Identificação de regras de negociação no mercado de ações utilizando mineração de dados

Abstract

This coursework is about an experimental research, focusing in a behavioral analysis of stock market using financial indicators of Technical Analysis. It will be done applying data mining on BM&FBOVESPA trade database, which will be processed using the financial indicators. This results will provide the basis to define the trade rules. This coursework shows as result a comparative of profit gained through simulated trade of five assets using the previous identified rules against the “buy and hold” strategy. This coursework analyzes also the drawdown value in both strategies. Using the identified rules on a couple assets has a higher profit than the buy’n hold strategy. About the drawdown analysis, in every case the risk is smaller than buy’n hold strategy.