Backtest: Buy MPC at the close when Brent crude closes down more than 2% on the day but...
A refiner that holds a bid while crude gets flushed is showing crack-spread strength, and that resilience is supposed to persist once the oil flush stabilizes. That's the intuition behind buying MPC when Brent closes down more than 2% but MPC still finishes green, then exiting on a break below its 5-day average or after five sessions.
We tested it bar-by-bar with $100,000 starting capital. The edge didn't show up in the headline. The strategy made 11.36% across 37 trades, winning just 43.2% of the time, and it trailed a simple SPY buy-and-hold by 64.98 points.
The full trade-by-trade breakdown and the rest of the evidence are below.
Buy MPC at the close when Brent crude closes down more than 2% on the day but MPC closes positive; exit when MPC closes below its 5-day simple moving average or after 5 trading days, whichever comes first. A refiner holding gains during a crude down-spike is showing crack-spread strength, and that price resilience tends to persist once the oil flush stabilizes.
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 MPC at the close when Brent crude closes down more than 2% on the day but MPC closes positive; exit when MPC closes below its 5-day simple moving average or after 5 trading days, whichever comes first. A refiner holding gains during a crude down-spike is showing crack-spread strength, and that price resilience tends to persist once the oil flush stabilizes.
The key numbers
The charts
The takeaway
The strategy returned +11.36% on $100,000 starting capital across 37 closed trades with a 43% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 64.98 points. Best single trade +11.17%, worst -9.43%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.