AI Backtest

Backtest: Buy FANG at the close when its 10-day simple moving average crosses above its...

-12.04%
Return on capital

A Brent-crude confirmation filter sounds like the prudent way to trade a Permian producer's momentum. Buy FANG only when its 10-day moving average crosses above its 20-day, and only when Brent is above its own 50-day, to avoid value traps during oil downtrends. The logic is tidy. The results are not.

Running that rule over historical data produced 12 closed trades, a 33% win rate, and a -12.04% return on a $100,000 starting stake. SPY buy-and-hold in the same window gained 68.30% — a shortfall of over 80 points. The crude filter did not save the signal.

The full backtest below breaks down each trade, the benchmark comparison, and where the edge (or lack of it) actually showed up.

The strategy

Buy FANG at the close when its 10-day simple moving average crosses above its 20-day simple moving average while Brent crude closes above its 50-day simple moving average; exit when FANG closes below its 20-day simple moving average or after 10 trading days, whichever comes first. E&P momentum signals are only trustworthy when the crude tape confirms, so this filter avoids buying Permian value traps during oil downtrends.

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 FANG at the close when its 10-day simple moving average crosses above its 20-day simple moving average while Brent crude closes above its 50-day simple moving average; exit when FANG closes below its 20-day simple moving average or after 10 trading days, whichever comes first. E&P momentum signals are only trustworthy when the crude tape confirms, so this filter avoids buying Permian value traps during oil downtrends.

The key numbers

Return on capital
-12.04%
total P&L over starting capital
Total P&L
$-12,035.29
Closed trades
12
Win rate
33.3%
share of closed trades in profit
vs SPY
-80.34%
excess return over SPY buy-and-hold

The charts

Equity curve (growth of 100)

The takeaway

The strategy returned -12.04% on $100,000 starting capital across 12 closed trades with a 33% win rate. Over the same window SPY buy-and-hold returned +68.30%, so the strategy finished trailing the benchmark by 80.34 points. Best single trade +7.07%, worst -7.32%.

The fine print