Latest WTI Price
97.29 USD/barrel
SC: 827.00 | VIX: 17.71
Synthetic Time Spread: -0.65 | CN_US_Spread: -0.0332
Valuation Status
1-Year Percentile 0.4% Extremely Undervalued
Full History Percentile 1.7% Extremely Undervalued
📈 Multi-Window Valuation Percentile Table (since 2018)
| Window | Percentile | Status |
|---|---|---|
| 1-Year | 0.4% | Extremely Undervalued |
| 3-Year | 0.1% | Extremely Undervalued |
| 5-Year | 0.6% | Extremely Undervalued |
| Full History | 1.7% | Extremely Undervalued |
💡 How to read: Higher percentile means crude oil is more expensive relative to the model-implied equilibrium. Full history percentile reflects long-cycle temperature; 1-year percentile captures short-term overheating.
Zone thresholds: >90% (Extremely Overvalued) | 70%-90% (Overvalued) | 30%-70% (Fair) | 10%-30% (Undervalued) | <10% (Extremely Undervalued).
📉 Strategy Backtest & Performance
The following backtest results are based on the full-sample fixed model (reflecting the optimal framework performance). All strategies use the previous day's valuation percentile to determine today's position.
Strategy Rules
| Strategy | Rebalancing Rule |
|---|---|
| Buy and Hold | Always fully invested, no adjustment |
| Linear Position (1-Year) | Position = 1 - 1-year percentile, constrained between 0 and 1 |
| Extreme Timing (Extreme Reversal) | Fully long when Extremely Undervalued, zero when Extremely Overvalued, unchanged otherwise |
| Pure Long Enhancement | Go long on MA(10,30) golden cross, position determined by valuation piecewise function (0.2 to 2 times); zero position on death cross |
| Two-Way Offense (Shorting) | Same long rules as above; 1 time short on death cross when 1-year percentile above 90% |
| Two-Way Defense (Shorting) | Fully long on golden cross when percentile below 90%; 1 time short on death cross when percentile above 90%; zero position otherwise |
Performance (2018-04-03 to 2026-09-16)
| Strategy | Total Return | Annual Return | Sharpe Ratio | Max Drawdown |
|---|---|---|---|---|
| Buy and Hold | 53.0% | 5.5% | 0.11 | -82.7% |
| Linear Position (1-Year) | 188.7% | 14.2% | 0.37 | -53.8% |
| Extreme Timing (Extreme Reversal) | 87.9% | 8.2% | 0.21 | -55.4% |
| Pure Long Enhancement | 386.7% | 21.9% | 0.59 | -49.9% |
| Two-Way Offense (Shorting) | 416.2% | 22.8% | 0.62 | -51.3% |
| Two-Way Defense (Shorting) | 390.1% | 22.0% | 0.90 | -37.6% |
📌 Strategy Performance Interpretation:
- Buy and Hold serves as the benchmark, showing crude oil's inherent long-term return.
- Linear Position reduces volatility and drawdowns through the simple "more expensive → lighter position" mechanism, but with limited returns.
- Extreme Timing frequently misses rallies in trending bull markets, indicating the risk of relying solely on extreme thresholds.
- Pure Long Enhancement is the optimal long-only form: trend determined by moving averages, position sized by valuation; it significantly outperforms the benchmark without shorting, proving that the valuation model itself is an effective position enhancer.
- Two-Way Offense adds shorting during extreme overvaluation, further improving annualized return.
- Two-Way Defense uses valuation thresholds to filter out longs in overvalued zones and shorts in undervalued zones, achieving the highest Sharpe ratio and smallest drawdown—the optimal choice for risk-averse investors.
Note: Backtests assume zero transaction costs and no financing interest on leverage. Past performance does not guarantee future results. Leverage amplifies losses; practical application requires caution.
📊 Crude Oil vs. Factor Relationships
📊 Residual Trend
🧠 Model Interpretation
🕒 Factor Data Freshness
Valuation date is 2026-09-18. Some macro factors have normal lags; the model applies forward fill.
| Factor | Latest Data Date | Status |
|---|---|---|
| WTI Crude Oil | 2026-09-18 | ✅ Real-time |
| Brent Crude Oil | 2026-09-17 | ⚠️ Lag 1 days |
| Shanghai Crude Oil Futures SC | 2026-09-17 | ⚠️ Lag 1 days |
| VIX | 2026-09-16 | ⚠️ Lag 2 days |
| U.S. 10-Year Bond | 2026-09-17 | ⚠️ Lag 1 days |
| China 10-Year Bond | 2026-09-17 | ⚠️ Lag 1 days |
| Synthetic Time Spread (TIPS-driven) | 2026-09-16 | ⚠️ Lag 2 days |
| China-U.S. Yield Spread (CN10Y-US10Y) | 2026-09-17 | ⚠️ Lag 1 days |
| OVX (display only) | 2026-09-16 | ⚠️ Lag 2 days |
| Real Time Spread | 2026-09-18 | ✅ Real-time |
Regression Equation: Ln(WTI) = 3.2898 + 0.0023×SC + -0.0073×VIX + 0.6607×Synth_TimeSpread + -5.2187×CN_US_Spread, R²=0.875
Factor Explanations:
- SC (Shanghai Crude Oil Futures): China-U.S. dual-anchor pricing core, a RMB-denominated regional crude oil pricing benchmark.
- VIX (CBOE Volatility Index): Market-wide risk sentiment, capturing macro fear.
- Synthetic Time Spread: Constructed based on the forward curve theory using the 10-year TIPS real yield (DFII10), capturing the baseline of carrying costs and convenience yields.
- China-U.S. Yield Spread: Measures the relative monetary policy stance of the world's two largest economies.
📋 Collinearity Diagnostics (VIF)
| Variable | VIF | Judgment |
|---|---|---|
| SC | 8.86 | ⚠️ |
| VIX | 6.47 | ⚠️ |
| Synth_TimeSpread | 9.68 | ⚠️ |
| CN_US_Spread | 6.02 | ⚠️ |
Note: VIF based on full-sample fixed regression; factor independence is sound.
Bubble Duration Analysis: Extremely Overvalued appeared 67 times, avg 6 days, max 102 days.
⏱️ Valuation Zone Duration Statistics (based on full history percentile)
Currently in Extremely Undervalued state, lasting 7 days. Current full history percentile is 1.7%, within the 0-10% band, which has lasted 7 days.
| Valuation Zone | Occurrences | Avg Duration | Min | Max |
|---|---|---|---|---|
| Extremely Undervalued | 54 times | 4.7 d | 1 d | 45 d |
| Undervalued | 159 times | 3.2 d | 1 d | 21 d |
| Fair | 184 times | 6.0 d | 1 d | 96 d |
| Overvalued | 126 times | 4.2 d | 1 d | 29 d |
| Extremely Overvalued | 67 times | 5.3 d | 1 d | 100 d |
📅 Current Percentile Band Duration
| Percentile Band | Occurrences | Avg Duration | Min | Max |
|---|---|---|---|---|
| 0-10% (current) | 54 times | 4.7 d | 1 d | 45 d |
Residual Percentile: Current residual -0.1775, in the Extremely Undervalued zone.
Synthetic Time Spread Factor Explanation:Based on the cost-of-carry model, using the 10-year TIPS real yield (DFII10) to construct the theoretical 3-month forward spread. Current synthetic time spread is -0.65, real time spread is 9.09, the difference reflects a geopolitical risk premium.
Real Time Spread (Verification):Actual contract spread is 9.09, at the historical 98.4% percentile, confirming the geopolitical risk premium.
OVX Crude Oil Volatility (Supplementary):Current 57.49, at the historical 91.7% percentile.
China-U.S. Yield Spread (Factor):Current -0.0325, reflecting the relative monetary policy stance between China and the U.S.
🔬 Advanced Diagnostics
Rolling Window Robustness: 2-Year: 0.2% | 3-Year: 0.1%
📊 Multi-Period Comparison
| Period | Price Change | 3Y Percentile Change | Zone Change |
|---|---|---|---|
| Week | 99.99→97.29 (-2.7%) | 0.0%→0.1% (+0.1%) | Extremely Undervalued→Extremely Undervalued |
| Month | 84.39→97.29 (+15.3%) | 65.6%→0.1% (-65.5%) | Fair→Extremely Undervalued |
| Quarter | 75.52→97.29 (+28.8%) | 92.1%→0.1% (-91.9%) | Overvalued→Extremely Undervalued |
| Half Year | 98.01→97.29 (-0.7%) | 73.9%→0.1% (-73.8%) | Fair→Extremely Undervalued |
| Year | 62.93→97.29 (+54.6%) | 25.0%→0.1% (-24.9%) | Undervalued→Extremely Undervalued |
📎 Key Levels: YTD 3Y percentile high 100.0% | low 0.0%; price one year ago 62.93 (YoY +54.6%).
📋 Forward Return Statistics
| Zone | Samples | 1-Month | 3-Month | 6-Month |
|---|---|---|---|---|
| Extremely Undervalued | 187 | 31.1% | 77.5% | 42.6% |
| Undervalued | 375 | 2.9% | 4.3% | 10.9% |
| Fair | 808 | 1.7% | 2.9% | 5.4% |
| Overvalued | 384 | 3.6% | 16.5% | 34.9% |
| Extremely Overvalued | 257 | 9.4% | 34.2% | 62.9% |
Tactical Reference: For long-term allocation, wait for full history percentile to drop below 70%; for short-term trading, focus on the 1-year percentile near 40%; if spreads diverge or CFTC net longs drop sharply, watch for trend reversals.