Investindo através da análise técnica: avaliação do retorno da estratégia de cruzamento de MACD no longo prazo

Abstract

Since 2018 there has been a significant increase of individual investors in the Brazilian stock market. Many of these individual investors look for short trades, using technical analysis tools. In technical analysis there are a vast number of indicators and investment strategies, which can confuse new investors. However, there are not many scientific studies attesting to the effectiveness of many of these strategies, which can mislead the individual investor. This paper analyzes a popular technical analysis strategy: the MACD crossover. This research tests different configurations of the MACD indicator over a 10-year period to find out if technical analysis can be effective in the long term. The obtained results are compared with the market benchmark, as well as with the buy and hold strategy and with in fixed income . In the analyzed period , the MACD crossover(17,72,34) obtained the best results, beating the market (IBOV), the buy and hold and the fixed income over the 10-years period, with a total return of 425% of the capital invested.