Can an automated trading algorithm based on a graphical analysis present a good result?

Detalhes bibliográficos
Autor(a) principal: Carvalho, Alexandre Martins
Data de Publicação: 2020
Outros Autores: Barboza, Flavio, Fiorucci, José Augusto
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista ENIAC pesquisa
Texto Completo: https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/594
Resumo: Investments based on technical analysis have been used more frequently to examine the strategic performance of automated negotiations through an investment algorithm, in particular using parabolic SAR indicators and Fibonacci. This work used the scenario evaluation to later compare their results in relation to the buy and hold strategy. Scenarios differ from the use of risk factors, timeframes and price levels. Backrests were carried out for a period from January 20015 to April 2017 to compare the strategies. As a result, it was noticed that the use of technical analysis through automated trading can result in profits higher than buy and hold. However, such a form of trading presents a high level of volatility. 
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spelling Can an automated trading algorithm based on a graphical analysis present a good result?Um algoritmo de negociação automatizado baseado em uma análise gráfica, pode apresentar um bom resultado?Automated Trading. Technical Analysis. Fibonacci. Parabolic SAR.Negociação AutomatizadaAnálise TécnicaFibonacciParabolic SARInvestments based on technical analysis have been used more frequently to examine the strategic performance of automated negotiations through an investment algorithm, in particular using parabolic SAR indicators and Fibonacci. This work used the scenario evaluation to later compare their results in relation to the buy and hold strategy. Scenarios differ from the use of risk factors, timeframes and price levels. Backrests were carried out for a period from January 20015 to April 2017 to compare the strategies. As a result, it was noticed that the use of technical analysis through automated trading can result in profits higher than buy and hold. However, such a form of trading presents a high level of volatility. Investimentos baseados na análise técnica vêm sendo utilizados com maior frequência para examinar o desempenho estratégico das negociações automatizadas por meio de um robô (algoritmo) de investimentos, em particular, usando os indicadores Parabolic SAR e Fibonacci. Este trabalho utilizou a avaliação de cenários para posteriormente comparar seus resultados em relação à estratégia de buy and hold. Os cenários se diferenciam em relação à utilização de fatores de risco, timeframes e níveis de preço. Backtests foram realizados por um período compreendido entre Janeiro de 20015 e Abril de 2017 para comparar as estratégias. Como resultado, foi percebido que a utilização da análise técnica por meio da negociação automatizada pode resultar em lucros superiores à buy and hold. Entretanto, tal forma de negociação apresenta um alto nível de volatilidade.Centro Universitário ENIAC2020-01-29info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/59410.22567/rep.v9i1.594Revista Eniac Pesquisa; Vol. 9 No. 1 (2020); 129-150REVISTA ENIAC PESQUISA; Vol. 9 Núm. 1 (2020); 129-150REVISTA ENIAC PESQUISA; v. 9 n. 1 (2020); 129-1502316-234110.22567/rep.v9i1reponame:Revista ENIAC pesquisainstname:Centro Universitário Eniacinstacron:ENIACporhttps://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/594/695Copyright (c) 2020 REVISTA ENIAC PESQUISAhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessCarvalho, Alexandre MartinsBarboza, FlavioFiorucci, José Augusto2024-07-09T18:47:54Zoai:ojs.pkp.sfu.ca:article/594Revistahttps://ojs.eniac.com.br/index.php/EniacPesquisaPRIhttp://ojs.eniac.com.br/index.php/EniacPesquisa/oai||revistaeniacpesquisa@fernandoasantos.com.br2316-23412316-2341opendoar:2024-07-09T18:47:54Revista ENIAC pesquisa - Centro Universitário Eniacfalse
dc.title.none.fl_str_mv Can an automated trading algorithm based on a graphical analysis present a good result?
Um algoritmo de negociação automatizado baseado em uma análise gráfica, pode apresentar um bom resultado?
title Can an automated trading algorithm based on a graphical analysis present a good result?
spellingShingle Can an automated trading algorithm based on a graphical analysis present a good result?
Carvalho, Alexandre Martins
Automated Trading. Technical Analysis. Fibonacci. Parabolic SAR.
Negociação Automatizada
Análise Técnica
Fibonacci
Parabolic SAR
title_short Can an automated trading algorithm based on a graphical analysis present a good result?
title_full Can an automated trading algorithm based on a graphical analysis present a good result?
title_fullStr Can an automated trading algorithm based on a graphical analysis present a good result?
title_full_unstemmed Can an automated trading algorithm based on a graphical analysis present a good result?
title_sort Can an automated trading algorithm based on a graphical analysis present a good result?
author Carvalho, Alexandre Martins
author_facet Carvalho, Alexandre Martins
Barboza, Flavio
Fiorucci, José Augusto
author_role author
author2 Barboza, Flavio
Fiorucci, José Augusto
author2_role author
author
dc.contributor.author.fl_str_mv Carvalho, Alexandre Martins
Barboza, Flavio
Fiorucci, José Augusto
dc.subject.por.fl_str_mv Automated Trading. Technical Analysis. Fibonacci. Parabolic SAR.
Negociação Automatizada
Análise Técnica
Fibonacci
Parabolic SAR
topic Automated Trading. Technical Analysis. Fibonacci. Parabolic SAR.
Negociação Automatizada
Análise Técnica
Fibonacci
Parabolic SAR
description Investments based on technical analysis have been used more frequently to examine the strategic performance of automated negotiations through an investment algorithm, in particular using parabolic SAR indicators and Fibonacci. This work used the scenario evaluation to later compare their results in relation to the buy and hold strategy. Scenarios differ from the use of risk factors, timeframes and price levels. Backrests were carried out for a period from January 20015 to April 2017 to compare the strategies. As a result, it was noticed that the use of technical analysis through automated trading can result in profits higher than buy and hold. However, such a form of trading presents a high level of volatility. 
publishDate 2020
dc.date.none.fl_str_mv 2020-01-29
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/594
10.22567/rep.v9i1.594
url https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/594
identifier_str_mv 10.22567/rep.v9i1.594
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://ojs.eniac.com.br/index.php/EniacPesquisa/article/view/594/695
dc.rights.driver.fl_str_mv Copyright (c) 2020 REVISTA ENIAC PESQUISA
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2020 REVISTA ENIAC PESQUISA
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Centro Universitário ENIAC
publisher.none.fl_str_mv Centro Universitário ENIAC
dc.source.none.fl_str_mv Revista Eniac Pesquisa; Vol. 9 No. 1 (2020); 129-150
REVISTA ENIAC PESQUISA; Vol. 9 Núm. 1 (2020); 129-150
REVISTA ENIAC PESQUISA; v. 9 n. 1 (2020); 129-150
2316-2341
10.22567/rep.v9i1
reponame:Revista ENIAC pesquisa
instname:Centro Universitário Eniac
instacron:ENIAC
instname_str Centro Universitário Eniac
instacron_str ENIAC
institution ENIAC
reponame_str Revista ENIAC pesquisa
collection Revista ENIAC pesquisa
repository.name.fl_str_mv Revista ENIAC pesquisa - Centro Universitário Eniac
repository.mail.fl_str_mv ||revistaeniacpesquisa@fernandoasantos.com.br
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