April 2025
Intermediate to advanced
380 pages
9h 5m
Portuguese (Portugal, Brazil)
Content preview from Python para Negociação Algorítmica
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Capítulo 4. Domina o Backtesting Vetorizado
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[Foram suficientemente tolos para pensar que se pode olhar para o passado para prever o futuro.1
O Economista
O desenvolvimento de ideias e hipóteses para um programa de negociação algorítmica é geralmente a parte mais criativa e, por vezes, até divertida da fase de preparação. Testá-las exaustivamente é geralmente a parte mais técnica e demorada. Este capítulo trata do backtesting vetorizado de diferentes estratégias de negociação algorítmica. Abrange os seguintes tipos de estratégias (consulte também "Estratégias de Negociação"):
- Estratégias baseadas em médias móveis simples (SMA)
-
A ideia básica da utilização da SMA para a geração de sinais de compra e venda já tem décadas. As SMAs são uma ferramenta importante na chamada análise técnica dos preços das acções. Um sinal é derivado, por exemplo, quando uma SMA definida numa janela de tempo mais curta - digamos 42 dias - cruza uma SMA definida numa janela de tempo mais longa - digamos 252 dias.
- Estratégias de impulso
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Trata-se de estratégias que se baseiam na hipótese de que o desempenho recente persistirá durante mais algum tempo. Por exemplo, parte-se do princípio de que uma ação com tendência para a descida se manterá durante mais tempo, razão pela qual essa ação deve ser vendida a descoberto.
- Estratégias de reversão à média
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O raciocínio subjacente às estratégias ...
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