Diffusion#35tier 1live in production

`industry lead lag`

cadence: Dailydata: mediumlong onlyshort onlylong short

2010

#35 industry_lead_lag — Menzly-Ozbas 2010 customer-supplier lead-lag.

Mechanism

Information about industry-A fundamentals diffuses slowly to firms in industry-B that are economically linked. Menzly-Ozbas (2010, JF) show upstream industry returns predict downstream industry returns at 1-month horizon, with the slowest diffusion in retail-light / illiquid

Signal rule

• LONG when sector ETF outperformed SPY by 5%+ over trailing month
AND own-ticker lagged sector by 2%+ — the laggard catches up.
• SHORT when sector underperformed SPY by 5%+ AND own-ticker

Data dependencies

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

Expected edge

Signal: • LONG when sector ETF outperformed SPY by 5%+ over trailing month AND own-ticker lagged sector by 2%+ — the laggard catches up.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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industry lead lag