Author : Sven Strebel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (946 download)
Book Synopsis Technical Analysis And Futures Curve Based WTI Crude Oil Trading Strategies by : Sven Strebel
Download or read book Technical Analysis And Futures Curve Based WTI Crude Oil Trading Strategies written by Sven Strebel and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis aims to evaluate different trading strategies in the crude oil market. WTI crude oil futures contracts from 1989 to 2015 are analyzed and compared to a benchmark, which is always invested in the first in line contract. The analysis includes technical trading, long-only and long-short strategies, which are based on ideas from the literature as well as findings within this thesis. The performance of the tested strategies is evaluated on an absolute US Dollar basis. In order to understand the riskiness of the strategy, the standard deviation of daily profits and losses as well as the 5% expected shortfall are computed. Furthermore, using an adjusted Sharpe ratio, the different strategies are also compared in terms of the risk-return characteristics. Overall, results indicate that the 2 long-short strategies, namely the Regime Changing Strategy as well as the Carry Based Trading Strategy, lead to significant better risk-return results than the Benchmark Strategy. In addition, also the Dow Theory Based Strategy shows impressive results in terms of profitability. In-sample optimized moving average strategies perform well, however out-of-sample testing shows that the performance heavily depends on the chosen parameters.