Optimización temporal de las señales automáticas proporcionadas por indicadores técnicos bursátiles

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Publicado 27-11-2020
Rodrigo Martín-García
Enrique Ventura Pérez Raquel Arguedas-Sanz

Resumen

Los indicadores técnicos bursátiles transmiten al analista señales de compra/venta que, en el caso de ser ejecutadas en el momento de producirse, podrían no ser óptimas desde el punto de vista del resultado de la operación. El objetivo del presente trabajo es doble. En primer lugar, analizar la idoneidad del seguimiento de una batería de indicadores para la obtención de resultados en una cartera. En segundo lugar, estudiar cómo la introducción de retardos temporales entre las señales de los indicadores y la ejecución de las operaciones puede mejorar el resultado de la misma.Se ha realizado una simulación, para el intervalo 2005-2016, con 35 títulos y un índice, sobre 7 indicadores técnicos bursátiles (ROC, RSI, Cruce SMA, Cruce EMA, MACD, Bandas de Bollinger y oscilador estocástico) y un total de 81 combinaciones de retardos de compra/venta. La definición del modelo y la división en tres periodos no solapados genera un total de 61.236 carteras.Los resultados permiten concluir que existen combinaciones de indicador y retardos de compra/venta que proporcionan mejores resultados que la ejecución inmediata de la señal. Concretamente, se identifican retardos óptimos para RSI y cruce EMA que producen mejoras estadísticamente significativas en el resultado de una cartera de valores, independientemente del periodo estudiado.Estos resultados son consistentes con una simulación alternativa en la que se excluyó a los cinco activos más líquidos y de mayor capitalización, para descartar el posible efecto generado por el peso relativo de los valores en la rentabilidad de la cartera o en su normalización.

Cómo citar

Martín-García, R., Ventura Pérez, E., & Arguedas-Sanz, R. (2020). Optimización temporal de las señales automáticas proporcionadas por indicadores técnicos bursátiles. Cuadernos De Gestión, 20(3), 61–71. https://doi.org/10.5295/cdg.170851rm
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Keywords

análisis técnico, estrategia de trading, bolsa de valores, retardos óptimos, RSI, cruce EMA

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