Backtest: Buy CVX at the close when its 20-day average true range is in the top quartil...
The logic is easy to like: when a supermajor gets sold hard on elevated volatility while Brent crude is still trending higher, the weakness reads as a positioning flush rather than a change in the underlying business. Buy the flush, exit on the first bounce or after a week, and the odds should tilt your way.
They didn't. Across 15 closed trades the strategy returned -3.85% on $100,000 starting capital, and a 60% win rate wasn't enough to save it — the worst loss of -7.65% swamped the best gain of +3.88%. Over the same window, SPY buy-and-hold finished ahead by more than 80 points.
Why a plausible setup produced that gap is the subject of the report below, which walks through the entries, exits, and every trade behind the headline number.
Buy CVX at the close when its 20-day average true range is in the top quartile of its prior 252 sessions and it closes below its 20-day simple moving average while Brent crude closes above its 20-day simple moving average; exit when CVX closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A supermajor getting washed out on elevated range while Brent holds trend is a positioning flush, not a fundamental turn, so CVX tends to snap back once the forced selling 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 CVX at the close when its 20-day average true range is in the top quartile of its prior 252 sessions and it closes below its 20-day simple moving average while Brent crude closes above its 20-day simple moving average; exit when CVX closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A supermajor getting washed out on elevated range while Brent holds trend is a positioning flush, not a fundamental turn, so CVX tends to snap back once the forced selling clears.
The key numbers
The charts
The takeaway
The strategy returned -3.85% on $100,000 starting capital across 15 closed trades with a 60% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 80.19 points. Best single trade +3.88%, worst -7.65%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.