Energy composite#263tier 3live in productionNew

`weather x eia x utilities`

cadence: Weeklydata: highlong onlyshort only

2018

Extends: Linn, J., Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." *JAERE*. Mu, X. (2007). "Weather, storage, and natural gas price dynamics." *Energy Economics*. Novel utility/E&P pair-trade composite.

Citation only — paper link pending.

What it checks

When cold weather and tight natural-gas storage hit simultaneously, gas producers (EQT/RRC) outperform and utilities (D/SO/EXC) underperform for one to two weeks. We trade both sides of that pair when the signal fires.

Mechanism

Cold-weather anomaly (HDD 1σ above same-week 5y mean) combined with tight natgas storage (storage_change 1σ below same-week 5y mean) is a joint demand+supply stress. Utilities (fuel-cost passthrough lag) underperform short-term; natgas E&Ps benefit on price. We combine both legs into a directional pair trade per ticker.

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

Per week, hdd_z = seasonal z-score (same-isoweek 5y baseline) of national HDD; storage_z = seasonal z-score of EIA weekly storage_change. Fire when hdd_z >= 1.0 AND storage_z <= -1.0. LONG E&P basket (EQT/RRC/AR), SHORT utility basket (D/SO/EXC/DUK). Hold 5/10 trading days.

Data dependencies

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

Expected edge

Paper alpha: untested — internal
Paper window: T+0 to T+10d

Untested — internal. Linn-Muehlenbachs 2018 documents +2-4% per-week E&P passthrough on natgas supply shocks; utility side capture untested.

Example tickers where this is likely to fire

EQT RRC AR D SO EXC DUK

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

Related families

eia natgas storage surpriseCommodities

The EIA Weekly Natural Gas Storage Report (Thu 10:30am ET) is the dominant single-event-day driver for the natgas equity complex. The market trades the surprise vs same-week-of-year 5y mean: build smaller than expected (or draw larger) = bullish, natgas E&P basket re-rates up 1-5 trading days.

hdd surprise natgasWeather

Forecast HDD anomaly > +1σ → long nat-gas E&P + LDC utilities.

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weather x eia x utilities