Backtest: Buy TTE at the close when TTE's trailing 20-day total return lags Brent crude...
The setup sounds like a clean oil pass-through trade: an integrated major lags a rising crude tape, and the catch-up should follow. Buying TTE when its 20-day return trails Brent by at least 8 percentage points while crude is rising, then exiting on a five-day catch-up or after 10 sessions, returned +35.85%.
But it still trailed SPY buy-and-hold by 40.49 points. That gap is the finding. The catch-up re-rating was real enough to trade, yet it did not keep pace with simple beta over the same window.
The full trade-by-trade breakdown is below.
Buy TTE at the close when TTE's trailing 20-day total return lags Brent crude's by at least 8 percentage points while Brent crude's 20-day return is positive; exit when TTE's 5-day return beats Brent crude's by at least 2 percentage points or after 10 trading days, whichever comes first. An integrated major lagging a rising crude tape is being discounted for downstream/trading drag, and the catch-up re-rating tends to follow once oil pass-through reasserts.
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 TTE's trailing 20-day total return lags Brent crude's by at least 8 percentage points while Brent crude's 20-day return is positive; exit when TTE's 5-day return beats Brent crude's by at least 2 percentage points or after 10 trading days, whichever comes first. An integrated major lagging a rising crude tape is being discounted for downstream/trading drag, and the catch-up re-rating tends to follow once oil pass-through reasserts.
The key numbers
The charts
The takeaway
The strategy returned +35.85% on $100,000 starting capital across 26 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 40.49 points. Best single trade +9.61%, worst -3.75%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.