Backtest: Buy SLB at the close when Brent crude closes above its 20-day moving average...
The thesis was clean: when Brent sits above its 20-day trend and SLB pulls back beneath its own, buy the laggard and ride the repricing. That setup, run as a disciplined rule, didn't just underperform—it lost money. The backtest shows a -16.69% return on $100,000 across 34 trades, with a 52.9% win rate that failed to compensate for outsized losers. Meanwhile, simply holding the S&P 500 over the same period would have gained over 68 points of equity.
This is a useful case study in how plausible market narratives survive contact with bar-by-bar reality. The strategy's exit logic and 10-day holding cap look reasonable; the results say otherwise. The full analysis below covers the P&L curve, trade distribution, and the specific drawdowns that turned a majority-win system negative.
Buy SLB at the close when Brent crude closes above its 20-day moving average and SLB closes below its 20-day moving average; exit when SLB closes above its 20-day moving average or after 10 trading days, whichever comes first. Oil-services pullbacks while crude holds above trend are catch-up candidates because rising upstream cash flows get repriced into service demand with a lag.
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 SLB at the close when Brent crude closes above its 20-day moving average and SLB closes below its 20-day moving average; exit when SLB closes above its 20-day moving average or after 10 trading days, whichever comes first. Oil-services pullbacks while crude holds above trend are catch-up candidates because rising upstream cash flows get repriced into service demand with a lag.
The key numbers
The charts
The takeaway
The strategy returned -16.69% on $100,000 starting capital across 34 closed trades with a 53% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished trailing the benchmark by 85.00 points. Best single trade +5.80%, worst -10.98%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.