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

Ricardo Fuscaldi de Figueiredo Baptista () and Pedro Valls Pereira
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Ricardo Fuscaldi de Figueiredo Baptista: Banco Fibra

Brazilian Review of Finance, 2008, vol. 6, issue 2, 205-234

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.

Keywords: technical analysis performance; intraday quotes (search for similar items in EconPapers)
JEL-codes: C53 G14 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:6:y:2008:i:2:p:205-234

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