The financial world has suffered the greatest financial crisis of 2007; the fluctuations of that period caused serious losses among the operators, bringing a veil of fear and mistrust towards the whole financial reality. In all this atmosphere, trading is one of the aspects that has suffered most, as many strategies have become ineffective due to stock and bond collapses. Today, after more than 10 years, the market has returned to normal, the managers are able to offer guaranteed minimum returns and the private owners have begun, even if with fear, to invest their savings in government bonds. This work aims to build an operational strategy that can offer, for a defined stock portfolio, income performance in line with market trends. It can also be seen as a challenge to the concept of allocative efficiency of financial markets: positive performances deny this theory, since in a financial market neither technical analysis nor fundamental analysis should allow an investor to achieve profits greater than those that another investor would get by holding a portfolio of randomly chosen securities with the same riskiness. This research was carried out using three financial indicators: Moving Averages, Bollinger Bands and the Relative Strength Index (Rsi). The strategy provided the best combination between Bollinger Bands and Rsi with daily data frequency; the performance obtained, compared to the minimum returns that, for example, are guaranteed by the managers, was extremely low. There are several factors that led to the formation of this value, even if the collapse of the markets during the financial crisis of 2007 is certainly the predominant, as the analysis of the returns offered by this strategy shows how there is a clear separation between ante-crisis and post-crisis.
Il mondo finanziario ha sofferto maggiormente la grande crisi finanziaria del 2007; le fluttuazioni di quel periodo hanno fatto registrare gravi perdite tra gli operatori, portando un velo di paura e sfiducia verso l'intera realtà finanziaria. In tutto questo clima, il trading è uno degli aspetti che più ha sofferto, in quanto moltissime strategie sono diventate inefficaci a causa dei crolli azionari ed obbligazionari. Oggi, a distanza di più di 10 anni, il mercato è tornato tendenzialmente regolare, i gestori riescono ad offrire rendimenti minimi garantiti ed i privati hanno rincominciato, anche se con timore, ad investire il proprio risparmio in titoli di stato. Questo lavoro ha l'intento di costruire una strategia operativa che possa offrire, per un portafoglio azionario definito, delle performance reddituali in linea con l’andamento dei mercati. Può essere anche inteso come una sfida al concetto di efficienza allocativa dei mercati finanziari: le performance positive smentiscono questa teoria, in quanto in un mercato finanziario né l’analisi tecnica né l’analisi fondamentale dovrebbero consentire ad un investitore di conseguire profitti maggiori di quelli che un altro investitore otterrebbe possedendo un portafoglio di titoli scelti a caso con la stessa rischiosità. Questa ricerca è stata effettuata tramite l’utilizzo di tre indicatori finanziari: Medie mobili, Bande di Bollinger e l’Indice di forza relativa (Rsi). La strategia ha fornito come miglior risultato la combinazione tra Bande di Bollinger e Rsi con frequenza dati giornaliera; la performance ottenuta, rispetto ai rendimenti minimi che, per esempio, sono garantiti dai gestori, è risultata estremamente inferiore. Diversi sono i fattori che hanno portato alla formazione di questo valore, anche se il crollo dei mercati durante la crisi finanziaria del 2007 è sicuramente il predominante, in quanto l’analisi dei rendimenti offerti da questa strategia mostra come esiste una netta separazione tra pre-crisi e quella post-crisi.
Analysis of some trading strategies on the Italian Stock Exchange
FARAVELLI, ANDREA
2017/2018
Abstract
The financial world has suffered the greatest financial crisis of 2007; the fluctuations of that period caused serious losses among the operators, bringing a veil of fear and mistrust towards the whole financial reality. In all this atmosphere, trading is one of the aspects that has suffered most, as many strategies have become ineffective due to stock and bond collapses. Today, after more than 10 years, the market has returned to normal, the managers are able to offer guaranteed minimum returns and the private owners have begun, even if with fear, to invest their savings in government bonds. This work aims to build an operational strategy that can offer, for a defined stock portfolio, income performance in line with market trends. It can also be seen as a challenge to the concept of allocative efficiency of financial markets: positive performances deny this theory, since in a financial market neither technical analysis nor fundamental analysis should allow an investor to achieve profits greater than those that another investor would get by holding a portfolio of randomly chosen securities with the same riskiness. This research was carried out using three financial indicators: Moving Averages, Bollinger Bands and the Relative Strength Index (Rsi). The strategy provided the best combination between Bollinger Bands and Rsi with daily data frequency; the performance obtained, compared to the minimum returns that, for example, are guaranteed by the managers, was extremely low. There are several factors that led to the formation of this value, even if the collapse of the markets during the financial crisis of 2007 is certainly the predominant, as the analysis of the returns offered by this strategy shows how there is a clear separation between ante-crisis and post-crisis.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/9735