Backtesting of an investment strategy taking advantage of the volatility in stock prices
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/25450 |
Resumo: | This thesis tests a strategy of Technical Analysis for the stock market which tries to catch profits from variations in stock prices (volatility) and does that by assuming that the price comes back to the mean most of the times. Therefore, the strategy sells when the price is above the mean by a certain distance and buys when it is below. The strategy was tested both on the S&P 500 index and for 30 separate companies of the US market. Intraday data of 5 minutes was used. The results for the S&P 500 are not very robust, however as expected, for separate companies the performance was better, having obtained statistically significant positive returns for the period. The risks of the strategy are associated with whether or not the stock exhibits the behavior that is expected consistently in time and more frequently than it exhibits undesired behaviors. For the period studied, the gains overcome the losses. Using a portfolio with a larger number of companies can help reduce risk. |
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Backtesting of an investment strategy taking advantage of the volatility in stock pricesDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis tests a strategy of Technical Analysis for the stock market which tries to catch profits from variations in stock prices (volatility) and does that by assuming that the price comes back to the mean most of the times. Therefore, the strategy sells when the price is above the mean by a certain distance and buys when it is below. The strategy was tested both on the S&P 500 index and for 30 separate companies of the US market. Intraday data of 5 minutes was used. The results for the S&P 500 are not very robust, however as expected, for separate companies the performance was better, having obtained statistically significant positive returns for the period. The risks of the strategy are associated with whether or not the stock exhibits the behavior that is expected consistently in time and more frequently than it exhibits undesired behaviors. For the period studied, the gains overcome the losses. Using a portfolio with a larger number of companies can help reduce risk.Esta dissertação testa uma estratégia de Análise Técnica no mercado de acções. O objectivo é tentar obter lucro com as variações dos preços das acções (volatilidade), assumindo que o preço volta à média muitas vezes. Assim sendo, a estratégia vende se o preço estiver acima da média, e compra se estiver abaixo. Os testes foram aplicados ao índice S&P 500, tal como para 30 diferentes empresas no mercado americano. Os dados usados foram dados intradiários do preço das acções, com intervalos de 5 minutos. Os resultados dos testes com o S&P não se revelaram robustos, no entanto, como esperado, os resultados para empresas separadas foram bons, tendo obtido lucro significativo estatisticamente, para o período testado. Os riscos associados à estratégia passam pela dúvida de se as acções irão sempre exibir os comportamentos que a estratégia prevê, e se vão exibi-los mais frequentemente do que os comportamentos não previstos. Para o período estudado, os ganhos foram maiores que as perdas. Aumentando o número de empresas no portfólio o risco pode ser diminuído.Kokkonen, Joni AleksiVeritati - Repositório Institucional da Universidade Católica PortuguesaPaixão, Margarida Soares2018-08-06T10:35:37Z2018-07-2520182018-07-25T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/25450TID:201961741enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:30:51Zoai:repositorio.ucp.pt:10400.14/25450Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:20:17.868940Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
title |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
spellingShingle |
Backtesting of an investment strategy taking advantage of the volatility in stock prices Paixão, Margarida Soares Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
title_full |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
title_fullStr |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
title_full_unstemmed |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
title_sort |
Backtesting of an investment strategy taking advantage of the volatility in stock prices |
author |
Paixão, Margarida Soares |
author_facet |
Paixão, Margarida Soares |
author_role |
author |
dc.contributor.none.fl_str_mv |
Kokkonen, Joni Aleksi Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Paixão, Margarida Soares |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This thesis tests a strategy of Technical Analysis for the stock market which tries to catch profits from variations in stock prices (volatility) and does that by assuming that the price comes back to the mean most of the times. Therefore, the strategy sells when the price is above the mean by a certain distance and buys when it is below. The strategy was tested both on the S&P 500 index and for 30 separate companies of the US market. Intraday data of 5 minutes was used. The results for the S&P 500 are not very robust, however as expected, for separate companies the performance was better, having obtained statistically significant positive returns for the period. The risks of the strategy are associated with whether or not the stock exhibits the behavior that is expected consistently in time and more frequently than it exhibits undesired behaviors. For the period studied, the gains overcome the losses. Using a portfolio with a larger number of companies can help reduce risk. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-08-06T10:35:37Z 2018-07-25 2018 2018-07-25T00:00:00Z |
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.uri.fl_str_mv |
http://hdl.handle.net/10400.14/25450 TID:201961741 |
url |
http://hdl.handle.net/10400.14/25450 |
identifier_str_mv |
TID:201961741 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131899900198912 |