Trend following on WTI crude oil spot (EIA via FRED), daily (spec wti_spec.md). Run 2026-11-07T09:09:35.692Z; 500 control runs per variant. Results in net % per trade of the entry price, 0.05% cost per round trip, fills at the next day's close. data: 9535 days with a price, 1986-01-02 .. 2026-10-30; spot 25.56 -> 107.56; negative closes 1 === MA200-L: 200-day average, long only === DEV n= 40 net 129.33 % avg 3.233 % PF 2.42 t 0.98 VAL n= 42 net 88.29 % avg 2.102 % PF 1.88 t 1.01 HOLDOUT n= 77 net 5.13 % avg 0.067 % PF 1.03 t 0.05 ALL n=159 net 222.75 % avg 1.401 % (gross 1.451 %); PF 1.58 t 1.21; at 0.15% cost avg 1.301 %; dollars per barrel 55.34 win rate 49/159 = 30.8% (95% Wilson 24.2%-38.4%); days held median 4 max 328; time in the market 55.1%; open at the end 1; entries at $5 or less 0 the 10 best trades 457.39 %; without the 10 best -234.64 %, without the 20 best -339.37 %; best: 1999-03-09..2000-12-06 long 119.40%; 2007-05-18..2008-09-03 long 68.41%; 2020-11-04..2021-12-01 long 67.87% worst open loss at a close (open positions included): -27.09 % (long 1991-01-08..1991-01-18); largest drawdown of the summed equity, open positions included: -141.07 points longs n=159 net 222.75 % | shorts n=0 net 0.00 % fill on the signal day (descriptive): n=159 avg 1.427 % PF 1.63 episodes (summed % points of the strategy / spot change): 1990-91 Gulf War spike and fall 11.00 / 13.81%; 2008 boom and bust 13.96 / -55.24%; 2014-16 collapse -9.94 / -75.74%; 2020 crash, negative price -13.33 / -80.40%; 2022 spike 43.63 / 41.81% by year (n, net %): 1986 1 21.93 | 1988 3 12.02 | 1989 6 4.25 | 1990 4 34.49 | 1991 3 -34.54 | 1992 3 -2.35 | 1994 5 -13.20 | 1995 8 -17.06 | 1996 3 13.96 | 1997 1 -5.60 | 1998 2 -3.99 | 1999 1 119.40 | 2001 4 -24.17 | 2002 5 15.30 | 2003 10 -5.79 | 2004 2 7.52 | 2005 1 19.22 | 2006 2 4.81 | 2007 5 58.83 | 2008 1 -0.99 | 2009 1 18.08 | 2010 6 -4.62 | 2011 3 2.12 | 2012 2 -2.02 | 2013 8 -6.86 | 2014 7 -9.10 | 2016 4 2.21 | 2017 9 21.11 | 2018 1 -1.27 | 2019 11 -39.51 | 2020 6 34.75 | 2021 2 23.43 | 2022 3 -7.37 | 2023 3 -14.46 | 2024 12 -16.44 | 2025 5 -20.79 | 2026 6 39.45 control (holdings shifted in time, 500 runs, 0 s): mean trades 158.55, median avg 1.607 %, 5-95% 0.164 .. 2.810 %; real avg 1.401 % at percentile 40.00 [PASS] 1 PF >= 1.2 in validation: VAL PF 1.88 [FAIL] 2 >= 50 trades in each period: 40 / 42 / 77 [FAIL] 3 t >= 2.5 on development: DEV t 0.98 [FAIL] 4 above 95th pct of the control: percentile 40.00 [FAIL] 5 positive without top-10 trades: -234.64 % [PASS] 6 holdout net positive (fresh): HOLDOUT net 5.13 % PF 1.03 VERDICT Buried (2/6 gates) === MA200-LS: 200-day average, long and short === DEV n= 79 net 128.98 % avg 1.633 % PF 1.79 t 0.94 VAL n= 85 net 18.70 % avg 0.220 % PF 1.08 t 0.18 HOLDOUT n= 153 net -76.57 % avg -0.500 % PF 0.81 t -0.65 ALL n=317 net 71.11 % avg 0.224 % (gross 0.274 %); PF 1.09 t 0.34; at 0.15% cost avg 0.124 %; dollars per barrel 18.80 win rate 88/317 = 27.8% (95% Wilson 23.1%-32.9%); days held median 4 max 415; time in the market 100.0%; open at the end 1; entries at $5 or less 0 the 10 best trades 512.60 %; without the 10 best -441.49 %, without the 20 best -618.20 %; best: 1999-03-09..2000-12-06 long 119.40%; 2007-05-18..2008-09-03 long 68.41%; 2020-11-04..2021-12-01 long 67.87% worst open loss at a close (open positions included): -27.83 % (short 1991-01-18..1991-09-23); largest drawdown of the summed equity, open positions included: -227.74 points longs n=159 net 222.75 % | shorts n=158 net -151.64 % fill on the signal day (descriptive): n=317 avg 0.259 % PF 1.11 episodes (summed % points of the strategy / spot change): 1990-91 Gulf War spike and fall 0.39 / 13.81%; 2008 boom and bust 73.57 / -55.24%; 2014-16 collapse 63.30 / -75.74%; 2020 crash, negative price 64.33 / -80.40%; 2022 spike 43.63 / 41.81% by year (n, net %): 1986 1 21.93 | 1987 1 3.98 | 1988 5 24.35 | 1989 12 -3.85 | 1990 8 34.08 | 1991 7 -47.69 | 1992 6 9.99 | 1994 9 -25.22 | 1995 16 -38.03 | 1996 6 4.41 | 1997 3 20.63 | 1998 4 4.99 | 1999 1 119.40 | 2000 1 -6.56 | 2001 8 -21.47 | 2002 9 9.83 | 2003 20 -54.61 | 2004 4 1.15 | 2005 2 14.62 | 2006 5 -2.86 | 2007 9 50.48 | 2008 3 39.39 | 2009 1 18.08 | 2010 12 -22.40 | 2011 6 -4.68 | 2012 5 -2.25 | 2013 15 -16.35 | 2014 15 35.94 | 2016 7 -10.91 | 2017 18 4.86 | 2018 3 3.59 | 2019 21 -68.73 | 2020 12 30.15 | 2021 4 10.23 | 2022 7 -2.23 | 2023 6 -27.96 | 2024 24 -35.14 | 2025 10 -21.76 | 2026 11 21.76 control (holdings shifted in time, 500 runs, 0 s): mean trades 316.93, median avg 0.167 %, 5-95% -1.162 .. 1.249 %; real avg 0.224 % at percentile 53.20 [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.08 [PASS] 2 >= 50 trades in each period: 79 / 85 / 153 [FAIL] 3 t >= 2.5 on development: DEV t 0.94 [FAIL] 4 above 95th pct of the control: percentile 53.20 [FAIL] 5 positive without top-10 trades: -441.49 % [FAIL] 6 holdout net positive (fresh): HOLDOUT net -76.57 % PF 0.81 VERDICT Buried (1/6 gates) === TSM-L: 12-month momentum, month ends, long only === DEV n= 13 net 46.62 % avg 3.587 % PF 2.63 t 0.91 VAL n= 11 net 71.97 % avg 6.543 % PF 2.58 t 0.84 HOLDOUT n= 10 net 26.91 % avg 2.691 % PF 1.84 t 0.56 ALL n=34 net 145.50 % avg 4.280 % (gross 4.330 %); PF 2.37 t 1.35; at 0.15% cost avg 4.180 %; dollars per barrel 37.40 win rate 14/34 = 41.2% (95% Wilson 26.4%-57.8%); days held median 105 max 523; time in the market 54.8%; open at the end 1; entries at $5 or less 0 the 10 best trades 236.06 %; without the 10 best -90.56 %, without the 20 best -100.15 %; best: 2004-04-05..2006-10-02 long 77.73%; 1999-05-05..2001-03-01 long 47.01%; 2021-02-01..2023-02-01 long 42.51% worst open loss at a close (open positions included): -31.70 % (long 2026-04-01..2026-10-30); largest drawdown of the summed equity, open positions included: -133.24 points longs n=34 net 145.50 % | shorts n=0 net 0.00 % fill on the signal day (descriptive): n=34 avg 4.815 % PF 2.71 episodes (summed % points of the strategy / spot change): 1990-91 Gulf War spike and fall -1.25 / 13.81%; 2008 boom and bust -46.74 / -55.24%; 2014-16 collapse -9.63 / -75.74%; 2020 crash, negative price -23.65 / -80.40%; 2022 spike 59.33 / 41.81% by year (n, net %): 1987 1 2.08 | 1989 1 7.89 | 1990 1 -1.25 | 1991 1 4.65 | 1992 1 -1.64 | 1993 1 8.10 | 1994 2 -17.73 | 1995 2 -6.71 | 1996 1 5.46 | 1997 1 -1.23 | 1999 1 47.01 | 2001 1 -0.86 | 2002 1 -2.81 | 2003 2 13.15 | 2004 1 77.73 | 2006 1 -9.64 | 2007 2 -9.97 | 2009 1 -1.00 | 2011 1 14.12 | 2012 1 -8.75 | 2013 1 3.19 | 2014 1 -7.15 | 2016 1 -1.03 | 2017 1 7.65 | 2019 1 -10.61 | 2021 1 42.51 | 2023 1 -8.79 | 2024 1 -3.96 | 2025 1 -0.42 | 2026 1 5.50 control (holdings shifted in time, 500 runs, 0 s): mean trades 34.45, median avg 6.033 %, 5-95% -0.205 .. 14.197 %; real avg 4.280 % at percentile 36.40 [PASS] 1 PF >= 1.2 in validation: VAL PF 2.58 [FAIL] 2 >= 50 trades in each period: 13 / 11 / 10 [FAIL] 3 t >= 2.5 on development: DEV t 0.91 [FAIL] 4 above 95th pct of the control: percentile 36.40 [FAIL] 5 positive without top-10 trades: -90.56 % [PASS] 6 holdout net positive (fresh): HOLDOUT net 26.91 % PF 1.84 VERDICT Buried (2/6 gates) === TSM-LS: 12-month momentum, month ends, long and short === DEV n= 26 net 39.45 % avg 1.517 % PF 1.57 t 0.69 VAL n= 23 net -11.23 % avg -0.488 % PF 0.92 t -0.12 HOLDOUT n= 19 net 3.28 % avg 0.172 % PF 1.03 t 0.04 ALL n=68 net 31.49 % avg 0.463 % (gross 0.513 %); PF 1.10 t 0.23; at 0.15% cost avg 0.363 %; dollars per barrel -14.15 win rate 27/68 = 39.7% (95% Wilson 28.9%-51.6%); days held median 84 max 535; time in the market 100.0%; open at the end 1; entries at $5 or less 0 the 10 best trades 288.18 %; without the 10 best -256.70 %, without the 20 best -315.33 %; best: 2004-04-05..2006-10-02 long 77.73%; 2014-08-01..2016-10-03 short 50.08%; 1999-05-05..2001-03-01 long 47.01% worst open loss at a close (open positions included): -42.40 % (short 2025-02-03..2026-04-01); largest drawdown of the summed equity, open positions included: -233.11 points longs n=34 net 145.50 % | shorts n=34 net -114.02 % fill on the signal day (descriptive): n=68 avg 1.005 % PF 1.23 episodes (summed % points of the strategy / spot change): 1990-91 Gulf War spike and fall -16.48 / 13.81%; 2008 boom and bust -16.50 / -55.24%; 2014-16 collapse 63.61 / -75.74%; 2020 crash, negative price 51.58 / -80.40%; 2022 spike 59.33 / 41.81% by year (n, net %): 1987 2 8.43 | 1988 1 2.14 | 1989 1 7.89 | 1990 2 -16.39 | 1991 3 5.73 | 1992 2 10.70 | 1993 2 13.20 | 1994 3 -24.59 | 1995 4 -15.44 | 1996 2 -3.72 | 1997 3 4.49 | 1999 1 47.01 | 2001 3 1.71 | 2002 1 -2.81 | 2003 4 -11.37 | 2004 2 83.99 | 2006 2 -13.74 | 2007 4 -33.97 | 2008 1 -22.18 | 2009 1 -1.00 | 2011 2 -5.13 | 2012 3 -6.74 | 2013 1 3.19 | 2014 3 33.65 | 2016 1 -1.03 | 2017 2 5.80 | 2018 1 -5.69 | 2019 1 -10.61 | 2020 1 -7.02 | 2021 1 42.51 | 2023 3 -25.04 | 2024 2 1.07 | 2025 2 -39.07 | 2026 1 5.50 control (holdings shifted in time, 500 runs, 0 s): mean trades 68.73, median avg 0.439 %, 5-95% -6.356 .. 7.312 %; real avg 0.463 % at percentile 50.40 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.92 [FAIL] 2 >= 50 trades in each period: 26 / 23 / 19 [FAIL] 3 t >= 2.5 on development: DEV t 0.69 [FAIL] 4 above 95th pct of the control: percentile 50.40 [FAIL] 5 positive without top-10 trades: -256.70 % [PASS] 6 holdout net positive (fresh): HOLDOUT net 3.28 % PF 1.03 VERDICT Buried (1/6 gates) spot price for reference: 25.56 (1986-01-02) -> 107.56 (2026-10-30); not a tradable return