EU imbalance price mean reversion Tier 1

Source: ENTSO-E, Netherlands / Belgium / France · Raw series only, not yet a /v1/factors entry

Real-time imbalance settlement prices across three European markets, both real confirmed categories, each tested against its own forward mean reversion - the strongest Factor Quality Score of any factor in our library on every non-economic dimension, and the largest raw signal strength we've measured, independently confirmed across all 6 country/category combinations.

Economic effect

-0.97x to -1.46x realized volatility at 20 trading days across the 6 combinations - every single one exceeds our crude spread and ERCOT spark spread factors' own headline effects.

Servable combinations

Country	Category	Control area EIC	Economic effect (h=20)
Netherlands	`A04`	`10YNL----------L`	-1.30x
Netherlands	`A05`	`10YNL----------L`	-0.98x
Belgium	`A04`	`10YBE----------2`	-1.39x
Belgium	`A05`	`10YBE----------2`	-1.46x
France	`A04`	`10YFR-RTE------C`	-0.97x
France	`A05`	`10YFR-RTE------C`	-1.00x

All 6 combinations score a flawless 100% on all four non-economic scorecard dimensions - sign consistency, crisis robustness, horizon consistency, OOS stability - at full walk-forward confidence (12 real annual folds, 2015 through 2026). Every real regime agrees on sign, including both crisis-labeled years (2020 COVID, 2022 Ukraine energy crisis). A redundancy check across all 18 ordered candidate/target pairs (both categories within each country, and the same category across countries) confirmed no combination collapses into another. One real asymmetry: France's own two categories gain essentially nothing from any candidate tested - each is already a strong, self- sufficient predictor of its own forward change - yet both remain strong candidates for predicting the Netherlands' and Belgium's own forward change, a one-way, not mutual, relationship.

This factor's own legal clearance is real but sits at a slightly different rigor level than our other EU factors: confirmed at exact item 27 of ENTSO-E's own real free-reuse list ("Imbalance prices"), closed after an initial category-level match. Full detail: LEGAL_REVIEW.md.

Query it

GET /v1/eu/imbalance-price?control_area_eic=10YNL----------L&imbalance_price_category=A04

Swap control_area_eic for Belgium (10YBE----------2) or France (10YFR-RTE------C) - the route has no per-country restriction. Served as a raw series today, not yet wired into /v1/factors's generic percentile/momentum/volatility machinery the way our other Tier 1 EU factors are.

Raw source: ENTSO-E Transparency Platform. Related factors: EU cross-zonal capacity, EU physical flow.

Full validation methodology: how we score factors and every real number behind these verdicts in FACTOR_CATALOGUE.md.

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