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Crude Oil (WTI) statistical and technical analysis

The current price of Crude Oil (WTI) is 68.44 (August 13, 2021). This commodity is currently testing an important level this year. Rising global inflation could further affect the future price of oil. Let’s now look at statistical and technical analyzes.

Based on a long-term analysis of historical data, the average positive and negative daily returns are approximately 1.76% and -1.96% , respectively. The estimated daily return in both directions based on their probability of occurrence is 0.91% and -0.93% . Friday´s return was -0.94% , well below the first standard deviation. Our scoring is currently negative (-2 ) for the month-on-month change and -3 for price indexation. Therefore, it is currently in the negative phase of the cycle. Both scorings range from -3 up to 3 . The estimated development of cycles based on our analytical system is shown in the following chart.

WTI price indexation Source: WALFIR

Different moving averages (MAs) help us better identify trends across multiple time frames. We use 3 basic MAs to find out which sentiment dominates each horizon. The purple line represents the monthly , the green line the 6 months and the yellow line the annual moving average. As we can see in the chart below, only monthly WTI MA is in bearish sentiment. In the event of a decline, the medium-term MA can be an important price support.

WTI daily price development Source: WALFIR

Since our last analysis, we have witnessed more upward trends, the maximum level of which has reached 3 consecutive days. The maximum for the last 3 years is 8 days. Downward trends did not exceed more than 2 days in the same period. However, the maximum decrease was 11 days in the measured period. We could use the average long-term ATR (Average True Range) obtained from daily data (3.40% ) to estimate Stop Loss orders for our positions. The current value is 1.88% , which confirms the recent decline in True Range. Approximately 90% confidence interval (return between -3.60% and 3.60% ) is shown in the histogram below by a red rectangle.

WTI daily return distribution Source: WALFIR

We could use the last decile of low to high returns (6.00% ) to estimate Profit Targets, as shown in the chart below.

WTI low to high distribution Source: WALFIR

The basic technical analysis points to negative short-term sentiment with a gradual decline since our last analysis. The WTI is currently very close to a level of around 68.00 , which was an important resistance this year that has passed to support. However, rising inflation could raise price again. This scenario also supports the divergence between price development and RSI that has developed in recent weeks. The market price is below the short-term moving average. If there is a further decline, the next stop could be the demand zone (green rectangle), where is also the Fibonacci retracement level of 23.60% , along with the psychological level of 60.00 and the long-term MA.

WTI basic technical analysis Source: TradingView

WALFIR Technologies is one of the three divisions of WALFIR s.r.o., which is based in Slovakia. The primary interests of this division are analytical, quantitative, and algorithmic...

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