Real-World & Alternative DataExtended setlive in productionNew
Polar Vortex Ssw Macro
Updated dailyData needs: highlong onlyshort only
paper
2023
Source
Smith, K., Polvani, L., Tremblay, L.B. (2016). "Predicting the Onset of Sudden Stratospheric Warmings." GRL, 43(20), 11007-11015. Also Roth Tran 2023 Management Science.
Read the paper →
In plain terms
Sudden Stratospheric Warming → polar vortex breaks → cold blast in 10-30 days → long nat-gas, short airlines.
How it works
10hPa/60°N anomaly > +3σ for 5+ days (SSW) → polar-vortex breakdown → cold air outbreaks T+10-30. Long natgas, short airlines.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Noaa strat temp
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- +2% to +5% natgas
- Tested over
- T+0 to T+30d
+2% to +5% natgas; -1% to -3% airline over 20d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Polar Vortex Ssw Macro on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.