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Roberto Cervelló-Royo

Francisco Guijarro Martínez

Karolina Michniuk

Resumen

Este trabajo presenta una nueva aproximación al reconocimiento del patrón gráfico bandera. A partir de éste se desarrolla una regla de trading que obtiene resultados positivos ajustados al riesgo sobre datos intradía del índice Dow Jones. Para mitigar los efectos negativos provocados por el data snooping se tomó una muestra con más de 90.000 observaciones y se reportan resultados sobre 96 configuraciones distintas de los parámetros que definen la regla de trading. Considerando los resultados obtenidos para la totalidad del periodo, la regla detrading obtiene una rentabilidad positiva incluso después de considerar el riesgo, superando al benchmark desde la doble perspectiva de la media-varianza

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Keywords

Regla de trading, data snooping, índice Dow Jones, reconocimiento de patrones, análisis técnico

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Cómo citar
Cervelló-Royo, R., Guijarro Martínez, F., & Michniuk, K. (2014). Estrategia de inversión bursátil y reconocimiento gráfico de patrones: aplicación sobre datos intradía del índice Dow Jones. Cuadernos De Administración, 27(48), 119 - 152. Recuperado a partir de https://revistas.javeriana.edu.co/index.php/cuadernos_admon/article/view/8529
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