Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA

Detalhes bibliográficos
Ano de defesa: 2018
Autor(a) principal: Santos, Gilcimar Pereira dos lattes
Orientador(a): Rodrigues, Carlos Alberto
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Estadual de Feira de Santana
Programa de Pós-Graduação: Mestrado em Computa??o Aplicada
Departamento: DEPARTAMENTO DE CI?NCIAS EXATAS
País: Brasil
Palavras-chave em Português:
Sistemas de negocia??o
Acompanhamento de tend?ncias
Estrat?gias de negocia??o
Indicadores t?cnicos
An?lise t?cnica
Palavras-chave em Inglês:
Trading systems
Trend following
Trading strategies
Technical indicators
Technical analysis
Área do conhecimento CNPq:
CIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAO
CIENCIAS EXATAS E DA TERRA
Link de acesso: http://tede2.uefs.br:8080/handle/tede/870
Resumo: Trading systems based on trend following strategies are applied by many investors when negotiating in the variable income markets, in operations conducted in several asset classes worldwide. These systems play an important role in investor decision-making process, but still require further study. In this dissertation, four trend following trading systems are presented, whose performances have been demonstrated in order to evaluate their effectiveness in the Brazilian variable income market. Two of the four proposed systems were evaluated in the stock market and the other two were considered for the future contract market. For this purpose, a historical series of asset prices available for trade between January 1995 and December 2014 at the S?o Paulo Mercantile and Futures Exchange. Through simulations, the systems showed that if they were traded on the stock market and futures markets in Brazil, they would generate profitability, indicating the existence of several trends in the assets studied, obtaining a performance superior to strategy of buying and hold in the market Ibovespa index. This study contributes to the discussion on the effectiveness of trading systems based on the trend following investment philosophy.
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spelling Rodrigues, Carlos Alberto2824362529102946055507http://lattes.cnpq.br/5279637520006163Santos, Gilcimar Pereira dos2019-09-11T20:39:24Z2018-06-15SANTOS, Gilcimar Pereira dos. Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA. 2018. 156 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2018.http://tede2.uefs.br:8080/handle/tede/870Trading systems based on trend following strategies are applied by many investors when negotiating in the variable income markets, in operations conducted in several asset classes worldwide. These systems play an important role in investor decision-making process, but still require further study. In this dissertation, four trend following trading systems are presented, whose performances have been demonstrated in order to evaluate their effectiveness in the Brazilian variable income market. Two of the four proposed systems were evaluated in the stock market and the other two were considered for the future contract market. For this purpose, a historical series of asset prices available for trade between January 1995 and December 2014 at the S?o Paulo Mercantile and Futures Exchange. Through simulations, the systems showed that if they were traded on the stock market and futures markets in Brazil, they would generate profitability, indicating the existence of several trends in the assets studied, obtaining a performance superior to strategy of buying and hold in the market Ibovespa index. This study contributes to the discussion on the effectiveness of trading systems based on the trend following investment philosophy.Sistemas de negocia??o baseados em estrat?gias fundamentadas no trend following, s?o utilizados por in?meros investidores para negociarem nos mercados de renda vari?vel, em opera??es nas mais variadas classes de ativos no mundo. Esses sistemas desempenham papel importante na tomada de decis?o por parte de um investidor na realiza??o de uma negocia??o, no entanto, ainda precisam de maiores estudos. Nesta disserta??o, apresentamos quatro trading systems seguidores de tend?ncias, os quais tiveram suas performances demonstradas na perspectiva de avaliar a efic?cia desses trading systems no mercado de renda vari?vel brasileiro. Dois dos quatro sistemas propostos, foram avaliados no mercado de a??es e os outros dois foram considerados para opera??es no mercado de contratos futuros. Para tanto, foram consideradas s?ries hist?ricas de pre?os de ativos dispon?veis para negocia??o entre janeiro de 1995 ? dezembro de 2014, na Bolsa de Valores Mercadorias e Futuros de S?o Paulo. Atrav?s de simula??es, os sistemas demonstraram que caso fossem operados no mercado de a??es e/ou de futuros do Brasil, gerariam lucros, indicando-se a exist?ncia de diversas tend?ncias nos ativos estudados, obtendo-se performance superior ? estrat?gia de comprar e manter no ?ndice Ibovespa. O presente trabalho contribui na discuss?o a respeito da efic?cia de sistemas de negocia??o baseados na filosofia de investimento do trend following.Submitted by Ricardo Cedraz Duque Moliterno (ricardo.moliterno@uefs.br) on 2019-09-11T20:39:24Z No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5)Made available in DSpace on 2019-09-11T20:39:24Z (GMT). No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5) Previous issue date: 2018-06-15Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior - CAPESapplication/pdfporUniversidade Estadual de Feira de SantanaMestrado em Computa??o AplicadaUEFSBrasilDEPARTAMENTO DE CI?NCIAS EXATASSistemas de negocia??oAcompanhamento de tend?nciasEstrat?gias de negocia??oIndicadores t?cnicosAn?lise t?cnicaTrading systemsTrend followingTrading strategiesTechnical indicatorsTechnical analysisCIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAOCIENCIAS EXATAS E DA TERRATrend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPAinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis303317282311144204600600600600600-54868328166115062113671711205811204509-45373260596047840163590462550136975366info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UEFSinstname:Universidade Estadual de Feira de Santana (UEFS)instacron:UEFSORIGINALVers?o Final_Disserta??o.pdfVers?o Final_Disserta??o.pdfapplication/pdf2988104http://tede2.uefs.br:8080/bitstream/tede/870/2/Vers%C3%A3o+Final_Disserta%C3%A7%C3%A3o.pdfc27862945e0f83da183a6c591a54de39MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-82089http://tede2.uefs.br:8080/bitstream/tede/870/1/license.txt7b5ba3d2445355f386edab96125d42b7MD51tede/8702019-09-11 17:39:24.807oai:tede2.uefs.br:8080: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Biblioteca Digital de Teses e Dissertaçõeshttp://tede2.uefs.br:8080/PUBhttp://tede2.uefs.br:8080/oai/requestbcuefs@uefs.br|| bcref@uefs.br||bcuefs@uefs.bropendoar:2019-09-11T20:39:24Biblioteca Digital de Teses e Dissertações da UEFS - Universidade Estadual de Feira de Santana (UEFS)false
dc.title.por.fl_str_mv Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
title Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
spellingShingle Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
Santos, Gilcimar Pereira dos
Sistemas de negocia??o
Acompanhamento de tend?ncias
Estrat?gias de negocia??o
Indicadores t?cnicos
An?lise t?cnica
Trading systems
Trend following
Trading strategies
Technical indicators
Technical analysis
CIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAO
CIENCIAS EXATAS E DA TERRA
title_short Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
title_full Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
title_fullStr Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
title_full_unstemmed Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
title_sort Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA
author Santos, Gilcimar Pereira dos
author_facet Santos, Gilcimar Pereira dos
author_role author
dc.contributor.advisor1.fl_str_mv Rodrigues, Carlos Alberto
dc.contributor.advisor1ID.fl_str_mv 28243625291
dc.contributor.authorID.fl_str_mv 02946055507
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/5279637520006163
dc.contributor.author.fl_str_mv Santos, Gilcimar Pereira dos
contributor_str_mv Rodrigues, Carlos Alberto
dc.subject.por.fl_str_mv Sistemas de negocia??o
Acompanhamento de tend?ncias
Estrat?gias de negocia??o
Indicadores t?cnicos
An?lise t?cnica
topic Sistemas de negocia??o
Acompanhamento de tend?ncias
Estrat?gias de negocia??o
Indicadores t?cnicos
An?lise t?cnica
Trading systems
Trend following
Trading strategies
Technical indicators
Technical analysis
CIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAO
CIENCIAS EXATAS E DA TERRA
dc.subject.eng.fl_str_mv Trading systems
Trend following
Trading strategies
Technical indicators
Technical analysis
dc.subject.cnpq.fl_str_mv CIENCIAS EXATAS E DA TERRA::CIENCIA DA COMPUTACAO
CIENCIAS EXATAS E DA TERRA
description Trading systems based on trend following strategies are applied by many investors when negotiating in the variable income markets, in operations conducted in several asset classes worldwide. These systems play an important role in investor decision-making process, but still require further study. In this dissertation, four trend following trading systems are presented, whose performances have been demonstrated in order to evaluate their effectiveness in the Brazilian variable income market. Two of the four proposed systems were evaluated in the stock market and the other two were considered for the future contract market. For this purpose, a historical series of asset prices available for trade between January 1995 and December 2014 at the S?o Paulo Mercantile and Futures Exchange. Through simulations, the systems showed that if they were traded on the stock market and futures markets in Brazil, they would generate profitability, indicating the existence of several trends in the assets studied, obtaining a performance superior to strategy of buying and hold in the market Ibovespa index. This study contributes to the discussion on the effectiveness of trading systems based on the trend following investment philosophy.
publishDate 2018
dc.date.issued.fl_str_mv 2018-06-15
dc.date.accessioned.fl_str_mv 2019-09-11T20:39:24Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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status_str publishedVersion
dc.identifier.citation.fl_str_mv SANTOS, Gilcimar Pereira dos. Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA. 2018. 156 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2018.
dc.identifier.uri.fl_str_mv http://tede2.uefs.br:8080/handle/tede/870
identifier_str_mv SANTOS, Gilcimar Pereira dos. Trend following no mercado brasileiro: propostas de trading systems seguidores de tend?ncias em ativos negociados na BM&FBOVESPA. 2018. 156 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2018.
url http://tede2.uefs.br:8080/handle/tede/870
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language por
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dc.relation.confidence.fl_str_mv 600
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dc.publisher.none.fl_str_mv Universidade Estadual de Feira de Santana
dc.publisher.program.fl_str_mv Mestrado em Computa??o Aplicada
dc.publisher.initials.fl_str_mv UEFS
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv DEPARTAMENTO DE CI?NCIAS EXATAS
publisher.none.fl_str_mv Universidade Estadual de Feira de Santana
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bitstream.url.fl_str_mv http://tede2.uefs.br:8080/bitstream/tede/870/2/Vers%C3%A3o+Final_Disserta%C3%A7%C3%A3o.pdf
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