Backtest: Buy BP at the close when BP closes down at least 1% on the day, its 10-day av...
An 80% win rate sounds like a strong signal, but BP's quiet dip setup didn't translate into much money. The rule bought only when BP closed down at least 1% with its 10-day range sitting in the bottom fifth of the prior year, and only while Brent held above its 20-day average. Five trades produced +1.25% on $100,000 of capital.
The strategy did what it was built to do: catch mean-reversion snapbacks when a supermajor sells off without real stress in crude. It just didn't fire often enough to matter, and SPY buy-and-hold finished 84 points ahead over the same window. That tension between a high hit rate and a thin total return is the point, and the trade-by-trade evidence sits below.
Buy BP at the close when BP closes down at least 1% on the day, its 10-day average true range is in the bottom quintile of its prior 252 sessions, and Brent crude closes above its 20-day simple moving average; exit when BP closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A low-volatility dip in an integrated supermajor while the oil tape holds trend is accumulation, not stress, so BP tends to snap back once the quiet-range supply clears.
How this was measured
This is a simulated backtest generated from the plain-English strategy below, executed bar-by-bar on historical market data using the price + news data mode with $100,000 starting capital. Strategy: Buy BP at the close when BP closes down at least 1% on the day, its 10-day average true range is in the bottom quintile of its prior 252 sessions, and Brent crude closes above its 20-day simple moving average; exit when BP closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A low-volatility dip in an integrated supermajor while the oil tape holds trend is accumulation, not stress, so BP tends to snap back once the quiet-range supply clears.
The key numbers
The charts
The takeaway
The strategy returned +1.25% on $100,000 starting capital across 5 closed trades with a 80% win rate. Over the same window SPY buy-and-hold returned +85.28%, so the strategy finished trailing the benchmark by 84.03 points. Best single trade +2.42%, worst -3.32%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.
- Only 5 closed trades in the window — a small sample.