Backtest: Buy VLO at the close when Brent crude closes down at least 1% on the day and...
When Brent crude falls at least 1% and VLO still closes up 0.5%, the setup looks like a refiner shrugging off weak oil. The question is whether that relative strength persists long enough to trade. A bar-by-bar backtest on $100,000 starting capital took the signal at the close, then exited when VLO closed below its 5-day moving average or after five sessions, whichever came first.
The strategy produced a +28.48% return over 57 closed trades, with a 47.4% win rate. That is a positive absolute result, but SPY buy-and-hold returned +85.28% over the same window, leaving the strategy trailing by 56.80 points. The details — trade distribution, drawdowns, and why the edge fell short — are in the full analysis below.
Buy VLO at the close when Brent crude closes down at least 1% on the day and VLO closes up at least 0.5% on the day; exit when VLO closes below its 5-day simple moving average or after 5 trading days, whichever comes first.
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 VLO at the close when Brent crude closes down at least 1% on the day and VLO closes up at least 0.5% on the day; exit when VLO closes below its 5-day simple moving average or after 5 trading days, whichever comes first.
The key numbers
The charts
The takeaway
The strategy returned +28.48% on $100,000 starting capital across 57 closed trades with a 47% win rate. Over the same window SPY buy-and-hold returned +85.28%, so the strategy finished trailing the benchmark by 56.80 points. Best single trade +13.06%, worst -5.66%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.