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Z3616 NG Carry Plus Storage Composite Signal

Three-leg Natural Gas composite — 60 percent EIA L48 storage vs 5-year week-of-year climatology, 30 percent EIA storage seasonal-model residual, 10 percent nearby curve carry — as a Grade B+ directional signal on NYMEX Natural Gas forward returns with INDEPENDENTLY SIGNIFICANT non-overlap post-2003.

At a glance

As of Oct 30, 2026. Updated nightly.

OBJECTIVE

The L1-L6 term structure is the single most-watched Natural Gas signal but on its own it is wrong-signed. The predecessor signal was a pure L1-L6 carry z-score that read daily IC wrong-signed near-zero against NG forward returns — the exact opposite of its declared bullish polarity. Phase edges were essentially zero. The signal was firing EXTREME_POS bullish at the moment the review caught it, with history saying that was an anti-signal. This reformulated signal rebuilds around EIA weekly L48 storage data as the fundamental ground-truth anchor. 60 percent of the composite is storage vs 5-year week-of-year climatology (negative = storage below climatology = scarcity firing). 30 percent is the EIA storage seasonal-model residual (positive surprise above model = surplus firing, inverted). The L1-L6 nearby carry z-score is retained at 10 percent as a positioning overlay but no longer carries directional weight. The honest grade: Grade B+ on the full window / Grade A post-2003. Daily Spearman IC against NG fwd60d is plus 0.103 at p-value 7.7e-22 across 8,621 trading days (full window) — strongly significant daily. Non-overlapping (every-60-day) IC is plus 0.149 at p-value 0.075 across 144 independent samples — same sign, marginal. Post-2003 window (where storage data is mature): daily IC plus 0.131 at p-value 4.3e-24, non-overlap IC plus 0.234 at p-value 0.020 — INDEPENDENTLY SIGNIFICANT. Grade A on the mature-data subset. Phase stats are cleanly monotone with wide spread: Phase +1 (Scarcity Firing) delivers plus 1.70 percent fwd60d, plus 2.79 pp above the minus 1.09 percent baseline. Phase -1 (Surplus Firing) delivers minus 4.18 percent, minus 3.09 pp below baseline. 5.88 pp directional spread. Current reading: Normal at composite plus 0.052, 3 trading days running. EIA L48 storage is near 5-year climatology, seasonal-model residual is near zero. Signal DORMANT.

LIVE CHART

THE TAKEAWAY

THE REGIME MAP

Computed from 8,621 trading days. Baseline NG fwd60d: minus 1.09 percent (NG is a chronic-negative-carry basket per roll-yield drag). Grade B+ full window with daily IC +0.103 p<1e-21; non-overlap rho +0.149 p=0.075 (marginal). Post-2003 subset: Grade A with non-overlap p=0.020 (SIGNIFICANT).

The historical pattern

THE TRACK RECORD

Scroll inside the table for the full history. Forward 60-day NG is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.

Three-leg composite: 60 percent EIA L48 storage deficit vs 5-year week-of-year climatology z (NW2_EPG0_SWO_R48_BCF, sign-flipped so below-climatology = positive scarcity signal); 30 percent EIA storage seasonal-model residual z (NG_STORAGE_SEASONAL_MODEL_WEEKLY surprise, inverted); 10 percent nearby L1-L6 term structure carry z. State thresholds plus or minus 0.2 (moderate) and plus or minus 0.5 (extreme).

Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.

Last refreshed Nov 01, 2026 09:04 PM ET