Backtest: Buy XLE at the close when its 10-day simple moving average crosses above its...
A crude-confirmed sector turn is exactly the setup where energy equities are supposed to catch the oil bid. Tested bar by bar, it didn't. Buying XLE on a 10-day/20-day SMA cross while Brent held above its 50-day, exiting on a 10-day MA breach or a ten-day clock, returned -10.86% on $100,000 across 10 closed trades with a 20% win rate.
The comparison is the uncomfortable part. SPY buy-and-hold gained 76.34% over the same window, leaving the strategy 87.20 points behind. And the damage wasn't one bad print: best trade +3.07%, worst -3.29%, which points to a grind rather than a blowup.
The full backtest below walks through every entry and exit, and where the confirmation filter stopped earning its keep.
Buy XLE at the close when its 10-day simple moving average crosses above its 20-day SMA while Brent crude closes above its 50-day SMA; exit when XLE closes below its 10-day SMA or after 10 trading days, whichever comes first. A sector trend turn confirmed by a rising oil tape is where crude-equity correlation works for you, and the 10-day exit cuts the trade if the bid is just mean-reversion.
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 XLE at the close when its 10-day simple moving average crosses above its 20-day SMA while Brent crude closes above its 50-day SMA; exit when XLE closes below its 10-day SMA or after 10 trading days, whichever comes first. A sector trend turn confirmed by a rising oil tape is where crude-equity correlation works for you, and the 10-day exit cuts the trade if the bid is just mean-reversion.
The key numbers
The charts
The takeaway
The strategy returned -10.86% on $100,000 starting capital across 10 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 87.20 points. Best single trade +3.07%, worst -3.29%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.