Table 5 Performance evaluation of Fibonacci and price crossover strategies
| Â | KMI | XOM | CVX | COP | SLB | EOG | OXY | MPC | PSX | VLO |
|---|---|---|---|---|---|---|---|---|---|---|
Panel A: Energy stocks | ||||||||||
Net positions (uptrend) |  − 6 | 1 | 0 | 0 | 0 |  − 1 |  − 2 | 0 | 0 |  − 2 |
Net positions (downtrend) | 0 | 1 | 0 | 2 | 0 |  − 1 | 1 | 1 | 1 | 0 |
Total gain (uptrend) | 116.32 |  − 81.38 |  − 1.12 | 0.00 | 0.00 | 158.08 | 163.87 | 0 | 0 | 186.10 |
Total gain (downtrend) | 0 |  − 75.92 | 0 |  − 125.00 | 0 | 96.86 |  − 64.83 |  − 54.21 |  − 90.83 | 0 |
Total return |  − 9% |  − 13% |  − 1% | 4% |  −  | 34% | 35% | 5% | 14% | 2% |
Average risk | 2.52 | 6.33 | 10.21 | 5.32 | 0 | 10.72 | 7.40 | 3.81 | 6.66 | 7.75 |
Sharpe |  − 0.044 |  − 0.023 |  − 0.003 | 0.004 |  −  | 0.030 | 0.044 | 0.008 | 0.018 | 0 |
Sharpe per trade |  − 0.0037 |  − 0.0058 |  − 0.0014 | 0.0010 |  −  | 0.0051 | 0.0074 | 0.0039 | 0.0088 | 0 |
Buy-and-hold returns | 0.254 |  − 0.161 |  − 0.007 | 0.298 |  − 0.38 |  − 0.146 |  − 0.335 |  − 0.086 | 0.098 | 0.096 |
| Â | SNC | POWR | GRID | TSL |
|---|---|---|---|---|
Panel B: Energy cryptos | ||||
Net positions (uptrend) | 0 | 0 | 0 | 0 |
Net positions (downtrend) |  − 1 | 1 | 2 | 0 |
Total gain (uptrend) | 0 | 0 | 0 | 0 |
Total gain (downtrend) | 0 |  − 0.12 |  − 0.62 | 0 |
Total return | 40% |  − 64% |  − 67% |  −  |
Average risk | 0.00 | 0.01 | 0.02 |  −  |
Sharpe | 3273.55 |  − 109.96 |  − 29.63 |  −  |
Sharpe per trade | 1636.77 |  − 54.983 |  − 4.939 |  −  |
Buy-and-hold returns |  − 0.986 |  − 0.938 |  − 0.960 |  − 0.987 |