Can an automated trading algorithm based on a graphical analysis present a good result?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , |
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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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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1809207908330635264 |