Backtest: When XLE's daily high-low range is in the bottom decile of its 20-day range,...
Compressed intraday ranges are often described as coils about to spring. The thesis for this study is that when XLE's daily high-low range lands in the bottom decile of its own 20-day range, the ETF is building tension that should resolve upward — so a buy-at-the-close, sell-five-days-later rule ought to catch the expansion.
That setup produced 50 closed trades and a 56% win rate, but the headline numbers undercut the narrative. The strategy returned 12.66% on $100,000 in starting capital, while SPY buy-and-hold gained 68.30% across the same window — a 55.64-point shortfall. The trade-level breakdown, the range condition, and where the edge failed to show up are detailed in the full analysis below.
When XLE's daily high-low range is in the bottom decile of its 20-day range, buy at the close; exit after 5 trading days. Thesis: Compressed intraday ranges in the energy sector ETF signal coiling tension that releases into an upside expansion.
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: When XLE's daily high-low range is in the bottom decile of its 20-day range, buy at the close; exit after 5 trading days. Thesis: Compressed intraday ranges in the energy sector ETF signal coiling tension that releases into an upside expansion.
The key numbers
The charts
The takeaway
The strategy returned +12.66% on $100,000 starting capital across 50 closed trades with a 56% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished trailing the benchmark by 55.64 points. Best single trade +6.78%, worst -14.43%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.