Backtest: Buy VLO at the close when Brent crude closes up more than 1.5% on the day whi...
A 75.6% win rate and a 53.5% gain on $100,000 sounds like a strategy that works — until you notice plain SPY buy-and-hold returned 76.3% over the same window. The edge is real. It just wasn't big enough.
The setup is a divergence trade: buy VLO at the close when Brent crude finishes up more than 1.5% and VLO itself closed below the prior day. The premise being tested is that a strong crude session the refiner hasn't yet priced in tends to get bought. Exit comes when VLO closes back above its 5-day moving average, or after five trading days, whichever lands first.
Across 45 closed trades the win rate held near 76%, with the best trade up 6.1% and the worst down 7.9%. Whether that distribution is worth the capital it ties up is what the full analysis below works through.
Buy VLO at the close when Brent crude closes up more than 1.5% on the day while VLO closes below its prior close; exit when VLO closes above 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 up more than 1.5% on the day while VLO closes below its prior close; exit when VLO closes above its 5-day simple moving average or after 5 trading days, whichever comes first.
The key numbers
The charts
The takeaway
The strategy returned +53.48% on $100,000 starting capital across 45 closed trades with a 76% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 22.85 points. Best single trade +6.14%, worst -7.86%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.