Resumo

GOMES ALMEIDA, Luís António. IS THE ICHIMOKU METHOD EFFICIENT? EVIDENCE FROM STOCK MARKETS. Innovar [online]. 2022, vol.32, n.84, pp.41-56.  Epub 17-Maio-2022. ISSN 0121-5051.  https://doi.org/10.15446/innovar.v32n84.99677.

This paper seeks to contribute to the understanding of the Ichimoku trading method by providing empirical and theoretical evidence on the predictive capacity of this investment dynamics. Although Ichimoku emerged in Japan in the 1930s, it was only until recent years that it began to draw the attention of investors and scholars outside Japan, which explains the existing gap in academic research production on this approach. In an attempt to bridge such a gap, this work studies five capital market indices from different geographical areas. A total of 26,295 daily stock quotes were examined, testing different trading strategies based on the Ichimoku lines. Reviewed trading strategies produced a set of 22,083 trading signals, which made it possible to evaluate Ichimoku's predictive ability and performance. Our findings show that this method provides key signs on commercial trends and that its related strategies allow creating value for investors. It is also concluded that Ichimoku dynamics support investment decisions and enable investors to react quickly in the face of bearing markets, thus being useful to point out trends and reverse them if necessary. In addition, the strategy based on the so-called chikou span line turned out to be the most profitable and the one that provides the best return for greater risk.

Palavras-chave : Technical analysis; chikou span; Ichimoku; Sharpe index.

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