Backtest: When Brent crude closes down more than 2% and VLO closes up on the same day,...
A 2% down day in Brent crude and Valero closing green on the same session looks like a textbook read on refining margins: crude costs fall, crack spreads widen, and the refiner's relative strength should persist. The backtest says otherwise.
Running that exact signal across 23 trades produced a -9.88% return on $100,000 with a 34.8% win rate. SPY buy-and-hold over the same window returned +68.30%, putting the strategy 78.18 points behind the benchmark.
The full trade-by-trade evidence—winners, losers, and where the edge broke down—is in the analysis below.
When Brent crude closes down more than 2% and VLO closes up on the same day, buy VLO at the close; exit after 5 trading days. VLO's ability to rally amid a sharp crude sell-off signals strong refining margins, and that relative strength tends to persist as the market re-rates the crack spread.
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: When Brent crude closes down more than 2% and VLO closes up on the same day, buy VLO at the close; exit after 5 trading days. VLO's ability to rally amid a sharp crude sell-off signals strong refining margins, and that relative strength tends to persist as the market re-rates the crack spread.
The key numbers
The charts
The takeaway
The strategy returned -9.88% on $100,000 starting capital across 23 closed trades with a 35% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished trailing the benchmark by 78.18 points. Best single trade +10.84%, worst -6.53%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.