR shock (CI 2022 / Hamilton-Kilian).

Example tickers where this is likely to fire

XOM CVX COP EOG VLO MPC OXY SLB

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

Related families

gpr sector defense longMacro

When the Caldara-Iacoviello Geopolitical Risk index spikes (z > 1.5 vs trailing year), defense-industry equities outperform — the market prices in expected step-ups in defense procurement budgets. CI 2022 document +2-3% LONG-side abnormal return over 20-60 days post-shock.

acled oil supply shock longGeopolitical

Conflict events in oil-producing countries (Saudi, Iraq, Iran, Libya, Algeria, UAE, Kuwait, Yemen, Nigeria) raise the implied option value of held barrels (Hamilton 2003 / Kilian 2009 supply-shock channel). A z>=2σ spike in 7-day ACLED event count across MENA-oil + Nigeria drives a measurable LONG drift in US-listed integrated oil + refiner equities.

oil supply disruptionGeopolitical

Chokepoint disruptions (Hormuz/Red Sea/pipelines) → cross-asset: long E&P + tankers, short airlines + SPY.

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gpr oil long