Backtest: Buy KMI at the close when Brent crude falls more than 2% on the day but KMI c...
A crude selloff is supposed to be bad news for energy. Midstream is the exception: pipelines earn contracted fees rather than commodity prices, so when Brent falls more than 2% and KMI still closes in the top half of its daily range, that resilience reads as a signal worth buying. That was the question tested here.
Buy at the close, hold until KMI closes below its 5-day moving average or five trading days pass. Across 50 trades the rule returned +22.64% on $100,000 starting capital and won 54.2% of the time — a positive result, not a fluke of one trade. But SPY buy-and-hold returned +76.34% over the same window, leaving the strategy 53.69 points behind.
The signal worked as a trade and failed as a portfolio. The trade-by-trade evidence is in the analysis below.
Buy KMI at the close when Brent crude falls more than 2% on the day but KMI closes in the top half of its daily range; exit when KMI closes below its 5-day simple moving average or after 5 trading days, whichever comes first. Midstream's range-confirmed resilience on a crude down-spike signals stable contracted cash flows, and that safe-haven bid tends to persist as energy beta de-risks.
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 2% on the day but KMI closes in the top half of its daily range; exit when KMI closes below its 5-day simple moving average or after 5 trading days, whichever comes first. Midstream's range-confirmed resilience on a crude down-spike signals stable contracted cash flows, and that safe-haven bid tends to persist as energy beta de-risks.
The key numbers
The charts
The takeaway
The strategy returned +22.64% on $100,000 starting capital across 50 closed trades with a 54% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 53.69 points. Best single trade +8.76%, worst -5.28%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.