Backtest: Buy COP at the close when its 2-day RSI closes below 10 while Brent crude clo...
Is a 2-day RSI below 10 a contrarian buy signal or a warning? The theory tested here: buy ConocoPhillips at the close when that washout occurs while Brent crude holds above its 50-day moving average, then exit on a reclaim of the 10-day SMA or after five trading days. The premise was that forced de-grossing — not fundamentals — was driving the tape, and the stock would snap back once selling pressure cleared.
The evidence says otherwise. Over 27 closed trades, the strategy returned -42.65% on $100,000 with a 22.2% win rate, trailing buy-and-hold SPY by roughly 119 points over the same window. The full bar-by-bar breakdown below shows where the edge failed, trade by trade.
Buy COP at the close when its 2-day RSI closes below 10 while Brent crude closes above its 50-day simple moving average; exit when COP closes above its 10-day simple moving average or after 5 trading days, whichever comes first. A short-term RSI washout in a large-cap E&P while the crude tape is still climbing is usually forced de-grossing, not an earnings signal, so the stock tends to snap back once the selling pressure 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 COP at the close when its 2-day RSI closes below 10 while Brent crude closes above its 50-day simple moving average; exit when COP closes above its 10-day simple moving average or after 5 trading days, whichever comes first. A short-term RSI washout in a large-cap E&P while the crude tape is still climbing is usually forced de-grossing, not an earnings signal, so the stock tends to snap back once the selling pressure clears.
The key numbers
The charts
The takeaway
The strategy returned -42.65% on $100,000 starting capital across 27 closed trades with a 22% win rate. Over the same window SPY buy-and-hold returned +76.34%, so the strategy finished trailing the benchmark by 118.99 points. Best single trade +2.00%, worst -6.98%.
The fine print
- Simulated results on historical data — fills, slippage and costs are idealized.
- Past performance does not predict future results.