Posts Tagged ‘Analisis Tecnico


un poquito de leverage…

CSS Analytics tiene un post donde muestra la relación entre fundamentals y análisis técnico vía el Efecto Apalancamiento.

The “leverage effect”  and subsequent theory originated from early studies done by Fisher Black (of Black-Scholes fame). Black  found  that stock volatility tended to rise when stock prices went down and that volatility fell when prices went up. The economic rationale behind this effect is rooted in the firm’s capital structure. As a stock rises, the percentage of equity to debt rises, and the firm becomes less risky since the debt holders claims to the company value are more limited. Conversely, as the stock falls, the percentage of equity to debt falls, and the increased share of debt holder claims make the firm’s equity more risky. Thus a falling stock price should lead to an increase in future volatility.


Well most educated finance students understand first of all the principle of balance sheet leverage: when you add debt to the balance sheet, a given % increase in sales has a disproportionately larger increase in the % increase in earnings because you are netting out a fixed interest cost. If we all agree that 1) the market tends to discount future GDP and hence revenues, and 2) that firm value is also a function of earnings growth and total earnings, then the firms that will experience the greatest percentage change in firm value when the market forecasts a recovery should mathematically be the most leveraged firms.

This affects the technical trader in many ways whether you trade short-term or not. It means that the biggest winning stocks will have strong velocity relative to volatility (think sharpe ratio) only while the market is rising. When the market peaks, in fact, their velocity relative to volatility will have peaked at extraordinary levels. At this point the firm’s debt to equity is often at unsustainable  levels–leaving it vulnerable to the largest proportionate changes in firm leverage–and hence future volatility/downside risk.


Paper: Análisis Técnico + Fundamentals

Technical, Fundamental, and Combined Information for Separating Winners from Losers

The main purpose of this paper is to use both fundamental and technical information to improve the technical momentum strategy. We examine how fundamental accounting information along with the technical information such as past returns and past trading volume data can be used by investors to separate momentum winners from losers. Previous research has shown that the technical momentum strategy based on the past winners and losers in terms of cumulative returns, generates significantly positive returns in the subsequent periods. This paper proposes a unified framework of incorporating the fundamental indicators FSCORE (Piotroski (2000)) and GSCORE (Mohanram (2005)) into the technical momentum strategy. We have developed three hypotheses to test whether combined momentum strategy outperform the technical momentum strategy or not. From the empirical results of these three hypotheses, we conclude that the combined momentum strategy outperforms technical momentum strategy by generating significantly larger returns for both growth and value stocks.

Link al Paper


Analisis Tecnico, un interesante review

CSS Analytics tiene un post (y promete un segundo) sobre las limitaciones del análisis técnico. Sirve leerlo aunque sea solo para confirmar creencias.

First, let me state a unique premise: without other market players believing in fundamental analysis, I believe that technical analysis would not work. Huh? Well the truth is, all major trends including both bull and bear markets are a function of the belief in some theory about fundamentals. Few individuals with serious wealth are willing to risk their own money on the basis of an interpretation of a chart pattern. Imagine telling a client that has given you $25 million to invest that you are going to be investing $5 million in China Telecom because “the chart looks good.” Or how about trying to tell that same person that you are going to increase your exposure to Citigroup in 2008 “because my indicators show that the stock has hit a bottom.” You better have a good reason to explain to this same person why you are risking their hard-earned money on a bunch of chart squiggles. For this reason, most of the money in the mutual fund and pension fund universe is invested using fundamental research and macro-economic theses about a specific stock, sector or commodity. Typical examples include statements such as: “the world is running out of oil”, or that “the internet is going to take over brick and mortar business.”
Not some, but nearly ALL major bubbles or parabolic moves are created by feedback loops that start with a few people believing in a given theory and end with the majority achieving a consensus that a theory is true.


Paper: Ilusión y el análisis técnico

Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significantly profitable strategies. Almost all these profits vanish once the data snooping bias is taken into account. We also show that out-of-sample test can have severe data snooping bias too. Overall, we find that the profitability of technical analysis in emerging foreign exchange markets is illusory.

Link al Paper


Fibonacci y Analisis Tecnico

El Fibonacci retracement es una herramienta del analisis tecnico:

A Fibonacci retracement level is achieved when the index — or an individual stock — gets 38%, 50%, 62%, and a couple of other obscure percentage levels between a major peak and trough

(Active Trader: Retracing Fibonacci´s Steps)

Les paso un par de links sobre este tema:


Como usarlo

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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