Backtest da estratégia de análise técnica de IFR2 sem filtro

Abstract

Financial education has a great role in people's daily lives, as well as in the constitution of a good quality of life, because it is through a good job and good living conditions that the possibility of having a quality life opens up. One way to achieve good living conditions is through the capital market. The capital market has two main aspects of investment, fundamental analysis and technical analysis. Fundamental analysis aims at an in-depth study of the company's available information, so that it is possible to make an investment decision. On the other hand, technical analysis seeks to identify trends in order to reach an investment decision or not. In this work we conduct a study of a technical stock analysis strategy called RSI2 (twoperiod Relative Strength Index) without filter. The general objective of this research is to compare the results of the RSI2 without filter strategy through backtests carried out over a period of 10 years, with the following parameters: buy and hold, index purchase (IBOV) and fixed income based on 100 % of CDI. In order to achieve such a result, a Pine algorithm was used so that the backtests are done automatically, and the results of the RSI2 without filter were compared and then these results were compared with the other parameters. In order to make all this possible, a descriptive research was carried out, with a longitudinal cut of the period of 10 years. The results obtained by the research were positive even though the IFR2 strategy without filter did not have higher yields than the buy and hold, since the strategy worked here performed better than the other parameters of comparison and had a small difference in yields in relation to the buy and hold strategy.