Backtest: Buy KMI at the close when KMI's 20-day total return trails XLE's by at least...
A 61.5% win rate and a 30.42% return is not a broken strategy. But over the same window, simply holding SPY returned far more — the KMI setup finished 54.85 points behind the benchmark. That gap is the interesting part.
The study buys KMI at the close when its 20-day total return trails XLE's by at least two percentage points and Brent crude's 20-day return is positive. It exits when KMI's five-day return beats XLE's by one point, or after ten sessions. The premise: midstream cash flows lag oil-beta energy equities during crude rallies, and the catch-up starts only once the sector bid broadens beyond producers.
Across 39 closed trades, the best was +7.49% and the worst -4.06%. The full bar-by-bar evidence, including where the edge held and where it faded, is in the analysis below.
Buy KMI at the close when KMI's 20-day total return trails XLE's by at least 2 percentage points while Brent crude's 20-day return is positive; exit when KMI's 5-day total return beats XLE's by at least 1 percentage point or after 10 trading days, whichever comes first. Midstream cash flows systematically lag oil-beta energy equities when crude rallies, and that relative catch-up tends to begin once the sector bid broadens beyond producers.
How this was measured
This is a simulated backtest generated from the plain-English strategy below, executed bar-by-bar on historical market data using the price + news data mode with $100,000 starting capital. Strategy: Buy KMI at the close when KMI's 20-day total return trails XLE's by at least 2 percentage points while Brent crude's 20-day return is positive; exit when KMI's 5-day total return beats XLE's by at least 1 percentage point or after 10 trading days, whichever comes first. Midstream cash flows systematically lag oil-beta energy equities when crude rallies, and that relative catch-up tends to begin once the sector bid broadens beyond producers.
The key numbers
The charts
The takeaway
The strategy returned +30.42% on $100,000 starting capital across 39 closed trades with a 62% win rate. Over the same window SPY buy-and-hold returned +85.28%, so the strategy finished trailing the benchmark by 54.85 points. Best single trade +7.49%, worst -4.06%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.