tpu shock trade exposed short
What it checks
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.
Mechanism
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.
Signal rule
tpu_index 252d z >= 1.5 / 2.0 (T+1) -> SHORT trade-exposed multinational (AAPL, NKE, NVDA, AMD, BA, CAT, etc.) for 30/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
tpu_indexWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~-3% over 30-60d
- Paper window
- 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
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
tpu trade policy uncertaintyGeopoliticalTPU spikes precede China-exposed semi underperformance.
multinational usd translationMacroUSD strengthening compresses earnings for FX-exposed firms via translation; proxy via rolling 60d own-return beta to DTWEXBGS.
macro regimeMacroBeyond 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.
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