Technical analysis trading strategy: an application on Continuous Sweet Crude Oil WTI Futures

Ing. Federico Lovison

Master's thesis

Abstract:

This paper attempts to develop a trading strategy on the WTI Crude Sweet Oil futures contract through the use of technical analysis. The analysis will first examine the theoretical aspects of the oil market and its key players. The paper continues with a description on the characteristics of the futures contracts and the possible methods utilized to create a data series without gaps required to back-test the strategy. After that, an overview on the technical analysis instruments utilized during the back-tests is offered. The practical part is a continuation of the theoretical one and, furthermore, it analyzes the process followed to develop the trading strategy and it discusses results and possible applications.

Keywords

Technical analysis, Futures contract, crude oil, trading strategy, continuous futures data series

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 22. 5. 2014

Obhajoba závěrečné práce

• Obhajoba proběhla 16. 6. 2014
• Vedúci: Ing. Dagmar Linnertová, Ph.D.
• Oponent: Ing. Mgr. Juraj Hruška

Masaryk University

Faculty of Economics and Administration

Master programme / odbor:
Economic Policy and Administration / Financial Management (Eng.)