Analise Do Desempenho De Regras Da Analise Tecnica Aplicada Ao Mercado Intradiario Do Contrato Futuro Do Indice Ibovespa

30 Pages Posted: 11 Sep 2008

See all articles by Pedro L. Valls Pereira

Pedro L. Valls Pereira

Sao Paulo School of Economics - FGV and CEQEF- FGV

Date Written: September 8, 2008

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. Keywords: technical analysis performance, intraday quotes.

Keywords: analise tecnica, dados intradiarios

JEL Classification: G14, C53

Suggested Citation

Valls Pereira, Pedro L., Analise Do Desempenho De Regras Da Analise Tecnica Aplicada Ao Mercado Intradiario Do Contrato Futuro Do Indice Ibovespa (September 8, 2008). Available at SSRN: https://ssrn.com/abstract=1265287 or http://dx.doi.org/10.2139/ssrn.1265287

Pedro L. Valls Pereira (Contact Author)

Sao Paulo School of Economics - FGV and CEQEF- FGV ( email )

Rua Itapeva 474 room 1006
São Paulo, São Paulo 01332-000
Brazil
55+11+37993726 (Phone)
55+11+37993357 (Fax)

HOME PAGE: http://sites.google.com/site/pedrovallspereira

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
46
Abstract Views
200
PlumX Metrics