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Tarefas
- Fazer o relatório sobre bootstrap em séries temporais.
Séries Temporais Selecionadas
Calcular a autocorrelação nos retornos e retonos quadráticos até lag 6 para todas as séries selecionadas e identificar a significância das autocorrelações. Segue uma listagem com as séries selecionadas:
Séries Temporais
| | Símbolo | Período
|
| Yahoo
| YHOO | 2001/01 - 2005/12
|
| Lucenct
| LU | 2001/01 - 2005/12
|
| IBM
| IBM | 1996/01 - 2005/12
|
| Microsoft
| MSFT | 1996/01 - 2005/12
|
| Dow Jones
| ^DJI | 1996/01 - 2005/12
|
| Bovespa
| ^BVSP | 2001/01 - 2005/12
|
| S&P 500
| ^GSPC | 1996/01 - 2005/12
|
| NASDAQ COMPOSITE
| ^IXIC | 2001/01 - 2005/12
|
| General Motors
| GM | 1996/01 - 2005/12
|
| Bank of America
| BAC | 1996/01 - 2005/12
|
Utlizar um período de no máximo 10 anos das séries nas simulações. Séries com muitos dados podem ser divididas em séries menores (no máximo duas) e a autocorrelação pode ser calculada para esses períodos menores e comparada para tentar observar alguma mudança.
Autocorrelação de Séries Temporais
|
| YHOO
| LU
| IBM
| MSFT
| ^DJI
|
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
|
| r1
| -0.015241 | 0.010321 | 0.079593* | 0.194452* | -0.038454 | 0.004435 | -0.010976 | -0.002605 | -0.009569 | 0.148047*
|
| r2
| -0.061507* | 0.007612 | 0.009416 | 0.111474* | 0.011637 | -0.000415 | -0.015269 | 0.000131 | -0.029034 | 0.173254*
|
| r3
| 0.043680 | 0.005628 | 0.043045 | 0.095855* | 0.002782 | -0.000626 | -0.031037 | -0.001309 | -0.013171 | 0.207445*
|
| r4
| -0.023163 | 0.005769 | 0.035644 | 0.147141* | 0.035200 | -0.000496 | 0.013945 | -0.001179 | 0.016126 | 0.085899*
|
| r5
| 0.024361 | 0.001292 | 0.047709 | 0.063482* | -0.030090 | -0.000210 | 0.022309 | -0.001639 | -0.034995 | 0.185677*
|
| r6
| 0.009657 | 0.001588 | 0.021122 | 0.109279* | 0.001592 | -0.000264 | 0.014230 | -0.001902 | 0.000143 | 0.099219*
|
|
| ^BVSP
| ^GSPC
| ^IXIC
| GM
| BAC
|
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
| Log Returns
| Square Returns
|
| r1
| 0.057872* | 0.102551* | -0.015542 | 0.186679* | 0.013417 | 0.108255* | -0.048991* | 0.092485* | -0.007912 | -0.000571
|
| r2
| -0.038268 | 0.092772* | -0.027489 | 0.177086* | -0.078106* | 0.216835* | -0.018221 | 0.038334 | 0.003941 | -0.000702
|
| r3
| -0.040027 | 0.119541* | -0.028139 | 0.173015* | -0.000130 | 0.148371* | 0.003036 | 0.072485* | -0.013872 | -0.001231
|
| r4
| -0.017397 | 0.072999* | 0.004720 | 0.121854* | 0.023195 | 0.122643* | 0.064757* | 0.048718* | -0.015765 | -0.001462
|
| r5
| 0.007718 | 0.031471 | -0.039820 | 0.182853* | -0.010900 | 0.167073* | -0.044314* | 0.081367* | -0.013705 | -0.000977
|
| r6
| 0.004501 | 0.056993 | -0.011678 | 0.117980* | 0.016385 | 0.173649* | 0.014972 | 0.036007 | -0.004973 | -0.001042
|
Indicadores
Após selecionar as séries temporais aplicar bootstrap utilizando cada uma das estratégias abaixo:
| Estratégia
| Acrônimo
|
| Cruzamento de Médias Móveis
| MAC(5,21)
|
| Cruzamento de Médias Móveis Exponenciais
| EMA(5,21)
|
| Mudança de sinal do Momentum
| MOC(5)
|
| Cruzamento dos Limites pelo RSI
| RSIC(21,30,70)
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| Cruzamento entre Linha MACD e Sinal MACD
| MACD(12,26,9)
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| Cruzamento dos Limites pelo Willian's %R
| WRC(21,30,70)
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| Cruzamento entre Stochastic %K e Stochastic %D
| SKD(21,30,70)
|
Performance Percentual (%) das Estratégias nas Séries Temporais
| Estratégias
| YHOO
| LU
| IBM
| MSFT
| ^DJI
| ^BVSP
| ^GSPC
| ^IXIC
| GM
| BAC
|
| MAC(5,21)
| -0.1299 | -0.0985 | 0.285 | 0.0747 | 27.7355 | 18.35 | 3.267 | -5.5372 | -0.6867 | 0.5971
|
| EMA(5,21)
| 0.0813 | 0.096 | -0.5885 | -0.5165 | -27.9471 | -19.62 | -5.9731 | 6.5987 | 0.4421 | -0.6179
|
| MO(5)
| 0.0346 | 0.2147 | 0.82 | 0.8934 | 27.2314 | -63.42 | 2.775 | 4.8398 | 0.05 | -0.1956
|
| RSIC(21,30,70)
| -0.0154 | -0.1454 | 7.673 | 8.1973 | -99.7941 | 243.28 | -23.9102 | -5.6106 | -0.9642 | 0.73
|
| MACD(12,26,9)
| -0.0418 | -0.099 | -2.4705 | -1.0328 | 41.9626 | 72.87 | 6.9557 | -3.2228 | -0.2839 | 0.3673
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Bootstrap
YHOO
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.48
| 0.45
|
| EMA(5,21)
| 0.55
| 0.58
|
| MOC(5)
| 0.49
| 0.56
|
| RSIC(21,30,70)
| 0.42
| 0.44
|
| MACD(12,26,9)
| 0.49
| 0.43
|
LU
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.47
| 0.53
|
| EMA(5,21)
| 0.56
| 0.46
|
| MOC(5)
| 0.52
| 0.32
|
| RSIC(21,30,70)
| 0.53
| 0.55
|
| MACD(12,26,9)
| 0.50
| 0.61
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IBM
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.47
| 0.48
|
| EMA(5,21)
| 0.52
| 0.56
|
| MOC(5)
| 0.50
| 0.64
|
| RSIC(21,30,70)
| 0.39
| 0.40
|
| MACD(12,26,9)
| 0.51
| 0.44
|
MSFT
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.47
| 0.43
|
| EMA(5,21)
| 0.54
| 0.60
|
| MOC(5)
| 0.50
| 0.63
|
| RSIC(21,30,70)
| 0.35
| 0.32
|
| MACD(12,26,9)
| 0.50
| 0.43
|
^DJI
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.47
| 0.45
|
| EMA(5,21)
| 0.53
| 0.57
|
| MOC(5)
| 0.51
| 0.54
|
| RSIC(21,30,70)
| 0.46
| 0.52
|
| MACD(12,26,9)
| 0.51
| 0.45
|
^BVSP
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.48
| 0.44
|
| EMA(5,21)
| 0.54
| 0.56
|
| MOC(5)
| 0.52
| 0.50
|
| RSIC(21,30,70)
| 0.48
| 0.51
|
| MACD(12,26,9)
| 0.47
| 0.48
|
^GSPC
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.47
| 0.43
|
| EMA(5,21)
| 0.53
| 0.59
|
| MOC(5)
| 0.51
| 0.56
|
| RSIC(21,30,70)
| 0.39
| 0.42
|
| MACD(12,26,9)
| 0.51
| 0.44
|
^IXIC
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.48
| 0.46
|
| EMA(5,21)
| 0.54
| 0.54
|
| MOC(5)
| 0.50
| 0.46
|
| RSIC(21,30,70)
| 0.43
| 0.42
|
| MACD(12,26,9)
| 0.50
| 0.48
|
GM
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.48
| 0.48
|
| EMA(5,21)
| 0.54
| 0.57
|
| MOC(5)
| 0.51
| 0.58
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| RSIC(21,30,70)
| 0.47
| 0.49
|
| MACD(12,26,9)
| 0.49
| 0.46
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BAC
P-Value Encontrados
| Estratégia
| Random Walk
| Moving Blocks (b=5)
|
| MAC(5,21)
| 0.49
| 0.44
|
| EMA(5,21)
| 0.53
| 0.56
|
| MOC(5)
| 0.51
| 0.51
|
| RSIC(21,30,70)
| 0.45
| 0.41
|
| MACD(12,26,9)
| 0.50
| 0.46
|
Otimização
Aplicar a otimização (con GA) aos parâmetros das estratégias abaixo para cada uma das séries selecionadas
YHOO
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(7,8) | 0.5380 | 0.49 | 0.42
|
| EMA(2,18) | 0.1851 | 0.53 | 0.60
|
| MOC(2) | 0.5029 | 0.49 | 0.52
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| RSIC(4,48,100) | 14.8926 | 0.48 | 0.47
|
| MACD(3,6,12) | 0.3710 | 0.50 | 0.42
|
LU
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(7,32) | 0.0889 | 0.46 | 0.49
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| EMA(3,5) | 0.1713 | 0.53 | 0.30
|
| MOC(5) | 0.2147 | 0.52 | 0.32
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| RSIC(3,1,86) | 2.5309 | 0.16 | 0.16
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| MACD(41,43,9) | 0.1112 | 0.52 | 0.58
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IBM
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(4,82) | 2.3652 | 0.48 | 0.48
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| EMA(4,6) | 1.0425 | 0.50 | 0.63
|
| MOC(7) | 1.0344 | 0.50 | 0.65
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| RSIC(3,1,81) | 85.0965 | 0.45 | 0.44
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| MACD(58,59,55) | 2.2982 | 0.51 | 0.50
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MSFT
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(79,296) | 2.0216 | 0.42 | 0.43
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| EMA(5,7) | 1.4294 | 0.51 | 0.63
|
| MOC(13) | 3.6976 | 0.51 | 0.61
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| RSIC(3,1,72) | 158.0850 | 0.25 | 0.23
|
| MACD(101,103,60) | 1.3260 | 0.52 | 0.51
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^DJI
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(2,124) | 85.3045 | 0.46 | 0.40
|
| EMA(110,236) | 8.6263 | 0.64 | 0.64
|
| MOC(10) | 37.5585 | 0.52 | 0.56
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| RSIC(5,50,100) | 3734.4800 | 0.14 | 0.13
|
| MACD(4,14,5) | 64.1775 | 0.50 | 0.48
|
^BVSP
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(3,4) | 371.39 | 0.49 | 0.38
|
| EMA(41,42) | 46.91 | 0.56 | 0.59
|
| MOC(49) | 591.75 | 0.52 | 0.54
|
| RSIC(4,49,100) | 21694.10 | 0.17 | 0.18
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| MACD(4,5,7) | 192.75 | 0.49 | 0.57
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^GSPC
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(3,15) | 10.9875 | 0.49 | 0.40
|
| EMA(108,138) | 4.4443 | 0.63 | 0.60
|
| MOC(2) | 5.7538 | 0.49 | 0.38
|
| RSIC(5,50,100) | 405.6800 | 0.16 | 0.15
|
| MACD(59,106,32) | 8.3605 | 0.50 | 0.49
|
^IXIC
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(82,126) | 7.3378 | 0.45 | 0.46
|
| EMA(19,22) | 10.9192 | 0.53 | 0.53
|
| MOC(16) | 14.0922 | 0.50 | 0.52
|
| RSIC(4,49,100) | 487.8290 | 0.56 | 0.57
|
| MACD(5,6,10) | 5.9619 | 0.50 | 0.50
|
GM
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(116,190) | 1.2674 | 0.44 | 0.44
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| EMA(15,23) | 0.7457 | 0.54 | 0.55
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| MOC(53) | 3.0377 | 0.54 | 0.59
|
| RSIC(3,1,87) | 110.2930 | 0.20 | 0.18
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| MACD(3,13,3) | 0.9068 | 0.49 | 0.39
|
BAC
| Estratégia | Performance | P-Valor RW | P-Valor MB
|
| MAC(34,35) | 1.2483 | 0.48 | 0.48
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| EMA(1,4) | 0.5088 | 0.52 | 0.41
|
| MOC(7) | 1.5041 | 0.51 | 0.53
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| RSIC(3,1,80) | 63.4211 | 0.38 | 0.38
|
| MACD(1,40,53) | 0.9247 | 0.50 | 0.50
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