Do you damp-oil your hair and then comb the oil throughout your length? Because that's how I oil my hair, and I've never had a problem with frizz. It could be that the oil isn't distributed properly, so most of your hair is frizzing despite oiling because it's just not getting the oil.
And in general, most oils seal moisture in as opposed to adding moisture; maybe it frizzes because you're oiling it dry.
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