top of page

Divergence RSI on US Crude Oil

A Mean-Reversion Strategy for US Crude Oil WTI


The Idea

This strategy is mainly built on a single indicator, the RSI Divergence from ProRealCode. This indicator detects bullish and bearish divergences between price and the RSI. A bullish divergence occurs when the stock price makes new lows while the indicator starts to climb upward. A bearish divergence occurs when the stock price makes new highs while the indicator starts to go lower. We also implement a moving average crossover as a filter. So with something as simple as one indicator and one filter we can get something quite interesting. Out-of-sample for this strategy is since 2021-01-01.



Setup for Backtest

Market: US Crude Oil (WTI)

Contract: 1 € per point

Broker: IG

Testing environment: ProRealtime 12

Timeframe: Daily

Time zone: CET

No fees and commissions are included.


Result

Total gain: 28 699.3 €

Average gain: 123.17 €

Total trades: 233

Winners: 172

Losers: 61

Breakeven: 0

Max drawdown: 2 887.7 €

Risk/reward ratio: 1.15

Total time in the market: 35.52 %

Average time in the market: 11 days, 15 hours

CAGR (10 000 € in starting capital): 4.61 %


Backtest Results

Entry Conditions

Long Entry

  1. MA[20] is higher today than yesterday.

  2. A bullish signal from the RSI Divergence Indicator [3,40,70,20].

Short Entry

  1. MA[20] is lower than yesterday.

  2. MA[10] is also lower than yesterday.

  3. A bearish signal from the RSI Divergence Indicator [3,20,70,20].


Exit Conditions

Long Exit

  1. A bearish signal from the RSI Divergence Indicator [3,40,70,20]

  2. Or if the number of bars since entry exceeds 40.

Short Exit

  1. A bullish signal from the RSI Divergence Indicator [3,20,70,20]

  2. Or if the number of bars since entry exceeds 40.


Code

ProRealTime


Read more about the RSI Divergence Indicator here: https://www.prorealcode.com/documentation/divergencersi/


FAQ

Q: Am I free to use this strategy however I want?

A: Sure! But we're happy if you refer to our website and keep the creator's name in the code.


Q: I'm using another platform, can you write the code in another language?

A: No, sorry. We might add code in more languages later to the website, but until then, we recommend you try ChatGPT or something similar to help you rewrite it.


Q: Why does my backtest look different when I run the code?

A: The strategy might give different backtest results for several reasons, like added spread or fees, the wrong time-zone settings, or that you're using another type of contract or instrument.


Q: Will I make money if I run this strategy live?

A: We don't know. We're not financial advisors, we're just traders sharing our ideas.


If you want to start trading with ProRealTime, you can try it here for free:



Wanna do business?

algomatictrading@gmail.com

Follow Us On

  • X
  • Instagram

Get free strategies and exclusive deals!

Thanks for subscribing!

© 2024 by Algomatic Trading AB.     ⏐     Terms & Conditions    ⏐    F. A .Q

Disclaimer: Algomatic Trading is not a financial advisor, and takes no responsibility for the results of your trading. All content on this page should be seen as inspiration, not advice. Always do your own testing before trading any system, and don't risk money you can't afford to lose. Please Read Full Disclaimer Here

bottom of page