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Crude Oil (WTI) statistical and technical analysis

The current price of Crude Oil (WTI) is 59.32 (April 09, 2021). This commodity has recently traded sideways in an important area. We see a completely different situation in this market compared to the same time last year, when the market price fell to the lowest level ever. 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 1.77% and -1.96% , respectively. The estimated daily return in both directions based on their probability of occurrence is 0.92% and -0.94% . Friday´s return was -0.47% . Our scoring is currently positive (1 ) for the month-on-month change and 2 for price indexation. Both scorings range from -3 up to 3 . Indexation is currently in the initial growth phase of the cycle. The estimated cycles development based on our analytical system is shown in the following chart.

Price indexation and cycles estimation 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. The WTI is in bearish sentiment in the case of monthly MA, after falling below it last month. As we can see in the chart below, the 6 months and annual MAs still support bullish sentiment.

Daily price development of WTI Source: WALFIR

In the last month, we have witnessed more declining trends, with the maximum level reaching 4 consecutive days. Upward trends did not exceed more than 7 days in the same period. However, the rise in prices was expected after last year’s crash. We could use the average annual ATR (Average True Range) obtained from daily data (6.08% ) to estimate Stop Loss orders for our positions. The current value is 1.65% . Approximately 90% confidence interval (return between -3.6% and 3.6% ) is shown in the histogram below by a red rectangle.

Daily return distribution of WTI 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.

Daily low to high distribution of WTI Source: WALFIR

The basic technical analysis points to a slightly positive sentiment with a sideways price development in recent weeks. The WTI is currently very close to the short-term moving average and psychological level of 60.00 . This could be strong support for bulls. However, if the price continues to fall, the next stop could be the demand zone (green rectangle), where the Fibonacci retracement level of 23.60% is also, along with a psychological level of 50.00 . Until then, there could be a long-term moving average. In addition, the divergence between price development and the RSI created in the last 2 months could support this scenario. This would represent a very similar percentage decrease as last autumn.

Basic technical analysis of WTI 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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