Economy & PolicyExtended setexperimental liveNew

Tpu Shock Trade Exposed Short

Updated dailyData needs: lowshort only

2020

Caldara, D., Iacoviello, M., Molligo, P., Prestipino, A., Raffo, A. (2020). "The economic effects of trade policy uncertainty." Journal of Monetary Economics, 109, 38-59.

Read the paper →

In plain terms

When Trade Policy Uncertainty spikes more than 1.5 standard deviations above its yearly average, multinationals with heavy foreign revenue exposure (Apple, Nike, Boeing, Caterpillar) underperform. Short the basket for 1-3 months.

How it works

Trade Policy Uncertainty shocks (z > 1.5 vs trailing year) compress equity returns of multinationals with >40% foreign revenue exposure — tariff and supply-chain risk premia widen. Caldara et al document ~-3% short-leg return over 30-60 days post-shock.

Live results

0 times picked on its own · 4 times inside a blend (3 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 4 such blended picks (3 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Tpu index
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~-3% over 30-60d
Tested over: T+1 to T+60d

~-3% over 30-60d on trade-exposed names post-TPU shock (CIMPR 2020).

Example tickers where this is likely to fire

AAPL NKE NVDA AMD BA CAT DE

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

Related families

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Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

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