Backtest: Buy EOG at the close when today's high-low range is in the top quintile of it...
An 80% win rate sounds like something worth owning, until you see the whole picture. This backtest bought EOG at the close on wide-range down days when Brent held above its 20-day average, then exited on a close above EOG's 5-day average or after five sessions. Fifteen trades produced +3.81% on $100,000, while SPY returned +85.28% over the same stretch.
The setup is a familiar one: a high-beta producer gets flushed while crude's trend stays intact, and the snapback arrives once the forced selling clears. The win rate supports that read, but the return profile and benchmark gap raise harder questions about payoff size, trade frequency, and what the strategy was doing with the rest of the time. The full bar-by-bar evidence and trade details are below.
Buy EOG at the close when today's high-low range is in the top quintile of its last 20 sessions, EOG closes down at least 1%, and Brent crude closes above its 20-day simple moving average; exit when EOG closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A wide-range dump in a high-beta producer while crude holds its trend is forced selling, so EOG tends to snap back once the flush 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 EOG at the close when today's high-low range is in the top quintile of its last 20 sessions, EOG closes down at least 1%, and Brent crude closes above its 20-day simple moving average; exit when EOG closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A wide-range dump in a high-beta producer while crude holds its trend is forced selling, so EOG tends to snap back once the flush clears.
The key numbers
The charts
The takeaway
The strategy returned +3.81% on $100,000 starting capital across 15 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 81.47 points. Best single trade +3.75%, worst -4.15%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.