do technical analysis of crude oil trading

Soumya Gupta, BSc

Master's thesis

Abstract:

The main aim of this diploma thesis is to do a technical analysis of crude oil prices (WTI) and formulate a profitable trading strategy and test it using five-year historical data from 2016-2020. West Texas Intermediate (WTI) is a light, sweet crude oil which is traded on the CME market and serves as a benchmark for US crude oil future prices. It is one of the most actively trading commodities in the market. The theoretical part of the thesis analyses the concepts like commodity market and its evolution, commodity trading platforms, exchange markets. It further describes types of financial derivatives and methods of technical analysis. For the practical part of the thesis, the daily close price of WTI futures contracts is used. Technical tools applied are moving average, relative strength indicator, and moving average convergence divergence (MACD) to determine entry and exit positions with the motive of generating profits. Firstly, the contract details are specified with the initial and maintenance margin. The optimum risk percentage is decided to stop loss. Trading strategies are formulated using the indicators- Moving average, RSI, and MACD. The formulated strategies are applied on historical data from 2016 to 2020 and profitability for each strategy is calculated.

Keywords

Commodities, crude oil, financial market, trading system, technical analysis

Language used: English

Date on which the thesis was submitted / produced: 30. 3. 2022

Thesis defence

• Supervisor: Ing. Karel Malec, Ph.D.

Czech University of Life Sciences Prague

Faculty of Economics and Management

Master programme / field:
Economics and Management / Economics and Management