Detecção de falsas estratégias de investimento. Uma análise do mercado brasileiro através de FWER

The present work used the method proposed by López de Prado and Lewis (2019) combined with the study of Harvey and Liu (2020) for the purpose of testing the detection of false investment strategies. The methodology starts from the analysis of Type I and Type II errors over multiple tests through FWER with Sidak correction. For the validation of the proposed method, three scenarios were built in a controlled environment with the aid of geometric Brownian motions, in addition to empirical tests with 78 assets that made up the Bovespa index (IBOV) during the period from October 2015 to January 2021 to test the Moving Averages Crossing, Mean Reversion and Momentum strategies, where each strategy had a group of ten different parameters The results in a controlled environment prove the effectiveness of the model in detecting that the scenarios built only with random results and bad results are false strategies, while the scenario composed only of good results was considered a true strategy. Regarding the empirical results, each strategy obtained parameters that were given as true and false strategies, showing that there is no strategy that is false in all parameters, but there was a consensus between the three strategies to be accepted as true in parameters less sensitive to volatility Key-words: Type I Error, Type II Error, False Investment Strategies, FWER Lista de ilustrações Figura 1 – Evolução do índice Bovespa (IBOV) entre outubro de 2015 a janeiro de 2021 . . . . . . . . . . . 20 Figura 2 – Distribuição dos Sharpe Ratio de Cruzamento de Médias Móveis sem Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . 55 Figura 3 – Distriuição dos Sharpe Ratio de Cruzamento de Médias Móveis com Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . 56 Figura 4 – Distribuição dos Sharpe Ratio de Momentum sem Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . . . . . . . . . . 57 Figura 5 – Distribuição dos Sharpe Ratio de Momentum com Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . . . . . . . . . . 58 Figura 6 – Distribuição dos Sharpe Ratio de Reversão à Média sem Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . . . . . . . 59 Figura 7 – Distribuição dos Sharpe Ratio de Reversão à Média com Custo Destacando a posição do Sharpe Ratio Mediano SR* . . . . . . . . . . . . . . . . 60