Backtest: Buy DVN at the close when its 10-day total return underperforms OIH by more t...
Energy equities show a recurring tell: when Brent closes above its 50-day moving average, upstream names like Devon trail the oil-services complex even while the crude trend is intact. The open question tested here is whether that gap is positioning noise that snaps back, or a signal the market has priced correctly.
The strategy buys DVN at the close when its 10-day total return lags OIH by more than three percentage points, with Brent holding its trendline, and exits on a five-day, one-point rebound versus OIH — or after five sessions. Run bar-by-bar on historical data, it posted a 65.6% win rate across 32 closed trades.
The qualification sits in the benchmark: the same window left the strategy trailing SPY by 59.19 points, despite the solid hit rate. The full study below breaks down each trade, the drawdowns, and where the edge did and did not show up.
Buy DVN at the close when its 10-day total return underperforms OIH by more than 3 percentage points while Brent crude closes above its 50-day simple moving average; exit when DVN's 5-day total return outperforms OIH by 1 percentage point or after 5 trading days, whichever comes first. E&P beta lags oil-services when crude holds trend, but that gap is usually positioning rather than fundamentals and tends to snap back as upstream names re-couple with oil.
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 its 10-day total return underperforms OIH by more than 3 percentage points while Brent crude closes above its 50-day simple moving average; exit when DVN's 5-day total return outperforms OIH by 1 percentage point or after 5 trading days, whichever comes first. E&P beta lags oil-services when crude holds trend, but that gap is usually positioning rather than fundamentals and tends to snap back as upstream names re-couple with oil.
The key numbers
The charts
The takeaway
The strategy returned +17.15% on $100,000 starting capital across 32 closed trades with a 66% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 59.19 points. Best single trade +6.39%, worst -9.28%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.