Sobre a Validação Estatística da Análise Técnica

Abstract

Technical analysis, or charting, aims on visually identifying geometrical patterns in price charts in order to antecipate price "trends". In this paper we revisit the issue of thecnical analysis validation which has been tackled in the literature without taking care for (i) the presence of heterogeneity and (ii) statistical dependence in the analyzed data - various agglutinated return time series from distinct financial securities. The main purpose here is to address the first cited problem by suggesting a validation methodology that also "homogenizes" the securities according to the finite dimensional probability distribution of their return series. The general steps go through the identification of the stochastic processes for the securities returns, the clustering of similar securities and, finally, the identification of presence, or absence, of informatinal content obtained from those price patterns. We illustrate the proposed methodology with a real data exercise including several securities of the global market. Our investigation shows that there is a statistically significant informational content in two out of three common patterns usually found through technical analysis, namely: triangle, rectangle and head and shoulders.