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Table 4 Performance evaluation of Fibonacci-based strategy

From: Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?

 

KMI

XOM

CVX

COP

SLB

EOG

OXY

MPC

PSX

VLO

Panel A: Energy stocks

Net positions (uptrend)

 − 11

6

0

4

3

 − 1

 − 5

4

6

3

Net positions (downtrend)

 − 5

 − 13

 − 5

2

 − 2

 − 8

 − 8

 − 4

0

 − 2

Total gain (uptrend)

216.20

 − 502.5

 − 121.9

 − 202.1

 − 124.57

511.06

493.47

 − 197.6

 − 514.8

 − 253.1

Total gain (downtrend)

100.84

922.17

586.88

 − 124.19

99.73

738.81

433.98

270.37

1.69

184.57

Total return

 − 5%

 − 4%

 − 7%

177%

4%

44%

 − 770%

12%

11%

4%

Average risk

5.22

20.44

27.42

12.60

9.20

22.30

16.44

15.46

19.37

17.62

Sharpe

 − 0.014

 − 0.003

 − 0.003

0.139

0.002

0.019

 − 0.470

0.006

0.004

0.001

Sharpe per trade

0

0

0

0.006

0

0.001

 − 0.012

00

0

0

Buy-and-hold returns

25.4%

 − 16.1%

 − 0.7%

29.8%

 − 38.4%

 − 14.6%

 − 33.5%

 − 8.6%

9.8%

9.6%

 

SNC

POWR

GRID

TSL

Panel B: Energy cryptos

Net positions (uptrend)

0

 − 3

4

0

Net positions (downtrend)

 − 2

 − 4

 − 5

 − 5

Total gain (uptrend)

0

0.37

 − 0.81

0

Total gain (downtrend)

0.01

0.90

0.64

0.04

Total return

10%

66%

 − 5%

1595%

Average risk

0

0.04

0.05

0

Sharpe

24.10

17.34

 − 1.45

16,568.33

Sharpe per trade

2.01

0.54

 − 0.06

1656.83

Buy-and-hold returns

 − 0.986

 − 0.938

 − 0.960

 − 0.987

  1. Panel A of the Table 4 summarizes the performance evaluation values of investing in the top ten U.S. energy companies. Panel B summarizes the results of four energy cryptos. Average risk and average returns are based on arithmetic averages. Sharpe values captures the reward to volatility ratio. The U.S. 3-month Treasury bill rate was used as a proxy for the risk free asset. Buy and hold returns represent the returns for opening a position at the start and closing the position at the end of the trading period. Fibonacci retracement-based returns were calculated by closing any remaining open positions at the end of the period. Net positions are the number of short positions deducted from long positions. The period covered is Nov 2017–Jan 2020