Backtest: Buy XOM at the close when its 10-day total return trails CVX by at least 3 pe...
A supermajor drifts three points behind its closest integrated peer while crude is still climbing, and the trade is to buy the laggard and wait for the gap to close. That rule fired eleven times on XOM versus CVX, winning 72.7% of them and turning $100,000 into a 30.26% return.
The win rate is the easy headline. The harder one is what sits next to it: SPY buy-and-hold returned 76.34% over the same window, leaving the strategy 46.08 points behind. Winning most trades and still losing the race is the tension worth understanding — the best single trade gained 8.63%, the worst gave back 7.35%, and the compounding never quite caught the index.
The complete trade-by-trade evidence, including entries, exits, and the equity path, is laid out in the analysis below.
Buy XOM at the close when its 10-day total return trails CVX by at least 3 percentage points while Brent crude's 10-day return is positive; exit when XOM's 5-day total return beats CVX's by at least 2 percentage points or after 10 trading days, whichever comes first. A supermajor lagging its closest integrated peer during a firm crude tape is treated as a company-specific lag, and that valuation gap tends to close as flows rotate back into the cheaper crude beta.
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 its 10-day total return trails CVX by at least 3 percentage points while Brent crude's 10-day return is positive; exit when XOM's 5-day total return beats CVX's by at least 2 percentage points or after 10 trading days, whichever comes first. A supermajor lagging its closest integrated peer during a firm crude tape is treated as a company-specific lag, and that valuation gap tends to close as flows rotate back into the cheaper crude beta.
The key numbers
The charts
The takeaway
The strategy returned +30.26% on $100,000 starting capital across 11 closed trades with a 73% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 46.08 points. Best single trade +8.63%, worst -7.35%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.