Backtest: Buy COP at the close when it closes in the bottom 20% of its prior 20-session...
Eighty percent of the trades worked. Ten closed positions, a +5.57% return on $100,000 of starting capital, and still the strategy finished 70.77 points behind a plain SPY buy-and-hold. A high win rate that loses the race to the benchmark is worth understanding, and that tension is what this study is about.
The rule examined here is narrow and mechanical: buy COP at the close when it sits in the bottom 20% of its prior 20-session range, but only while Brent crude is trading above its 50-day moving average. Exit on the first close back above COP's 5-day average, or after five sessions, whichever arrives first. The premise is that a high-beta producer pinned at the low end of its range during a firm crude tape has already absorbed its selling — and that the bounce comes once the oil trend reasserts itself.
The full bar-by-bar results, trade-by-trade detail, and the drawdown behind that win rate are laid out in the analysis below.
Buy COP at the close when it closes in the bottom 20% of its prior 20-session range while Brent crude closes above its 50-day simple moving average; exit when COP closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A high-beta producer pinned to the bottom of its range during a firm crude tape signals exhausted selling, and the mean-reversion bid tends to follow once the oil trend 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 COP at the close when it closes in the bottom 20% of its prior 20-session range while Brent crude closes above its 50-day simple moving average; exit when COP closes above its 5-day simple moving average or after 5 trading days, whichever comes first. A high-beta producer pinned to the bottom of its range during a firm crude tape signals exhausted selling, and the mean-reversion bid tends to follow once the oil trend reasserts.
The key numbers
The charts
The takeaway
The strategy returned +5.57% on $100,000 starting capital across 10 closed trades with a 80% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 70.77 points. Best single trade +3.55%, worst -6.33%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.