algorithmic-trading-anthology-july-2026-el-nino-anchoveta-and-protein-meal-substitution

Conclusion: Null

No effect at any horizon tested, across 9 tests.

Every test, against the significance threshold

persistence-robust p · left is stronger evidence

Filled markers fall below the 0.05 threshold before multiple-testing correction; hollow markers do not. Correction is applied across the whole batch, so an individual marker clearing the line is not a result on its own.

Tests

ticker × horizon

p < 0.05

uncorrected

Best q

1.00

BH-FDR

Survived

q ≤ 0.10

Method

Hypothesis

El Niño warms the Humboldt current and collapses the anchoveta catch, removing fishmeal from global protein-meal supply. Soybean meal is the marginal substitute.

Rule

signal = soi_3m # 3-month mean SOI

prior = -1 # lower SOI -> higher returns

function test(instrument, horizon h):

y = sum(returns[instrument], t+1 .. t+h) # strictly forward

x = signal[t] # known at t

beta, t_stat = OLS(y ~ x) with Newey-West HAC, lag = h + 1

# null: slide x against y by every admissible offset, so

# persistence appears identically under the null

null = [slope(y, roll(x, k)) for k in all offsets]

p = (count(abs(null) >= abs(beta)) + 1) / (len(null) + 1)

return beta, t_stat, p

reject if Benjamini-Hochberg q <= 0.10 across the whole study

Evaluation

Table 1 · Every test in this hypothesis

forward return regressed on the SOI signal

Instrument	Horizon	n	β	HAC t	Shift p	Sign as predicted
ZM=F	1m	312	+0.0006	+1.01	0.897	no
ZM=F	3m	310	+0.0015	+1.05	0.878	no
ZM=F	6m	307	+0.0015	+0.70	0.723	no
ZL=F	1m	314	+0.0006	+1.03	0.877	no
ZL=F	3m	312	+0.0017	+1.18	0.855	no
ZL=F	6m	309	+0.0002	+0.08	0.540	no
ZS=F	1m	308	+0.0005	+0.98	0.825	no
ZS=F	3m	306	+0.0012	+0.95	0.803	no
ZS=F	6m	303	+0.0004	+0.22	0.605	no

+ 5 more rows− fewer rows

Shift p is the persistence-robust p-value and is the one that decides. HAC t is shown to demonstrate how far conventional inference overstates the evidence.

Reference

Instruments

last price and one-month change, live from Yahoo Finance

Symbol	Notes
ZL=F	Soybean Oil — continuous futures on CBOT, quoted in US cents.
ZM=F	Soybean Meal — continuous futures on CBOT, in USD.
ZS=F	Soybeans — continuous futures on CBOT, quoted in US cents.

Sample

1970–2026 monthly

Sources

Queensland Department of Agriculture and Fisheries. Southern Oscillation Index. The Long Paddock. Monthly, 1876–. www.longpaddock.qld.gov.au/soi/soi-data-files

Yahoo Finance. Historical market prices. Adjusted close, month-end. Retrieved with yfinance. finance.yahoo.com

Revision history

Rev	Stage	Status	Change
01	Draft	—	Direction and criteria fixed before the experiment ran
02	Tested	Null	9 tests; 0 below p=0.05, none surviving FDR