Backtest: Buy VLO at the close when its 10-day average true range is in the bottom quin...
A refiner that goes quiet and then jumps — that's the setup. This test buys VLO at the close when its 10-day average true range sits in the bottom quintile of the prior 20 sessions and price clears the prior 5-day high, provided Brent crude is trading above its 50-day average. Exit on a close below the 5-day average, or after five sessions.
Seven trades later, the strategy made money: +20.26% on $100,000, a 57% win rate, and a best single trade of +9.88%. It also trailed buy-and-hold SPY by 56 points over the same window, which is the more interesting number. Whether that gap comes down to a thin sample of the right setups or something structural in the trigger is what the full breakdown below untangles.
Buy VLO at the close when its 10-day average true range is in the bottom quintile of the prior 20 sessions and VLO closes above its prior 5-day high while Brent crude closes above its 50-day simple moving average; exit when VLO closes below its 5-day simple moving average or after 5 trading days, whichever comes first. A refiner breaking out of a compressed range while crude is firm signals product-demand accumulation, and that expansion tends to follow through before the range resets.
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 its 10-day average true range is in the bottom quintile of the prior 20 sessions and VLO closes above its prior 5-day high while Brent crude closes above its 50-day simple moving average; exit when VLO closes below its 5-day simple moving average or after 5 trading days, whichever comes first. A refiner breaking out of a compressed range while crude is firm signals product-demand accumulation, and that expansion tends to follow through before the range resets.
The key numbers
The charts
The takeaway
The strategy returned +20.26% on $100,000 starting capital across 7 closed trades with a 57% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 56.07 points. Best single trade +9.88%, worst -3.28%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.
- Only 7 closed trades in the window — a small sample.