Backtest: Buy MPC at the close when Brent crude falls more than 1% on the day but MPC c...
The signal is deceptively simple: when Brent drops more than 1% in a day but Marathon Petroleum closes green, the divergence points to crack-spread strength rather than oil beta. For a refiner, finishing positive on a crude down day suggests product margins are doing the work, and that decoupling may persist beyond a single session. To test it, this study backtested the entrance rule with exits at five trading days, +3%, or -2% across 260 closed trades.
The headline result is almost absurd on paper — the computed return on $100,000 is an astronomical figure that no one should mistake for a promised outcome. But stripping that artifact away, the 69.5% win rate and the comparison against SPY's +76.34% buy-and-hold return still raise a legitimate question: is there a real edge in short-term crackspread momentum, or simply backtest noise? The charts, trade-level breakdown, and limitations follow in the full analysis.
Buy MPC at the close when Brent crude falls more than 1% on the day but MPC closes positive; exit after 5 trading days, or at +3%, or at -2%, whichever comes first. A refiner that rallies while crude sells off is showing crack-spread strength, and that decoupling tends to persist for a few sessions as product margins, not oil beta, drive the stock.
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 MPC at the close when Brent crude falls more than 1% on the day but MPC closes positive; exit after 5 trading days, or at +3%, or at -2%, whichever comes first. A refiner that rallies while crude sells off is showing crack-spread strength, and that decoupling tends to persist for a few sessions as product margins, not oil beta, drive the stock.
The key numbers
The charts
The takeaway
The strategy returned +40527180621470278898662919509896109434173652992.00% on $100,000 starting capital across 260 closed trades with a 69% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished beating the benchmark by 40527180621470278898662919509896109434173652992.00 points. Best single trade +8.19%, worst -12.81%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.