Alpha Report
Crude Oil
Composite Signal
2022–2026

1. Executive Summary

Signal Coverage: Crude Oil (WTI)

Crude Oil (WTI) Macro Review:

• 2022: Russia's invasion of Ukraine sent WTI futures to a high of about $127 on 8 March; prices then fell through the second half as rate hikes and slowing growth weighed on demand, reaching the year's low near $72 on 8 December. The year closed only about 4% higher, after one of the widest ranges in a decade.
• 2023: About −9%. Crude fell through H1 to a March low near $66 amid the bank stress, rallied +28% in Q3 to about $93 in late September on Saudi and OPEC+ production cuts, then gave back 20% in Q4 as demand concerns returned.
• 2024: Flat over the year, in a $66–87 range: a Q1 rally to an April high on Middle East risk, then a −17% Q3 to a September low on weak Chinese demand and expected OPEC+ supply increases.
• 2025: About −21%, falling in every quarter as OPEC+ unwound production cuts and the market moved toward oversupply; the June Israel–Iran conflict caused only a brief spike, and the year ended near its December low of about $55.
• 2026 (to 28 Sep): An extreme year: WTI rose from about $56 in early January to about $117 on 7 April (Q1 +83%) as the Iran conflict effectively closed the Strait of Hormuz and IEA members released 400 million barrels from strategic reserves. Prices fell back in Q2 (−29%) and climbed again in Q3 (+40%) on renewed strikes in the Gulf, the highest levels in nearly four years.

Signal Performance Overview:

• 2022: +41.6% (Sharpe 2.12), the strongest year, with a −8.6% drawdown, a 59% hit rate and gains split evenly between longs (+22.0%) and shorts (+21.7%); the signal followed both the March spike and the second-half decline.
• 2023: The weak year: −17.8% (Sharpe −1.21) and a −20.5% drawdown, with a hit rate of 50%. Both sides lost; the losses were concentrated in 23Q1 and 23Q4, when the signal missed the turns in a whipsawing market, while 23Q3's OPEC-driven rally was traded well (Sharpe 1.78).
• 2024: +4.3% (Sharpe 0.45), almost all from shorts (+6.0%), mostly in Q3 when crude fell 17% (24Q3 Sharpe 1.95).
• 2025: +3.7% (Sharpe 0.22) in a −21% market, mostly from longs (+5.0%), with a −14.8% drawdown concentrated in 25Q2 around the June spike.
• 2026 (F1, to 28 Sep): +19.9% (Sharpe 1.29), with the best quarter in 26Q2 (Sharpe 3.39); longs (+13.8%) and shorts (+7.9%) both contributed. The −18.1% drawdown came in 26Q1, when it did not keep up with the oil spike.

2. Trading Strategy

In order to produce the metrics below we use the signal in combination with the trading strategy below:

• Entry positions: every 5 minutes between 10:45 and 11:00 ET (4 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
• Exit positions: each decision's position is closed between 14:25 and 14:30 ET, its five parts over the five minutes.
• Costs: 0.75 bp per side, 1.5 bp round trip (CL). Extra exchange/clearing fees not included.
• Contract series & roll: Front month monthly contract. Switch at the open 12 trading days before the last business day of the month preceding delivery, ahead of the contract’s last trading day, and start trading the next month.

3. Model Training Data and Timeframe

Each year of Section 4 is scored by the committee of its own walk-forward fold, trained and validated only on data before that year:

4. Performance Metrics: walk-forward, 2022 – 2026

4.1 Return and Risk Metrics

Quarterly and annual return, risk-adjusted performance and drawdown for the trading strategy defined in Section 2. Sharpe is per session on fixed capital. 2026 runs to 2026-09-28.

Table 1: Quarterly and Annual Metrics

Figure 1: Cumulative equity from $1,000,000, quarterly returns compounded from 22Q1 (out-of-sample)

The curve compounds the quarterly returns from $1,000,000 for illustration. The strategy metrics in this report assume fixed capital, so the ending value is not the sum of the quarterly returns.

4.2 Participation, Recall and Effective Leverage

Quarterly and annual view of how often the signal trades, how many of the realised moves it captures, and how much of the notional capital is deployed on average.

Table 2: Quarterly and Annual Participation, Recall and Effective Leverage

5. Next Steps

Download historical predictions using the Client API and confirm performance in your own test harness:

• Sign-up: Create account
• API Documentation: https://quantumsignals.ai/documentation

6. Contact

Please reach out with any questions or comments at: info[at]quantumsignals.ai