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

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Author(s): Ricardo Fuscaldi de Figueiredo Baptista | Pedro L. Valls Pereira

Journal: Revista Brasileira de Finanças
ISSN 1679-0731

Volume: 6;
Issue: 2;
Start page: 205;
Date: 2008;
Original page

Keywords: technical analysis performance | intraday quotes

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.
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