Avaliação de sistemas técnicos de negociação: evidências para o mercado acionário brasileiro

Abstract

The objective of this work is to evaluate if technical trading systems are capable of generating returns higher than the Buy and Hold strategy for an equally weighted stock portfolio and to verify if the technical analysis actually adds any value to the decision making. For this, four strategies based on technical indicators widely known in the market were evaluated for a set of daily data of 154 companies listed on the São Paulo Stock Exchange, in a period from 2000 to 2016. Strategies of Bollinger band breakout, Donchian channel breakout, and moving average crossovers showed returns above Buy and Hold even after transaction costs were computed and with a slightly lower risk level. However, it is worth emphasizing that transaction costs have a strong impact on the profitability of these strategies.