Backtest: Buy CVX at the close when Brent crude closes higher for three consecutive ses...
A 61.3% win rate ended in a 12.73% loss of capital. That is the paradox at the center of this study: a strategy that looked respectable on hit rate was dragged under by the shape of its distribution — the worst trade cost 9.41% while the best managed only 3.39%. The setup belongs to the mean-reversion genre: three consecutive Brent closes higher, with CVX refusing to take out its prior high, was treated as exhausted energy-equity selling about to snap back. The thesis is coherent. The data did not agree.
Across 31 closed trades on $100,000 starting capital, the strategy gave back $12,734.73, lagging a plain S&P buy-and-hold by 89.07 points over the same window. The full evidence below walks through the equity curve, what those 31 signals actually looked like, where the winners and losers clustered, and how the crude-impulse hypothesis held up bar by bar.
Buy CVX at the close when Brent crude closes higher for three consecutive sessions while CVX fails to close above its prior-session high; exit when CVX closes above its entry-day high or after 5 trading days, whichever comes first. A multi-day crude impulse that CVX refuses to chase marks exhausted energy-equity selling, and the lag tends to snap back once the commodity signal is absorbed.
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 CVX at the close when Brent crude closes higher for three consecutive sessions while CVX fails to close above its prior-session high; exit when CVX closes above its entry-day high or after 5 trading days, whichever comes first. A multi-day crude impulse that CVX refuses to chase marks exhausted energy-equity selling, and the lag tends to snap back once the commodity signal is absorbed.
The key numbers
The charts
The takeaway
The strategy returned -12.73% on $100,000 starting capital across 31 closed trades with a 61% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 89.07 points. Best single trade +3.39%, worst -9.41%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.