PoorlyweatherSP-4738
Chicago Snowfall
Daily snowfall in Chicago (cm). Industrial-disruption proxy.
the verdict —
At the 252d horizon, this signal hits in the predicted direction 29% of fires. Mean SPY forward return when it lights: -6.33%. Status: OOS validated. n = 6384. Bearish on the underlying when fired.
— Current state —
Latest value · 2026-05-18
0.00
last 90 observations · 2026-02-18 → 2026-05-18
— What it has historically predicted —
On days when this signal fires (deviates 2+ standard deviations from its 30-day average, in either direction), SPY has historically averaged -6.3% over the next year, moving in the opposite direction 71% of the time.
↓54%
−0.04%
↓56%
−0.15%
↓61%
−0.62%
↓64%
−1.6%
↓67%
−3.1%
↓71%
−6.3%
— Beyond SPY — how this signal performs across markets —
Same fire days, different forward returns. Each row asks: when this signal fires, what does that asset do? The big number is the average return; underneath is how often the asset moved the same direction as the signal (50% would be a coin flip).
target
1 d
1 wk
1 mo
3 mo
6 mo
1 yr
SPY
S&P 500 ETF
n=6,384
-0.04%
46% same direction
-0.15%
44% same direction
-0.62%
39% same direction
-1.6%
36% same direction
-3.1%
33% same direction
-6.3%
29% same direction
shaded cell = each row's strongest horizon (green = bullish forward return, red = bearish)“same direction” means the asset moved the same way the signal moved — opposite of a coin flip.