Backtest: Buy EQT at the close when its 10-day average true range is in the bottom quin...
The coiled-spring logic is easy to buy into: a gas producer whose volatility has compressed into the bottom quintile of its past year, closing in the top half of its daily range, while crude holds above its 20-day average. Run that setup bar-by-bar, though, and the spring never releases. Seven closed trades, a 28.6% win rate, and a -4.27% return on $100,000 starting capital.
The rules were specific. Entry on the compressed 10-day average true range, the strong close, and Brent above its 20-day simple moving average; exit on EQT closing below its 5-day simple moving average or after five sessions. The result trailed SPY buy-and-hold by 80.61 points. The best trade gained 2.08%; the worst gave back 3.56%.
The full trade-by-trade evidence, and where the thesis broke down, is in the analysis below.
Buy EQT at the close when its 10-day average true range is in the bottom quintile of its prior 252 sessions, EQT closes in the top half of its daily range, and Brent crude closes above its 20-day simple moving average; exit when EQT closes below its 5-day simple moving average or after 5 trading days, whichever comes first. Compressed volatility in a gas producer while the oil tape holds trend is a coiled setup, and the expansion tends to follow through once the range 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 EQT at the close when its 10-day average true range is in the bottom quintile of its prior 252 sessions, EQT closes in the top half of its daily range, and Brent crude closes above its 20-day simple moving average; exit when EQT closes below its 5-day simple moving average or after 5 trading days, whichever comes first. Compressed volatility in a gas producer while the oil tape holds trend is a coiled setup, and the expansion tends to follow through once the range breaks.
The key numbers
The charts
The takeaway
The strategy returned -4.27% on $100,000 starting capital across 7 closed trades with a 29% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 80.61 points. Best single trade +2.08%, worst -3.56%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.
- Only 7 closed trades in the window — a small sample.