Backtest: Buy WMB at the close when its daily range is the narrowest of the prior 5 ses...
A quiet-range breakout in WMB, confirmed by crude holding above its 50-day average, sounds like a sensible way to catch a delayed midstream bid. The backtest says otherwise: five trades, not a single winner, and a 9.67% loss on $100,000 of starting capital.
The setup was specific. WMB's daily range had to be the tightest of the prior five sessions, the stock had to close above the previous day's high, and Brent crude had to be trading above its 50-day simple moving average. Entry came at the close, with an exit on a close below the 5-day moving average or after five sessions, whichever arrived first.
Every trade lost money, the worst of them down 6.17%. Over the same window, SPY buy-and-hold returned 76.34%, leaving the strategy 86.01 points behind the benchmark. The trade-by-trade detail and charts sit below.
Buy WMB at the close when its daily range is the narrowest of the prior 5 sessions, it closes above the prior day's high, and Brent crude closes above its 50-day simple moving average; exit when WMB closes below its 5-day simple moving average or after 5 trading days, whichever comes first. I expect midstream to catch a delayed crude bid after a quiet-range breakout, so the expansion tends to follow through once oil's uptrend confirms.
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 WMB at the close when its daily range is the narrowest of the prior 5 sessions, it closes above the prior day's high, and Brent crude closes above its 50-day simple moving average; exit when WMB closes below its 5-day simple moving average or after 5 trading days, whichever comes first. I expect midstream to catch a delayed crude bid after a quiet-range breakout, so the expansion tends to follow through once oil's uptrend confirms.
The key numbers
The charts
The takeaway
The strategy returned -9.67% on $100,000 starting capital across 5 closed trades with a 0% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 86.01 points. Best single trade -0.26%, worst -6.17%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.
- Only 5 closed trades in the window — a small sample.