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.
14.3Miscellaneous assetsReference
Weather risk – demand hedging
Businesses whose demand depends on the weather hedge it with derivatives on heating and cooling degree days.
Why there is no chart
Weather derivative prices and temperature 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
- 14.3 · Miscellaneous assets
- Asset class
- Miscellaneous
- In the lab
- Explained, not backtested
Weather risk – demand hedging (14.3)
Businesses whose demand depends on the weather hedge it with derivatives on heating and cooling degree days.
Key equation
Data it needs
Weather derivative prices and temperature data.
More in Miscellaneous assets
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.