Automatização de estratégias de negociação: um estudo de desempenho aplicado ao mercado de contratos futuros de câmbio

Abstract

The main objective of this master's dissertation was to develop and evaluate the performance of automated systems of trading strategies elaborated from technical analysis rules, based on indicators, applied to futures exchange rate of reais per commercial dollar, traded on B3. With the advent of the deployment of electronic trading and the creation of increasingly technological platforms, there has been an increase in the number of participants in the Brazilian derivatives market. However, most investor investors do not have substantial knowledge to carry out transactions or apply knowledge from technical analysis that has not been tested and scientifically validated. In association, there is a lack of in-depth scientific studies, analysis that support investors in obtaining information and applying knowledge about the derivatives market. In this context, based on technical analysis rules, based on indicators, strategies were elaborated, automating them in trading systems, with the objective of producing knowledge that could help investors in obtaining information for application in the market regarding this product. After measuring and comparing the performance of the developed trading systems, and comparing the data in risk/return tables, to the yield of risk-free financial investments such as fixed income and a stock portfolio assembled, using the Markowitz criterion, he concluded It was found that operating with the objective of acquiring or “purchasing” exchange rate futures of reais per commercial dollar in downtrend markets, presented itself in terms of more atractive income and with probabilities of obtaining greater profits than the other investment options presented it the study, both in operations called Intraday or Day Trade, and in Swing Trade operations for the period studied.