Examination of the profitability of technical analysis based on moving average strategies in BRICS

Matheus José Silva de Souza, Danilo Guimarães Franco Ramos, Marina Garcia Pena, Vinicius Amorim Sobreiro () and Herbert Kimura
Additional contact information
Matheus José Silva de Souza: University of Brasília
Danilo Guimarães Franco Ramos: University of Brasília
Marina Garcia Pena: University of Brasília
Vinicius Amorim Sobreiro: University of Brasília

Financial Innovation, 2018, vol. 4, issue 1, 1-18

Abstract: Abstract In this paper, we investigated the profitability of technical analysis as applied to the stock markets of the BRICS member nations. In addition, we searched for evidence that technical analysis and fundamental analysis can complement each other in these markets. To implement this research, we created a comprehensive portfolio containing the assets traded in the markets of each BRICS member. We developed an automated trading system that simulated transactions in this portfolio using technical analysis techniques. Our assessment updated the findings of previous research by including more recent data and adding South Africa, the latest member included in BRICS. Our results showed that the returns obtained by the automated system, on average, exceeded the value invested. There were groups of assets from each country that performed well above the portfolio average, surpassing the returns obtained using a buy and hold strategy. The returns from the sample portfolio were very strong in Russia and India. We also found that technical analysis can help fundamental analysis identify the most dynamic companies in the stock market.

Keywords: Technical analysis; Moving average strategies; Automated trading systems; Portfolio analysis; BRICS (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://link.springer.com/10.1186/s40854-018-0087-z Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0087-z

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-018-0087-z

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().