Boainain, Pedro G. and Valls Pereira, Pedro L. (2009): “Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro.
Download (512kB) | Preview
Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the Brazilian stock market. For that purpose, several investment strategies conditioned by the identification of the Head and Shoulders pattern (in its basic and inverted forms) by a computer algorithm in daily price series of 30 stocks from January 1994 to January 2009 were defined. Confidence intervals consistent with the null hypothesis that no strategies with positive returns can be based only on historical data were constructed using the Bootstrap sample inference technique in order to test the predictive power of each strategy. More specifically, the mean returns obtained by each strategy when applied to the stock’s price series were compared to those obtained by the same strategies when applied to 1.000 artificial price series - for each stock - generated in a parametric manner, by an E-GARCH, and in a nonparametric one. Overall, our results show that it is possible to create strategies conditioned by the occurrence of Head and Shoulders, with positive returns, which indicates that these patterns can capture from stock historical prices some signals about their future price trend that makes possible to create profitable strategies. Nevertheless, the same conclusions are not valid for the pattern in its inverted form and when the effects of taxes and transaction costs are considered, depending on their magnitude, neither in its basic form.
|Item Type:||MPRA Paper|
|Original Title:||“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro|
|English Title:||Head and Shoulder: testing the profitability of graphic pattern of technical analysis for the Brazilian Stock Exchange|
|Keywords:||Charting, Technical Analysis, Bootstrap, E-GARCH, investment strategy, Head and Shoulders, Osler and Chang|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
|Depositing User:||Pedro L. Valls Pereira|
|Date Deposited:||11. Jun 2009 13:45|
|Last Modified:||09. Jan 2016 20:50|
ARNOLD, C. e RAHFELDT, D. Timing the Market: How to Profit in Bull and Bear Markets with Technical Analysis. Chicago: Probus Publishing, 1986.
BAPTISTA, R.F.F. e VALLS PEREIRA, P.L. Análise da Performance de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Futuro do Índice Bovespa. Mimeo, Ibmec São Paulo, 2006.
BROCK, W., LAKONISHOK, J. e LEBARON, B. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance, v.47, no. 5, p. 1731-1764, 1992.
CAGINALP, G. e LAURENT, H. The predictive power of price patterns, Applied Mathematical Finance, no. 5, p. 181-205, 1998.
CAJUEIRO, D. O. e TABAK, B. M. Possible causes of long-range dependence in the Brazilian stock market, Physica A: Statistical Mechanics and its Applications, v. 345, no.3-4, 15 de Janeiro, p. 635-645, 2005.
CAJUEIRO, D. O., TABAK, B. M. e SOUZA, N. A. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market, Physica A: Statistical Mechanics and its Applications, v. 351, no.2-4, 15 de Junho, p. 512-522, 2005.
CARLSTEIN, E. The Use of Subseries Methods for Estimating the Variance of a General Statistic from a Stationary Time Series, The Annals of Statistics, v.14, p. 1171-1179, 1986.
CHANG, E. J., LIMA, E. J. A. e TABAK, B. M. Testing for predictability in emerging equity markets, Emerging Equity Markets Review, v.5, no.3, Setembro, p. 295-316, 2004.
EDWARDS, R.D. e MAGEE, J. Technical Analysis of Stock Trends. Boston: John Magee Inc., 1966.
FAMA, E.F. Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, v. 25, p. 383-417, 1970.
FAMA, E.F. e BLUME, M.E. Filter Rules and Stock Market Trading, Journal of Business, v. 39, p. 226-241, 1966.
HALL, P. Resample a Coverage Pattern, Stochastic Processes and their Applications, v.20, p. 231-246, 1985.
HALL, P., HOROWITZ, J.L. e JING, B.Y. On Blocking Rules for the Bootstrap with Dependent Data, Biometrika, v.82, p.561-574, 1995.
HARDY, C.C. The Investor’s Guide to Technical Analysis. New York: McGraw Hill, 1978.
JENSEN, M.C. Some Anomalous Evidence Regarding Market Efficiency, Journal of Finance Economics, v. 6, p. 95-101, 1978.
JENSEN, M.C. e BENINGTON, G.A. Random Walk and Technical Theories: Some Additional Evidence, Journal of Finance, v. 25, p. 469-482, 1970.
KAUFMAN, P. Commodity Trading Systems and Methods. New York: Ronald Press, 1978.
KUNSCH, H.R., The Jackknife and the Bootstrap for General Stationary Observations, The Annals of Statistics, v.17, p.1217-1241, 1989.
LAHIRI, S.N. Theorethical Comparisons of Block Bootstrap Methods, The Annals of Statistics, v. 27, p. 386-404, 1999.
LEVY, R.A. The Predictive Significance of Five-Point Chart Patterns, Journal of Business, v. 44, no. 3, p. 316-323, 1971.
LIU, R.Y. e SINGH, K. Moving Blocks Jackknife and Bootstrap Capture Weak Dependence In Exploring the Limits of Bootstrap (Eds. R. LePage and L. Billiard). New York: John Wiley, p.225-248, 1992.
LO, A.W. e MACKINLEY, A. C. Stock market prices do not follow random walks: evidence from a simple specification test, The Review of Financial Studies, v.1, no.1, p. 41-66, 1988.
LO, A.W., MAMAYSKY e H. e WANG, J. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance, v. 55, no. 4, p. 1705-1765, 2000.
MOONEY, C.Z. e DUVAL, R.D. Bootstrapping: A Nonparametric Approach to Statistical Inference. Sage Publication Inc., 1993.
MURPHY, J.J. Technical Analysis of the Futures Market: A Comprehensive Guide to Trading Methods and Applications. New York: Prentice Hall, 1986.
OSLER, C.L. e CHANG, P.H.K. Head and Shoulders: Not Just a Flaky Pattern, Federal Reserve Bank of New York staff report 4, 1995.
PARK, C.H. e IRWIN, S.H. What Do We Know about the Profitability of Technical Analysis?, 2006. Disponível em: <http://www.farmdoc.uiuc.edu/irwin/research/TechnicalAnalysisSurvey.pdf>. Acesso em: 10 nov. 2006.
POLITIS, D.N e ROMANO, J.P. The Stationary Bootstrap, Journal of the American Statistical Association, v.89, n. 428, Dezembro, p. 1303-1313, 1994.
PRING, M.J. Technical Analysis Explained: The Succesfull Investor’s Guide to Spoting Investments Trends and Turning Points. 3 ed., New York: McGraw Hill, 1985.
RATNER, M. e LEAL, R. P. C. Tests of technical trading strategies in the emerging equity markets of Latin America and Asia, Journal of Banking & Finance. v. 23, no. 12, Dezembro, p. 1887-1995, 1999.
SAFFI, P.A.C. Análise Técnica – Sorte ou Realidade?, Revista Brasileira de Economia, v. 57(4), Outubro-Dezembro, 2003.
SAVIN, G., WELLER, P. e ZVINGELIS, J. The Predictive Power of “Head-and-Shoulders” Price Patterns in the U.S. Stock Market, 2006. Disponível em: <http://www.biz.uiowa.edu/faculty/gsavin/papers/HSrevision_paw_10%2019%2006.pdf > Acesso em: 10 nov. 2006.
SKLAREW, A. Techniques of a Professional Commodity Chart Analyst. New York: Commodity Research Bureau, 1980.
SULLIVAN, R., TIMMERMANN, A. e WHITE, H. Data-Snooping, Technical Trading Rules and The Bootstrap, Journal of Finance, v. 54, p. 1647-1692, 1999.
TORRES, R., BONOMO, M. e FERNANDES, C. A aleatoriedade do passeio na Bovespa: testando a eficiência do Mercado acionário brasileiro, Revista Brasileira de Economia, v. 56(2), p. 199-247, 2002.
VAN HORNE, J.C e PARKER, G.G.C. The Random-Walk Theory: An Empirical Test, Financial Analysts Journal, v. 23, p. 87-92, 1967.
VAN HORNE, J.C e PARKER, G.G.C. Technical Trading Rules: A Comment, Financial Analysts Journal, v. 24, p. 128-132, 1968.