AI Backtest

Backtest: Buy XLE at the close when its 10-day simple moving average crosses above its...

-10.86%
Return on capital

A crude-confirmed sector turn is exactly the setup where energy equities are supposed to catch the oil bid. Tested bar by bar, it didn't. Buying XLE on a 10-day/20-day SMA cross while Brent held above its 50-day, exiting on a 10-day MA breach or a ten-day clock, returned -10.86% on $100,000 across 10 closed trades with a 20% win rate.

The comparison is the uncomfortable part. SPY buy-and-hold gained 76.34% over the same window, leaving the strategy 87.20 points behind. And the damage wasn't one bad print: best trade +3.07%, worst -3.29%, which points to a grind rather than a blowup.

The full backtest below walks through every entry and exit, and where the confirmation filter stopped earning its keep.

The strategy

Buy XLE at the close when its 10-day simple moving average crosses above its 20-day SMA while Brent crude closes above its 50-day SMA; exit when XLE closes below its 10-day SMA or after 10 trading days, whichever comes first. A sector trend turn confirmed by a rising oil tape is where crude-equity correlation works for you, and the 10-day exit cuts the trade if the bid is just mean-reversion.

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 XLE at the close when its 10-day simple moving average crosses above its 20-day SMA while Brent crude closes above its 50-day SMA; exit when XLE closes below its 10-day SMA or after 10 trading days, whichever comes first. A sector trend turn confirmed by a rising oil tape is where crude-equity correlation works for you, and the 10-day exit cuts the trade if the bid is just mean-reversion.

The key numbers

Return on capital
-10.86%
total P&L over starting capital
Total P&L
$-10,860.81
Closed trades
10
Win rate
20.0%
share of closed trades in profit
vs SPY
-87.20%
excess return over SPY buy-and-hold

The charts

Equity curve (growth of 100)

The takeaway

The strategy returned -10.86% on $100,000 starting capital across 10 closed trades with a 20% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 87.20 points. Best single trade +3.07%, worst -3.29%.

The fine print