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Lucas de Souza Batistahttp://lattes.cnpq.br/9418849740691899Alexandre PimentaCristiano Leite de Castrohttp://lattes.cnpq.br/7418925793954733Paulo Azevedo Meijon Campolina2023-11-22T16:24:32Z2023-11-22T16:24:32Z2022-02-22http://hdl.handle.net/1843/61255A automatização de investimentos é um desafio desde a criação do mercado de ações. Com o desenvolvimento de ferramentas computacionais, esse sonho tem se tornado cada vez mais próximo da realidade. Nesse contexto, neste trabalho são investigadas, modeladas e aplicadas técnicas computacionais para a automatização de investimentos. Propõe-se uma ferramenta focada no backtesting, com estratégia de decisão baseada em múltiplos indicadores técnicos. O objetivo é estabelecer um comitê de indicadores, o qual é responsável pela tomada de decisões baseada em sinais, tais como aguardar, comprar ou vender ativos. Esta abordagem visa remover a variável humana e emocional do sistema de tomada de decisão que, segundo estudos, pode comprometer consideravelmente o processo de tomada de decisão sob condições de incerteza. Como em outras abordagens, este método foca no uso de indicadores técnicos para operações, mas diverge quanto a combinação do tipo de operação, ativo e frequência. Neste trabalho considera-se day trade de mini contratos futuros de índice Bovespa, com candles de frequência de 5 minutos. Na amostra de dados usada, que compreende de 2015 a 2021, a estratégia adotada não foi capaz de superar o modelo de referência usado, o buy & hold, um dos mais clássicos. Entretanto, a ferramenta proposta se mostra pertinente (i) para agilizar o processo de captura de dados, que dependendo do ativo e frequência pode se mostrar um desafio; (ii) para a análise de dados, com métricas customizadas e visualizações; (iii) e para a otimização e validação de estratégias mais complexas usando Python, as quais exigem uma maior customização, o que poderia tornar o processo muito mais complexo se fosse usado o MQL5 do Metatrader.Investment automation has been a challenge since the beginning of stock markets. With the evolution of computational power, this dream is getting closer to reality. In this context, this paper investigates, develops and applies some computational techniques to automate investments. It was proposed a backtesting tool, with strategy based on multiple technical indicators. The goal with the indicators was to create a committee, responsible for the decision-making using signals as output, such as buy, hold or sell. This approach is made in a way that removes some psychological aspects of human traders that have significant impact on the decision making process under uncertainty conditions. Similar to other approaches it uses technical indicators, however it is different from usual approaches, this method focuses on usage for day trade operation of mini future contracts of index Bovespa, with candles of 5 minutes frequency. Considering the data used, from 2015 to 2021, the strategy used was not able to overcome the reference model used, the classic buy & hold. Even though, the proposed tool seems to be relevant (i) to improve the data acquisition process, that can be challenging depending of the equity and frequency; (ii) for data analysis, with customs metrics and visualizations; (iii) and for optimization and validation of custom and complex strategies, using python, that could be more challenging to implement using MQL5 on Metatrader.porUniversidade Federal de Minas GeraisPrograma de Pós-Graduação em Engenharia ElétricaUFMGBrasilENG - DEPARTAMENTO DE ENGENHARIA ELÉTRICAhttp://creativecommons.org/licenses/by/3.0/pt/info:eu-repo/semantics/openAccessEngenharia elétricaAutomaçãoEconomiaPrevisão econômicaAutomação de investimentosIndicadores técnicosDay tradeBacktestMini contratos futuros de índiceEstratégia automatizada de decisão multicritério no mercado financeiroinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGORIGINALPPGEE_UFMG___Paulo (2).pdfPPGEE_UFMG___Paulo (2).pdfdissertaçao mestradoapplication/pdf5730316https://repositorio.ufmg.br/bitstream/1843/61255/4/PPGEE_UFMG___Paulo%20%282%29.pdfed034199c18e8253c48f7c29890d39ddMD54CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8914https://repositorio.ufmg.br/bitstream/1843/61255/2/license_rdff9944a358a0c32770bd9bed185bb5395MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-82118https://repositorio.ufmg.br/bitstream/1843/61255/5/license.txtcda590c95a0b51b4d15f60c9642ca272MD551843/612552023-11-22 13:24:33.437oai:repositorio.ufmg.br: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ório InstitucionalPUBhttps://repositorio.ufmg.br/oaiopendoar:2023-11-22T16:24:33Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false
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