RTS: Expert advisor for reaction trend system[Formula presented]
Carregando...
Fontes externas
Fontes externas
Data
Orientador
Coorientador
Pós-graduação
Curso de graduação
Título da Revista
ISSN da Revista
Título de Volume
Editor
Elsevier
Tipo
Artigo
Direito de acesso
Acesso aberto
Fontes externas
Fontes externas
Resumo
An empirical strategy, proposed by Wilder (1978), operates in any market conditions based on 4 action points calculated from historical prices. Here, we developed an upgraded system by improving the calculus of these points through a statistical volatility model. To sum up, GARCH quantiles replace the fixed values in these points and the operational logic remains as the original methodology for initiating and closing positions. The aim of this paper is to show how to use the implemented R code that estimates these action points in combination with the RTS Expert Advisor.
Descrição
Idioma
Inglês
Citação
Software Impacts, v. 13.
