Backtest: Buy XOM at the close when Brent crude's 10-day return is positive but XOM's 1...
A strategy can be right often and still lose the race. Here, XOM was bought on a specific kind of dislocation: crude trading up over 10 days while the supermajor lagged, closing in the weak half of its recent range. The thesis is that Exxon's decoupling from a firm Brent tape tends to mean-revert.
The test delivered a 77.8% win rate across 18 closed trades and a positive 18.14% return on capital. But against a straight SPY buy-and-hold, the same window ended with the strategy trailing by 58.20 percentage points. In other words, precision was high and market-relative value was deeply negative. Trade-by-trade results are broken out in the full study below.So much for the smooth trade. The study bought XOM whenever Brent was climbing but the stock wasn't, betting that a range-low lag against a firm crude tape would snap back. And it mostly did — 77.8% of the 18 closed trades won, and the strategy finished up 18.14% on capital.
The catch is the battle it didn't win. Over the same window, a passive SPY position gained far more, leaving this tactical approach trailing the benchmark by 58.20 points. In short, the signal caught short-term mean reversion but never matched the market's own momentum. The complete record, best and worst trades included, is laid out in the analysis below.
Buy XOM at the close when Brent crude's 10-day return is positive but XOM's 10-day return is negative and XOM closes in the bottom half of its 20-day range; exit when XOM closes above the 20-day range midpoint or after 10 trading days, whichever comes first. The supermajor decouples from crude only when positioning is stretched, so a range-low lag against a firm Brent tape tends to snap back as crude beta reasserts.
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 XOM at the close when Brent crude's 10-day return is positive but XOM's 10-day return is negative and XOM closes in the bottom half of its 20-day range; exit when XOM closes above the 20-day range midpoint or after 10 trading days, whichever comes first. The supermajor decouples from crude only when positioning is stretched, so a range-low lag against a firm Brent tape tends to snap back as crude beta reasserts.
The key numbers
The charts
The takeaway
The strategy returned +18.14% on $100,000 starting capital across 18 closed trades with a 78% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 58.20 points. Best single trade +3.98%, worst -4.91%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.