A trading system based on trend-following techniques: a strategy to support decision-making in
A trading system based on trend-following techniques: a strategy to support decision-making in
brazilian futures market
brazilian futures market
Abstract
Trading systems based on trend strategies are applied by numerous investors to trade in financial markets, for operations in the most varied asset classes worldwide. These systems play an important role in decision-making by an investor in conducting a negotiation. In this study, a trend-following system is presented and its performance demonstrated in the futures market of São Paulo Mercantile and Futures Exchange (BM&FBOVESPA), the brazilian stock exchange. For this purpose, historical series of asset prices available for trading between January 2000 and December 2014 were considered. Through simulations, the system was proven to be profitable if it were operated in the brazilian futures market, even surpassing the buy and hold strategy of the Ibovespa index. The present work contributes to the discussion about the effectiveness of trading systems based on trend-following investment techniques in financial markets.