Analise Do Desempenho De Regras Da Analise Tecnica Aplicada Ao Mercado Intradiario Do Contrato Futuro Do Indice Ibovespa
30 Pages Posted: 11 Sep 2008
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: Suggested Citation