Commodities#241tier 2experimentalNew

`usda basis inversion ag long`

cadence: Dailydata: mediumlong only

1949

Extends: Working, H. (1949). "The theory of price of storage." American Economic Review. McNew, K. P. & Fackler, P. L. (1996). AJAE. Novel ag-equity passthrough — alphactor 2026-05-20.

Read the paper →

What it checks

When cash grain trades above futures (negative basis), supply is tight — long DE/AGCO/MOS for a month or two.

Mechanism

Cash > futures (negative basis, i.e. basis inversion) signals supply tightness in the underlying grain. Translates into LONG ag-equipment + fertilizer equities over 20-40d as planting/storage pressure clears.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

basis_usd_bu < -0.10 for ZC/ZS/ZW front-month for 2+ consecutive weeks → LONG ag-equipment (DE, AGCO) + fertilizer (MOS, CF, NTR). Hold 20/40d. T+1 lag.

Data dependencies

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

Expected edge

Paper alpha: 150-300 bps over 20-40d (modeled)
Paper window: T+1 to T+40d

Working 1949 + McNew-Fackler 1996 document basis as a real-time supply-tightness signal; equity passthrough is novel — modeled 150-300 bps over 20-40d.

Example tickers where this is likely to fire

DE AGCO MOS CF NTR ADM BG

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

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usda basis inversion ag long