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Is it possible to outperform Ibovespa through technical analysis in the futures market?

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  • Diego Paraiso Garcia Guimarães
  • Gustavo Silva Araújo
  • Claudio Henrique da Silveira Barbedo

Abstract

The asset selection decision has been one of the main challenges faced by financial market analysts. The theory of Charles Dow formulated in 1884 attempts to shed some light on this issue by forecasting stock market prices based on patterns. However the efficient market hypothesis has developed the hypothesis that this idea as useless. The aim of this work is to verify whether it is possible to profit from patterns in stock prices using the Ibovespa futures mini-contracts. Using the years 2006 and 2007 to calibrate the strategy and the period ranging from January 2008 to February 2010 to apply it, we obtained results higher than those of Ibovespa, even in terms of risk-return. The results suggest the weak form efficiency is not confirmed for the period under analysis.

Suggested Citation

  • Diego Paraiso Garcia Guimarães & Gustavo Silva Araújo & Claudio Henrique da Silveira Barbedo, 2011. "Is it possible to outperform Ibovespa through technical analysis in the futures market?," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 15(5), pages 918-930.
    • Handle: RePEc:abg:anprac:v:15:y:2011:i:5:888
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