Backtest: Buy OXY at the close when its 10-day average true range is in the top quintil...
Twenty trades, a 65% win rate, +28.30% on capital — and still 48 points behind buying and holding SPY. That gap is the part worth sitting with.
The test is narrow: OXY closing in the top half of its daily range while its 10-day average true range sits in the top quintile of the prior 252 sessions, with Brent crude above its 20-day moving average. The thesis is accumulation of a high-beta producer — range expanding, close strong, crude still trending — with the exit set at the entry day's low or five sessions, whichever comes first.
The full trade-by-trade evidence, including the best and worst outcomes, is laid out below.
Buy OXY at the close when its 10-day average true range is in the top quintile of its prior 252 sessions and it closes in the top half of its daily range while Brent crude closes above its 20-day simple moving average; exit when OXY closes below the entry day's low or after 5 trading days, whichever comes first. A high-beta producer expanding range and closing strong while crude holds its uptrend is being accumulated, and that breakout follow-through tends to persist once the washout clears.
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 OXY at the close when its 10-day average true range is in the top quintile of its prior 252 sessions and it closes in the top half of its daily range while Brent crude closes above its 20-day simple moving average; exit when OXY closes below the entry day's low or after 5 trading days, whichever comes first. A high-beta producer expanding range and closing strong while crude holds its uptrend is being accumulated, and that breakout follow-through tends to persist once the washout clears.
The key numbers
The charts
The takeaway
The strategy returned +28.30% on $100,000 starting capital across 20 closed trades with a 65% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 48.04 points. Best single trade +9.01%, worst -5.96%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.