Weather#170tier 2live in productionNew
hdd surprise natgas
cadence: Weeklydata: mediumlong only
paper
2007
Source
Mu, X. (2007). "Weather, storage, and natural gas price dynamics." Energy Economics, 29(1), 46-63. Also Considine 2000 RE&E.
Read the paper →
What it checks
NWS forecasts cold spike → long nat-gas E&P for 1-2 weeks.
Mechanism
Forecast HDD anomaly > +1σ → long nat-gas E&P + LDC utilities.
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
HDD-anomaly z > +1 (Nov-Feb) → long nat-gas E&P (EQT/RRC/AR/CHK/SWN/CTRA) + UNG/BOIL; hold 5/10/20d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
eia_degree_daysWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 50-150 bps
- Paper window
- T+0 to T+20d
50-150 bps per ±1σ event Nov-Feb.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
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oil energy sector rotationMacroOil-price changes predict equity returns with a lag; strongest single-sector effect is on energy producers.
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