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Weather Trading

Energy trading signals derived from ensemble weather forecasts. Uses TIGGE and GFS data to identify profitable trading opportunities in European energy markets.

Overview

The core hypothesis: ensemble weather forecast spread predicts energy price volatility. When forecasts disagree, the market misprices risk. We exploit that gap.

Key Documents

Document Type Description
EDG-TR-2026-003 Technical Report Main backtesting results and methodology
Big Picture Strategy High-level project overview and thesis
Backtest Plan v3 Methodology Current backtesting approach
Preliminary Study Research Initial signal validation
Literature Review Reference Academic references and prior work

Team

Member Role Responsibility
Takeshi Ren (ED-01) Lead Meteorologist Signal generation, weather analysis
Dr. Yang (ED-00) Chief Advisor Risk management, strategy

Data Sources

Source Coverage Format
ERA5 reanalysis 2015–2019 NetCDF
TIGGE ensembles Multi-model forecasts GRIB/NetCDF
GFS archive Historical operational forecasts GRIB
SMARD German energy market data CSV
AGSI European gas storage indices CSV
European prices TTF, EEX spot and futures CSV

Results

Backtesting across multiple forecast horizons (f024–f120) with threshold-based entry signals. Results archived in the backtesting/ directory with summary visualisations.