Backtest: Buy TTE at the close when Brent crude's 20-day realized volatility is below i...
A 67% win rate and +48.64% on $100,000 of starting capital looks like a strategy that works. Then you notice SPY buy-and-hold returned +76.34% over the same window, leaving the rules 27.70 points behind. That gap is the interesting part.
The test itself is narrow: buy TTE at the close when Brent crude's 20-day realized volatility sits below its 50-day average and the stock closes above its prior 20-day high. Exit on a close below the 10-day moving average, or after 10 trading days. The thesis is that a supermajor breaking out while oil volatility cools is being re-rated on steadier cash returns, and that the move persists until the short-term trend cracks.
Fifteen closed trades, a best of +8.61% and a worst of -4.56%. The full breakdown follows below.
Buy TTE at the close when Brent crude's 20-day realized volatility is below its 50-day average and TTE closes above its prior 20-day high; exit when TTE closes below its 10-day simple moving average or after 10 trading days, whichever comes first. A supermajor breaking out while oil volatility is falling is being re-rated on stable cash returns, and the move tends to persist until the 10-day trend breaks.
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 TTE at the close when Brent crude's 20-day realized volatility is below its 50-day average and TTE closes above its prior 20-day high; exit when TTE closes below its 10-day simple moving average or after 10 trading days, whichever comes first. A supermajor breaking out while oil volatility is falling is being re-rated on stable cash returns, and the move tends to persist until the 10-day trend breaks.
The key numbers
The charts
The takeaway
The strategy returned +48.64% on $100,000 starting capital across 15 closed trades with a 67% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 27.70 points. Best single trade +8.61%, worst -4.56%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.