Composer
Ride the Oil Trend
Fragile
“Monthly trend check on oil: own DBO after a positive month; otherwise hold a defensive blend of TIP, GLD, and IEI sized by recent stability.”
From Composer
As tested: Monthly: DBO's 21-session return above 0 → DBO, else TIP/GLD/IEI weighted by inverse 20-day volatility.
Holding today: IEI 50% · TIP 41% · GLD 9% · last switch Oct 12, 2026
Edge per month+0.30 pts/mopts per month vs SPY
t-stat0.4695% range -0.98 to +1.58
Months120Nov 1, 2016 – Oct 12, 2026
CAGR18.5%SPY 15.8%
Max drawdown-27.2%SPY -33.8%
Since published+0.65 pts/mo56 months from Feb 13, 2022; -0.13 pts/mo before
Last 12 months+59.36 pts12 months, summed
Why fragile
- t-stat 0.46 is inside the noise
- 32% of resamples have no edge
- 71% of nudged versions keep the edge
- the edge held after publication: +0.65 since it was published in 2022-02, vs -0.13 before
Growth of $1
Ride the Oil TrendSPY
Log scale. Traded at the next open after each signal, monthly rebalance, slippage on every trade.
Year by year
2016
-3.03 pts/mo2
2017
-0.54 pts/mo12
2018
+1.23 pts/mo12
2019
-1.59 pts/mo12
2020
-1.33 pts/mo12
2021
+0.67 pts/mo12
2022
+3.21 pts/mo12
2023
-0.34 pts/mo12
2024
-1.02 pts/mo12
2025
-2.00 pts/mo12
2026
+6.25 pts/mo10