Crude Oil Mean Reversion Using Candle Fullness and a Moving Average Oscillator

Summary

This crude oil strategy uses 15-minute bars to combine a five-bar average of candle fullness with a moving average oscillator built from five- and 50-period averages. Candle fullness is defined as the close-to-open move divided by the candle’s high-low range, then averaged over the recent period. The rules look for a long entry when the oscillator is positive while average fullness is sufficiently negative, and a short entry when the oscillator is negative while fullness is sufficiently positive. It specifies one position at a time, with fixed profit and stop targets.

The author says the threshold and exit targets were minimally optimized and mentions that backtest and walk-forward results were attached, but the document provides no figures or performance statistics to assess them. The method therefore offers a rule design rather than evidence of robust profitability. Its normalized candle measure can also behave unusually when the high-low range is very small, and the brief description does not discuss transaction costs or market regime sensitivity.

Key ideas

• The strategy trades crude oil on 15-minute bars using recent candle fullness and a moving average oscillator.
• Long entries require a positive oscillator and sufficiently negative average fullness.
• Short entries require a negative oscillator and sufficiently positive average fullness.
• The author reports limited parameter optimization and references backtest and walk-forward results without giving their metrics.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.