Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa

Analysis of the performance of Technical Analysis startegies applied to Intraday Market for the Future Contract of Ibovespa Index

Ricardo F. de F. Baptista and Pedro Valls Pereira

MPRA Paper from University Library of Munich, Germany

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; intraday quotes (search for similar items in EconPapers)
JEL-codes: C53 G14 (search for similar items in EconPapers)
Date: 2008-09-08
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa (2009)
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