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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]

Author

Listed:
  • Baptista, Ricardo F. de F.
  • Valls Pereira, Pedro L.

Abstract

The 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.

Suggested Citation

  • Baptista, Ricardo F. de F. & Valls Pereira, Pedro L., 2008. "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 Intr," MPRA Paper 10351, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:10351
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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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

    Keywords

    Technical Analysis; 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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