Cuadernos de Administración
versão impressa ISSN 0120-3592
AGUDELO RUEDA, Diego Alonso e URIBE ESTRADA, Jorge Hernán. Reality or sophistry?: Testing the technical analysis for Colombian shares. Cuad. Adm. [online]. 2009, vol.22, n.38, pp. 189-217. ISSN 0120-3592.
As the hypothesis of the weak efficiency of the market predicts, empirical evidence of this research supports the supposition that it is not possible to obtain significant and statistically robust economic benefits when implementing investment strategies based on 10 rules of technical analysis (rolling averages, optimised filters and eight Japanese veil strategies) in 19 Colombian shares. Unlike other similar research, this study implements the evidence of investment strategies, and not of self-correlation, and incorporates out-of-sample tests to avoid data snooping, considerations of transaction costs, and estimations of the statistical significance of the profitability of the rules with the use of the bootstrapping method. It should be noted that in some cases the rules present yields in excess of those of the passive strategy, but not in a stable or statistically significant manner.
Palavras-chave : data snooping; technical analysis; Colombian equities market; market efficiency; simulation; bootstrapping; data snooping; bootstrapping.