Backtest: Buy KMI at the close when Brent crude falls more than 1% on the day but KMI c...
The strategy that buys midstream operator KMI only on days when Brent crude drops more than 1% — but only if the stock closes above its 20-day moving average — returned 102.95% over the test window. That's nearly $103,000 of P&L on $100,000 starting capital, across 49 closed trades.
The idea is that when crude sells off, midstream names that refuse to break trend are absorbing defensive rotation. That relative bid, if real, should persist beyond the first day. The test asks whether a simple moving-average filter can capture that persistence.
Below is the full backtest: the rule, the bar-by-bar methodology, the equity curve, and the trade-level stats — including a 61.2% win rate and a 34.65-point edge over SPY. The evidence is laid out in the charts and tables that follow.
Buy KMI at the close when Brent crude falls more than 1% on the day but KMI closes above its 20-day moving average; exit when KMI closes below its 20-day moving average or after 10 trading days, whichever comes first. Thesis: midstream names that hold trend during crude selloffs are absorbing defensive energy flow, and that relative bid tends to persist for a week or two.
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 Brent crude falls more than 1% on the day but KMI closes above its 20-day moving average; exit when KMI closes below its 20-day moving average or after 10 trading days, whichever comes first. Thesis: midstream names that hold trend during crude selloffs are absorbing defensive energy flow, and that relative bid tends to persist for a week or two.
The key numbers
The charts
The takeaway
The strategy returned +102.95% on $100,000 starting capital across 49 closed trades with a 61% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished beating the benchmark by 34.65 points. Best single trade +11.01%, worst -5.16%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.