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Estratégia
RSI William's %R
MA Estocástico MACD
" $ ;& P $
0 856 3706 6556 9031 11780
0.01 0.05 0.1 0.5 1
P-valor Nominal das Estratégias de Análise Técnica
Estratégia
P
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RSI William's %R
MA Estocástico MACD
" $ <& # J (
0 856 3706 6556 9031 11780 14630 -0.03
-0.02 -0.01 0 0.01 0.02 0.03
Retorno das Estratégias de Análise Técnica
Estratégia
RSI William's %R
MA Estocástico MACD W%R*
" $ G& P 1 $ (1
0 856 3706 6556 9031 11780 14630
0 0.25 0.5 0.75 1
Testes de Habilidade Preditiva - Excesso de Retorno
Estratégias
P
-V
al
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r
RSI William's %R MA
Estocástico MACD W%R*
µRC=µc
µl
" $ A& H / P
0 856 3706 6556 9031 11780 14630 0
0.25 0.5 0.75 1
Testes de Habilidade Preditiva - Índice de Sharpe
Estratégias
P
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al
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RSI William's %R MA
Estocástico MACD W%R*
µRC=µc=µl
" $ C& H / 1
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0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
P-valor - Reality Check
No. de Séries Artificiais
P
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