Comparação de estratégias de investimento segundo observação de um indicador de análise técnica para diferentes tempos e setups de operação

Abstract

Due to the technological advances and the high demand for a stable income by Brazilians, investments in B3 have become more known to the population, as well as the search for knowledge and techniques that increase the portfolio profitability. This study aims to evaluate the effectiveness of the technical indicator “Three Moving Averages” as its capacity to generate profit through the observation of six different time scenarios for the dollar-euro asset, answering the following question: In what timing and setup of operation was the indicator “Three Moving Average” more effective in obtaining profit by the investor? This study is descriptive and quantitative. In this research, we chose a sample composed of dollar-euro closing prices for the last five years, for various operating frequencies, for two specific setups. It is noted that the best situation was the one within the period of 1 year, setup 5-12-100, operating frequency of 30 minutes. It was also found that, whether for operation in the last 5 years or in the last year, the crossing of three moving averages TMA is more effective in one-hour operating frequency (frequency H1).