lme warehouse drawdown momentum
What it checks
When physical buyers drain LME copper/aluminum/nickel warehouses faster than usual, miner stocks (FCX, AA, VALE) rally for the next 1-4 weeks.
Mechanism
Drawdowns in visible LME warehouse stock lead front-month metal price by 1-4 weeks (physical buyers bidding for delivery against the marginal inventory). Upstream base-metal miners track the front-month with ~1.2 beta and re-rate as stocks fall.
Signal rule
14d pct-change of LME total stock_tonnes per metal, sign-flipped z-score on a 252d window. LONG mapped miner ticker when z > 1.0 or 1.5; hold 5/10/20d. T+1 lag (Westmetall publishes morning after LME close).
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
lme_warehouse_stocksWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 300-800 bps over 10-20d
- Paper window
- T+1 to T+20d
Pindyck's structural model implies ~3-8% returns over 10-20d for the upstream miner basket on a > +1σ stock-drawdown event.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
crude term structure contangoFutures-PositioningSteep contango (front/back < 0.95) → oversupply → short E&P names.
copper steel ratioCommoditiesCopper/steel ratio is a forward indicator of industrial-cycle leadership.
eia crude storage surpriseGeographicalEIA weekly surprise drives same-day move in WTI + energy equities; bullish-draw → 1-5d energy outperformance.
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