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Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts

Author

Listed:
  • Ricardo Fuscaldi de Figueiredo Baptista

    (Banco Fibra)

  • Pedro L. Valls Pereira

    (EESP, FGV)

Abstract

The purpose of this article is to investigate whether, how and when, from a statistical stand-point, 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 strategy, but realistic considerations about transaction costs and timing can reduce the gain.

Suggested Citation

  • Ricardo Fuscaldi de Figueiredo Baptista & Pedro L. Valls Pereira, 2008. "Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 205-234.
    • Handle: RePEc:brf:journl:v:6:y:2008:i:2:p:205-234
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    Citations

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    Cited by:

    1. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.

    More about this item

    Keywords

    technical analysis performance; intraday quotes;

    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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