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Crude Oil (WTI) statistical and technical analysis

The change in the number of crude oil barrels held in inventory has been falling for seven weeks in a row. The lack of supply also pushes the price higher. The current price of Crude Oil (WTI) is 73.98 (September 24, 2021). This commodity is currently aimed at testing this year’s highs. Let us therefore 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 0.93% , well below the first standard deviation. Our scoring is currently positive (3 ) for the month-on-month change and 0 for price indexation. Therefore, it is currently in a positive extreme 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 daily 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, all WTI MAs currently support bullish sentiment. In the event of a decline, the monthly MA may be the price support.

WTI daily price development Source: WALFIR

Since our last analysis, there have been stronger downward trends with a maximum level of 6 consecutive days, even the market price is currently higher. The maximum for the last 3 years is 11 days. Upward trends did not exceed more than 3 days in the same period. However, the maximum increase was 8 days in the measured period. We could use the average long-term ATR (Average True Range) obtained from daily data (3.32% ) to estimate Stop Loss orders for our positions. The current value is 2.33% , which is below the average. 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 daily low to high distribution Source: WALFIR

The basic technical analysis points to a positive short-term sentiment after rebounding from the demand zone (green rectangle), where is also the Fibonacci retracement level of 23.60% , along with the psychological level of 60.00 . The short-term MA also supported the WTI last week. However, there is a divergence between price development and the RSI that has developed in recent months. The psychological level of 77.00 could be an important resistance if the market price rises higher.

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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