Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UEFS |
Texto Completo: | http://localhost:8080/tede/handle/tede/227 |
Resumo: | This dissertation includes the implementation of an investment strategy using the divergence pattern of Technical Analysis indicator MACD. This pattern, when it occurs in historical price series indicate trend reversals and thus signal moments of buying and selling of shares, within the so-called Capital Markets. An investment strategy composed of a pattern detection algorithm divergence of the MACD indicator was implemented and applied to several historical series of american stock prices considering trade volumes, popularity of the company, price volatility and their comparison with returns on random dates market entrance. In addition, a stock portfolio composed of the higher volume trading and more volatile stocks was implemented. These tests considered the period from 2003 to 2013. Another test on definite trend moments and not definite considered the interval from 2000 to 2013. Overall, all the tests and simulations, were obtained positive returns on investments based on past prices using a strategy when compared with simple strategies such as buy a stock and hold it till the end of the period, or in comparison with major indexes in the US market. One can conclude, therefore, that the divergence pattern of the MACD indicator was able to predict reversals trends in stock prices used as reference during the period. |
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Rodrigues, Carlos Alberto02435539517http://lattes.cnpq.br/3366701884990251Martins, Marcus Vinicius Araujo2015-10-07T21:48:06Z2015-07-23MARTINS, Marcus Vinicius Araujo. Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD. 2015. 108 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2015.http://localhost:8080/tede/handle/tede/227This dissertation includes the implementation of an investment strategy using the divergence pattern of Technical Analysis indicator MACD. This pattern, when it occurs in historical price series indicate trend reversals and thus signal moments of buying and selling of shares, within the so-called Capital Markets. An investment strategy composed of a pattern detection algorithm divergence of the MACD indicator was implemented and applied to several historical series of american stock prices considering trade volumes, popularity of the company, price volatility and their comparison with returns on random dates market entrance. In addition, a stock portfolio composed of the higher volume trading and more volatile stocks was implemented. These tests considered the period from 2003 to 2013. Another test on definite trend moments and not definite considered the interval from 2000 to 2013. Overall, all the tests and simulations, were obtained positive returns on investments based on past prices using a strategy when compared with simple strategies such as buy a stock and hold it till the end of the period, or in comparison with major indexes in the US market. One can conclude, therefore, that the divergence pattern of the MACD indicator was able to predict reversals trends in stock prices used as reference during the period.Esse trabalho contempla a implementa??o de uma estrat?gia de investimento utilizando o padr?o de diverg?ncia do indicador de An?lise T?cnica MACD. Esse padr?o, quando ocorre em s?ries hist?ricas de pre?os, indicam revers?es de tend?ncia e, dessa forma, sinalizam momentos de compra e venda de a??es, dentro do que se chama Mercado de Capitais. Uma estrat?gia de investimento composta por um algoritmo de detec??o do padr?o de diverg?ncia do indicador MACD foi implementada e aplicada a diversas s?ries hist?ricas de pre?os de a??es americanas, considerando volume de negocia??es, popularidade da empresa, volatilidade dos pre?os e comparativos com retornos por datas aleat?rias de entrada no mercado. Al?m disso, foi implementada uma carteira de a??es composta pelas empresas de maior volume de negocia??o e volatilidade de pre?os. Esses testes consideraram o per?odo de 2003 a 2013. Outro teste, sobre momentos de tend?ncia definida e n?o definida considerou o intervalo de 2000 a 2013. No geral, em todos os testes e simula??es, foram obtidos retornos positivos sobre investimentos baseados em pre?os passados utilizando a estrat?gia, quando comparado com estrat?gias simples como comprar uma a??o e mant?-la at? o fim do per?odo, ou na compara??o com principais ?ndices do mercado americano. Pode-se concluir, portanto, que o padr?o de diverg?ncia do indicador MACD foi capaz de prever revers?es de tend?ncias nos pre?os das a??es utilizadas como refer?ncia no per?odo considerado.Submitted by Ricardo Cedraz Duque Moliterno (ricardo.moliterno@uefs.br) on 2015-10-07T21:48:06Z No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5)Made available in DSpace on 2015-10-07T21:48:06Z (GMT). No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5) Previous issue date: 2015-07-23application/pdfporUniversidade Estadual de Feira de SantanaMestrado em Computa??o AplicadaUEFSBrasilDEPARTAMENTO DE TECNOLOGIAMACDDiverg?nciasAn?lise T?cnicaDivergencesTechnical AnalysisCIENCIA DA COMPUTACAO::MATEMATICA DA COMPUTACAOUma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACDinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis355362735868409509260060060043351085230203470511231144342511031835info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UEFSinstname:Universidade Estadual de Feira de Santana (UEFS)instacron:UEFSORIGINALDisserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdfDisserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdfapplication/pdf17313212http://tede2.uefs.br:8080/bitstream/tede/227/2/Disserta%C3%A7%C3%A3o+de+Mestrado+-+Marcus+Vinicius+Araujo+Martins.pdfc8f53c6ca71e9fd04eb76a8bfaa1f1a1MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-82165http://tede2.uefs.br:8080/bitstream/tede/227/1/license.txtbd3efa91386c1718a7f26a329fdcb468MD51tede/2272015-10-07 18:48:06.163oai: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:2015-10-07T21:48:06Biblioteca Digital de Teses e Dissertações da UEFS - Universidade Estadual de Feira de Santana (UEFS)false |
dc.title.por.fl_str_mv |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
title |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
spellingShingle |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD Martins, Marcus Vinicius Araujo MACD Diverg?ncias An?lise T?cnica Divergences Technical Analysis CIENCIA DA COMPUTACAO::MATEMATICA DA COMPUTACAO |
title_short |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
title_full |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
title_fullStr |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
title_full_unstemmed |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
title_sort |
Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD |
author |
Martins, Marcus Vinicius Araujo |
author_facet |
Martins, Marcus Vinicius Araujo |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Rodrigues, Carlos Alberto |
dc.contributor.authorID.fl_str_mv |
02435539517 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/3366701884990251 |
dc.contributor.author.fl_str_mv |
Martins, Marcus Vinicius Araujo |
contributor_str_mv |
Rodrigues, Carlos Alberto |
dc.subject.por.fl_str_mv |
MACD Diverg?ncias An?lise T?cnica |
topic |
MACD Diverg?ncias An?lise T?cnica Divergences Technical Analysis CIENCIA DA COMPUTACAO::MATEMATICA DA COMPUTACAO |
dc.subject.eng.fl_str_mv |
Divergences Technical Analysis |
dc.subject.cnpq.fl_str_mv |
CIENCIA DA COMPUTACAO::MATEMATICA DA COMPUTACAO |
description |
This dissertation includes the implementation of an investment strategy using the divergence pattern of Technical Analysis indicator MACD. This pattern, when it occurs in historical price series indicate trend reversals and thus signal moments of buying and selling of shares, within the so-called Capital Markets. An investment strategy composed of a pattern detection algorithm divergence of the MACD indicator was implemented and applied to several historical series of american stock prices considering trade volumes, popularity of the company, price volatility and their comparison with returns on random dates market entrance. In addition, a stock portfolio composed of the higher volume trading and more volatile stocks was implemented. These tests considered the period from 2003 to 2013. Another test on definite trend moments and not definite considered the interval from 2000 to 2013. Overall, all the tests and simulations, were obtained positive returns on investments based on past prices using a strategy when compared with simple strategies such as buy a stock and hold it till the end of the period, or in comparison with major indexes in the US market. One can conclude, therefore, that the divergence pattern of the MACD indicator was able to predict reversals trends in stock prices used as reference during the period. |
publishDate |
2015 |
dc.date.accessioned.fl_str_mv |
2015-10-07T21:48:06Z |
dc.date.issued.fl_str_mv |
2015-07-23 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MARTINS, Marcus Vinicius Araujo. Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD. 2015. 108 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2015. |
dc.identifier.uri.fl_str_mv |
http://localhost:8080/tede/handle/tede/227 |
identifier_str_mv |
MARTINS, Marcus Vinicius Araujo. Uma estrat?gia de investimento baseada no padr?o de diverg?ncia no indicador de an?lise t?cnica MACD. 2015. 108 f. Disserta??o (Mestrado em Computa??o Aplicada)- Universidade Estadual de Feira de Santana, Feira de Santana, 2015. |
url |
http://localhost:8080/tede/handle/tede/227 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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3553627358684095092 |
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600 600 600 |
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1231144342511031835 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Estadual de Feira de Santana |
dc.publisher.program.fl_str_mv |
Mestrado em Computa??o Aplicada |
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UEFS |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
DEPARTAMENTO DE TECNOLOGIA |
publisher.none.fl_str_mv |
Universidade Estadual de Feira de Santana |
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