algorithmic-trading-anthology-july-2026-la-nina-and-the-north-american-heating-season

Conclusion: Null

No effect. Of 6 tests, 2 fell below the usual threshold individually — about what chance produces over this many attempts — and none survived correction for the size of the search.

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

0.83

BH-FDR

Survived

q ≤ 0.10

Method

Hypothesis

La Niña winters skew cold in the US northern tier via a displaced polar jet. Signal sampled Sep–Nov, when the ENSO state is known but the weather is not.

Rule

signal = soi_3m # 3-month mean SOI

prior = +1 # higher 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
NG=F	3m	78	-0.0040	-0.80	0.804	no
NG=F	4m	78	-0.0047	-0.81	0.839	no
CL=F	3m	78	+0.0062	+1.58	0.036	yes
CL=F	4m	78	+0.0087	+1.75	0.018	yes
UNG	3m	57	+0.0003	+0.07	0.400	yes
UNG	4m	57	+0.0013	+0.25	0.371	yes

+ 2 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
CL=F	WTI Crude Oil — continuous futures on NY Mercantile, in USD.
NG=F	Natural Gas — continuous futures on NY Mercantile, in USD.
UNG	United States Natural Gas Fund — exchange-traded fund listed on NYSEArca, in USD.

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	6 tests; 2 below p=0.05, none surviving FDR