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Autocorrelaçao Parcial - Retornos Diários
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08
8
*:@@:
3/12/2001
3/9/2001
3/6/2001
3/3/2001
3/12/2000
3/9/2000
3/6/2000
3/3/2000
3/12/1999
3/9/1999
3/6/1999
3/3/1999
3/12/1998
3/9/1998
3/6/1998
3/3/1998
3/12/1997
3/9/1997
3/6/1997
3/3/1997
3/12/1996
3/9/1996
3/6/1996
3/3/1996
3/12/1995
3/9/1995
3/6/1995
3/3/1995
3/12/1994
3/9/1994
3/6/1994
3/3/1994
3/12/1993
3/9/1993
3/6/1993
3/3/1993
3/12/1992
3/9/1992
Pontos
Futuro Ibovespa Diário - Junho/1992 a Janeiro/2002
40000
35000
30000
25000
20000
15000
10000
5000
0
Retorno das Estratégias de Análise Técnica
0.01
RSI
MA
Estocástico
William's %R
MACD
0
-0.01
-0.02
0
856
3706
6556
9031
11780
Estratégia
"$
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$
P-valor Nominal das Estratégias de Análise Técnica
1
P-valor Nominal
MA
RSI
William's %R
Estocástico
MACD
0.5
0.1
0.05
0.01
0
856
3706
6556
Estratégia
"$
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9031
11780
Retorno das Estratégias de Análise Técnica
0.03
0.02
MA
RSI
Estocástico
William's %R
MACD
W%R*
0.01
0
-0.01
-0.02
-0.03
0
856
3706
6556
9031
11780
14630
Estratégia
G&
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(1
Testes de Habilidade Preditiva - Excesso de Retorno
1
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RSI
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856
3706
6556
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H
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11780
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14630
Testes de Habilidade Preditiva - Índice de Sharpe
1
MA
RSI
William's %R
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W%R*
0.75
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c
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3706
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H
9031
11780
14630
/
1
P-valor - Reality Check
1
0.9
0.8
0.7
P-Valor
0.6
0.5
0.4
0.3
0.2
0.1
0
50
100
150
200
250
300
350
400
450
No. de Séries Artificiais
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