Backtest: Buy DVN at the close when DVN closes above its prior 20-day high while Brent...
The setup reads like textbook momentum: a high-beta shale E&P clearing its prior 20-day high while Brent sits above its 50-day average, the equity market pricing the next leg of crude pass-through. Twenty-two signals later, the thesis doesn't survive contact with the tape. The rule returned -5.69% on $100,000 of starting capital and won only 36.4% of its trades.
What was tested is narrow and mechanical: buy DVN at the close on that breakout condition, exit on the first close below its 10-day moving average or after 10 trading days, whichever lands first. Best trade +13.67%, worst -11.81%, and SPY buy-and-hold finished the same window ahead by 82.03 points.
The bar-by-bar evidence, trade list, and equity curve are in the analysis below.
Buy DVN at the close when DVN closes above its prior 20-day high while Brent crude closes above its 50-day simple moving average; exit when DVN closes below its 10-day simple moving average or after 10 trading days, whichever comes first. A high-beta shale E&P breaking out while Brent is firm is the equity market pricing the next leg of crude pass-through, and momentum funds chase that delta until the 10-day trend breaks.
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 DVN at the close when DVN closes above its prior 20-day high while Brent crude closes above its 50-day simple moving average; exit when DVN closes below its 10-day simple moving average or after 10 trading days, whichever comes first. A high-beta shale E&P breaking out while Brent is firm is the equity market pricing the next leg of crude pass-through, and momentum funds chase that delta until the 10-day trend breaks.
The key numbers
The charts
The takeaway
The strategy returned -5.69% on $100,000 starting capital across 22 closed trades with a 36% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 82.03 points. Best single trade +13.67%, worst -11.81%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.