Backtest: Buy OIH at the close when its 20-day realized volatility is in the top quinti...
Its premise was tidy: when crude-volatility shocks hit oil-services names, the selling is overdone and the tape eventually mean-reverts. This backtest put that claim to work on OIH, buying at the close only when 20-day realized volatility sat in its top trailing-year quintile and the 5-day return had already fallen below -2%, then exiting five sessions later or at a 2% stop-loss, whichever came first.
The result is a good story meeting bad numbers. Across 25 closed trades, the strategy returned -15.23% on $100,000, winning fewer than half of its trades, while SPY gained 68.30% across the same stretch — a gap of 83.53 percentage points. Whatever edge the volatility-shock pattern appears to offer, it did not surface here.
The full breakdown below walks through the individual trades, the largest winners and losers, and where the strategy bled the most.
Buy OIH at the close when its 20-day realized volatility is in the top quintile of its trailing one-year history and its 5-day return is below -2%; exit after 5 trading days or a 2% stop-loss, whichever comes first. Oil-services selloffs driven by crude-volatility shocks are overdone and mean-revert once the tape calms down.
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 OIH at the close when its 20-day realized volatility is in the top quintile of its trailing one-year history and its 5-day return is below -2%; exit after 5 trading days or a 2% stop-loss, whichever comes first. Oil-services selloffs driven by crude-volatility shocks are overdone and mean-revert once the tape calms down.
The key numbers
The charts
The takeaway
The strategy returned -15.23% on $100,000 starting capital across 25 closed trades with a 48% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished trailing the benchmark by 83.53 points. Best single trade +7.94%, worst -12.58%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.