Aplicação do gráfico CUSUM ao Ibovespa: uma abordagem de controle estatístico para estratégias de trading

Abstract

Within financial markets, investment strategies are often guided by the pursuit of an efficient balance between risk and return. The inherent volatility of assets drives the search for statistical tools that may offer competitive advantages. The CUSUM chart (Cumulative Sum Control Chart), due to its capability to detect structural changes in time series, represents one such tool when applied to the established prices of financial assets. The main index of the Brazilian stock exchange (B3), known as the IBOVESPA, serves as a performance benchmark for the most actively traded stocks in the country and acts as a comparative indicator for investors. Passive strategies, such as the “buy and hold” approach, focus on long-term market growth, whereas active strategies, like those employing the CUSUM methodology, adjust portfolios and the timing of capital exposure in response to market signals, aiming to optimize outcomes through the identification of inflection points in market cycles. Thus, assessing the effectiveness of this statistical tool within the financial market context has a direct impact on investor performance. In light of this, the present study seeks to investigate: What is the risk-return relationship of the CUSUM chart applied to the IBOVESPA compared to the passive strategy across different market cycles. The findings indicate that the application of the CUSUM method is not primarily oriented toward maximizing absolute returns, but rather toward mitigating relevant risks and providing greater stability throughout the analyzed period.