English, Article, Journal or magazine article edition: Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa Baptista, Ricardo Fuscaldi de Figueiredo; Pereira, Pedro L. Valls

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Bookmark: http://trove.nla.gov.au/version/80168
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa
Author
  • Baptista, Ricardo Fuscaldi de Figueiredo
  • Pereira, Pedro L. Valls
Physical Description
  • preprint
Notes
  • 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&​Fâ€), using tick-by-tick data. The methodology applied was suggested byBaptista (2002), in a way that the rules are grouped according to similar performance andare 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.
  • RePEc:fgv:eesptd:173
Language
  • English
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