Backtest: Buy XOM at the close when its trailing 20-day realized beta to Brent crude is...
The premise was tidy: when XOM's 20-day realized beta to Brent crude sits in the top quintile of its prior year and the stock closes above its 20-day moving average, crude pass-through is live and the up-move should persist. It didn't. Across 36 closed trades the rule won just 20% of the time and returned -8.10% on $100,000.
That's the puzzle worth sitting with. SPY buy-and-hold gained 76.34% over the same window, leaving the strategy 84.44 points behind. Unusually strong realized crude beta, paired with a short-term uptrend, simply didn't translate into durable upside here.
The full breakdown — entries, exits, and the shape of the return distribution — is in the analysis below.
Buy XOM at the close when its trailing 20-day realized beta to Brent crude is in the top quintile of its prior 252-session distribution and XOM closes above its 20-day simple moving average; exit when XOM closes below its 10-day simple moving average or after 10 trading days, whichever comes first. When XOM is trending higher with unusually strong realized crude beta, oil pass-through is active and the up-move tends to persist until the 10-day trend breaks.
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 trailing 20-day realized beta to Brent crude is in the top quintile of its prior 252-session distribution and XOM closes above its 20-day simple moving average; exit when XOM closes below its 10-day simple moving average or after 10 trading days, whichever comes first. When XOM is trending higher with unusually strong realized crude beta, oil pass-through is active and the up-move tends to persist until the 10-day trend breaks.
The key numbers
The charts
The takeaway
The strategy returned -8.10% on $100,000 starting capital across 36 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 84.44 points. Best single trade +12.34%, worst -3.45%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.