Volatility · Volatility-band breakout
WTI Oil · Brent Volatility Breakout 20·1.5σ · 1D
Volatility-band breakout on WTI Crude Oil, Brent Crude Oil CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−12.4%Backtest
Max drawdown−6.7%Volatility 13.0%
Sharpe-0.95Trades 7
Since go-live−0.11% Live
Live equity
Backtest on real market data
Annual return−12.4%
Max drawdown−6.7%
Sharpe-0.95
Trades7
Winning trades29%
Time in market62%
Backtest on real historical prices from Jun 24, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Long when price closes above the upper volatility band (20-bar mean + 1.5σ), short below the lower band.
- Exit when price falls back to the moving average.
- Trades both directions (long and short).
- Position size targets 18% annualised volatility (risk level 4/5), capped at 5:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.0 | 1.3 | -3.9 | -0.6 | -0.2 | -3.6% |