Macro#133tier 2live in productionNew

`oil energy sector rotation`

cadence: Weeklydata: lowlong onlyshort onlylong short

2008

Driesprong, G., Jacobsen, B., Maat, B. (2008). "Striking oil: Another puzzle?" Journal of Financial Economics, 89(2), 307-327.

Read the paper →

What it checks

Crude oil leads energy stocks with a 1-2 month lag.

Mechanism

Oil-price changes predict equity returns with a lag; strongest single-sector effect is on energy producers.

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

long Energy-sector when 60d WTI change z > +1 with 60d uptrend; short when z < -1; hold 30/60d

Data dependencies

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

Expected edge

Paper alpha: ~3-7% over 30-60d
Paper window: T+0 to T+60d

Driesprong-Jacobsen-Maat 2008: ~3-7% over 30-60d.

Example tickers where this is likely to fire

XLE XOM CVX COP EOG

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

Related families

macro regimeMacro

Beyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.

yield curve sector rotationMacro

Yield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.

dr copper industrial leaderCommodities

Copper prices lead the industrial-sector equity bucket by 4-8 weeks.