Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
14.4Miscellaneous assetsReference
Energy – spark spread
The spark spread is a gas power plant’s gross margin: electricity price minus the cost of the gas needed to make it. Traders and generators hedge or bet on it with power and gas futures.
Why there is no chart
Electricity futures (natural gas alone is in the commodities data).
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 14.4 · Miscellaneous assets
- Asset class
- Miscellaneous
- In the lab
- Explained, not backtested
Energy – spark spread (14.4)
The spark spread is a gas power plant’s gross margin: electricity price minus the cost of the gas needed to make it. Traders and generators hedge or bet on it with power and gas futures.
Key equation
Data it needs
Electricity futures (natural gas alone is in the commodities data).
More in Miscellaneous assets
- 14.1 Inflation hedging – inflation swaps
- 14.2 TIPS–Treasury arbitrage
- 14.3 Weather risk – demand hedging
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.