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Natgas price momentum leads nitrogen-fertiliser margins

Tested at one and three months; 2 of 2 cleared the usual bar alone, none once the size of the search was counted.

Conclusion: Null

No effect. Of 2 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
00.050.250.513m1m
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.
Best p
0.015
directional
Best q
0.73
BH-FDR
Fired
2/2
at p<0.05
Survived
0
q ≤ 0.10

Method

Hypothesis

Natgas price momentum leads nitrogen-fertiliser margins

Rule

prior = +1 # higher signal -> higher returns
function test(horizon h):
basket = inverse_vol_weighted_mean(instruments)
y = sum(basket, t+1 .. t+h) # strictly forward
x = signal[t] # known at t
beta, t_stat = OLS(y ~ x) with Newey-West HAC
null = [slope(y, roll(x, k)) for k in all offsets]
p = (count(null beyond beta) + 1) / (len(null) + 1)
return beta, t_stat, p
reject if Benjamini-Hochberg q <= 0.10 across the whole screen

Evaluation

Table 1 · Test results

3m1m+3.0-3.0
HorizonnβHAC tHAC pShift p (dir)Shift p (2-sided)
3m229+0.1832+2.990.0030.0150.039
1m231+0.0633+2.100.0360.0240.043
Directional p-value scores the pre-declared prior; the two-sided value makes no directional assumption.

Reference

Instruments

last price and one-month change, live from Yahoo Finance
SymbolNotes
CFCF Industries Holdings Inc. — listed on NYSE, in USD.
NTRNutrien Ltd. — listed on NYSE, in USD.

Sample

monthly, per signal availability

Sources

NASA Goddard Institute for Space Studies. GISS Surface Temperature Analysis (GISTEMP). v4, global land–ocean temperature anomaly. data.giss.nasa.gov/gistemp
NOAA Climate Prediction Center. Teleconnection indices. AO, NAO, PNA, SAM. www.cpc.ncep.noaa.gov/products/precip/CWlink/daily_ao_index/ao.shtml
NOAA Physical Sciences Laboratory. Climate indices. ONI, Niño 3.4, MEI v2, DMI, PDO, AMO, TNA, QBO, solar flux. psl.noaa.gov/data/climateindices/list
Royal Observatory of Belgium. Sunspot Number. SILSO, monthly mean. www.sidc.be/SILSO/datafiles
Yahoo Finance. Historical market prices. Adjusted close, month-end. Retrieved with yfinance. finance.yahoo.com

Revision history

RevStageStatusChange
01Draft—Direction and criteria fixed before the experiment ran
02TestedNull2 tests at 1 and 3 months; corrected across the 94-test screen