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Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa

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  • Baptista, Ricardo Fuscaldi de Figueiredo
  • Pereira, Pedro L. Valls

Abstract

Este artigo tem como objetivo verificar a robustez do contéudo preditivo de regras da análise técnica, usando informações intradiárias do mercado futuro do índice de ações da Bolsa de Valores de São Paulo (Ibovespa Futuro). A metodologia sugerida foi a avaliacão em grupos, conforme os resultados de Baptista (2002), tal que as regras são obtidas conforme os resultados em alguns dos subperíodos estudados, sendo testadas em períodos subsequentes. Como resultado, obteve-se robustez ao longo do tempo e à taxa de amostragem dos dados no desempenho das regras acima do benchmark (buy-and-hold), porém considerações realistas acerca do momento de compra, assim como da corretagem (exceto grande investidor), podem reduzir substancialmente os ganhos

Suggested Citation

  • Baptista, Ricardo Fuscaldi de Figueiredo & Pereira, Pedro L. Valls, 2009. "Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa," Textos para discussão 173, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    • Handle: RePEc:fgv:eesptd:173
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    References listed on IDEAS

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    1. Saffi, Pedro A. C., 2003. "Análise Técnica: Sorte ou Realidade?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 57(4), October.
    2. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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    Cited by:

    1. Rodrigo Chicaroli & Pedro L. Valls Pereira, 2015. "Predictability of Equity Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 427-440, September.
    2. Boainain, Pedro G. & Valls Pereira, Pedro L., 2009. "“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro [Head and Shoulder: testing the profitability of graphic pattern of technical anal," MPRA Paper 15653, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • 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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