Análise do Desempenho de Regras da Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Ibovespa

The purpose of this article is to investigate whether, how and when,from a statistical stand-point, Technical Analysis strategies tools holdtrue for the futures contract of Ibovespa Index, negotiated at the BrazilianFutures Exchange (“Bolsa Brasileira de Mercadorias e Futuros – BM&F”),using tick-by-tick data. The methodology applied was suggested by Baptista(2002), in a way that the rules are grouped according to similar performanceand are validated in subsequent intervals of time. As a result, in allperiods and independently of sampling frequency, the strategies over-performthe buy-and-hold strategy, but realistic considerations about transactioncosts and timing can reduce the gain.