Trading System based on the use of technical analysis: A computational experiment

Thiago Raymon Cruz Cacique da Costa, Rodolfo Toríbio Nazário, Gabriel Soares Zica Bergo, Vinicius Amorim Sobreiro and Herbert Kimura

Journal of Behavioral and Experimental Finance, 2015, vol. 6, issue C, 42-55

Abstract: Previous studies highlight the influence of methods of technical analysis in the search for exceptional gains in the context of the financial market. Based on this scenario, the main objective of this paper is to analyze the performance of the Simple Moving Average, Exponential Moving Average, MACD and Triple Screen techniques in an actual trading system that included 198 stocks traded in the Brazilian. This paper studies the power of predictability of such methods using various combinations of periods, brokerage fees and a policy of Stop-Loss and compares these with the buy-and-hold strategy. The results indicate that while the studied techniques lead to a high probability of obtaining a return that exceeds the investment value, they have little power of predictability in the Brazilian market. In relation to the passive buy strategy, only the smallest part of the obtained returns outweighs the results of the buy-and-hold strategy.

Keywords: Trading system; MACD; Simple Moving Average; Exponential Moving Average; Triple Screen (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:6:y:2015:i:c:p:42-55

DOI: 10.1016/j.jbef.2015.03.003

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