Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa
[Analysis of the performance of Technical Analysis startegies applied to Intraday Market for the Future Contract of Ibovespa Index]
AbstractThe purpose of this article is to investigate whether, how and when, from a statistical standpoint, Technical Analysis strategies tools hold true for the futures contract of Ibovespa Index, negotiated at the Brazilian Futures Exchange (“Bolsa Brasileira de Mercadorias e Futuros – BM&F”), using tick-by-tick data. The methodology applied was suggested by Baptista (2002), in a way that the rules are grouped according to similar performance and are validated in subsequent intervals of time. As a result, in all periods and independently of sampling frequency, the strategies over-perform the buy-and-hold startegy, but realistic considerations about transaction costs and timing can reduce the gain.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10351.
Date of creation: 08 Sep 2008
Date of revision:
Technical Analysis; intraday quotes;
Other versions of this item:
- Baptista, Ricardo Fuscaldi de Figueiredo & Pereira, Pedro Luiz Valls, 2009. "AnÃ¡lise do desempenho de regras da anÃ¡lise tÃ©cnica aplicada ao mercado intradiÃ¡rio do contrato futuro do Ãndice Ibovespa," Textos para discussÃ£o 173, Escola de Economia de SÃ£o Paulo, Getulio Vargas Foundation (Brazil).
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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"Predictability of equity models,"
Textos para discussÃ£o
176, Escola de Economia de SÃ£o Paulo, Getulio Vargas Foundation (Brazil).
- Boainain, Pedro G. & Valls Pereira, Pedro L., 2009.
"â€œOmbro-CabeÃ§a-Ombroâ€: Testando a Lucratividade do PadrÃ£o GrÃ¡fico de AnÃ¡lise TÃ©cnica no Mercado de AÃ§Ãµes Brasileiro
[Head and Shoulder: testing the profitability of graphic pattern of tec," MPRA Paper 15653, University Library of Munich, Germany.
- Pereira, Pedro Luiz Valls, 2009. "â€œOmbro-cabeÃ§a-ombroâ€ : testando a lucratividade do padrÃ£o grÃ¡fico de anÃ¡lise tÃ©cnica no mercado de aÃ§Ãµes brasileiro," Textos para discussÃ£o 181, Escola de Economia de SÃ£o Paulo, Getulio Vargas Foundation (Brazil).
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