سیستم تجارت بر اساس استفاده از تجزیه و تحلیل فنی: یک آزمایش محاسباتی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|44223||2015||14 صفحه PDF||سفارش دهید||8680 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Behavioral and Experimental Finance, Volume 6, June 2015, Pages 42–55
Previous studies highlight the influence of methods of technical analysis in the search for exceptional gains in the context of the financial market. Based on this scenario, the main objective of this paper is to analyze the performance of the Simple Moving Average, Exponential Moving Average, MACD and Triple Screen techniques in an actual trading system that included 198 stocks traded in the Brazilian. This paper studies the power of predictability of such methods using various combinations of periods, brokerage fees and a policy of Stop-Loss and compares these with the buy-and-hold strategy. The results indicate that while the studied techniques lead to a high probability of obtaining a return that exceeds the investment value, they have little power of predictability in the Brazilian market. In relation to the passive buy strategy, only the smallest part of the obtained returns outweighs the results of the buy-and-hold strategy.