RTS: Expert advisor for reaction trend system[Formula presented]

Fiorucci, Jose Augusto; Silva, Geraldo Nunes [UNESP]; Barboza, Flavio

RTS: Expert advisor for reaction trend system[Formula presented]

Data

2022-08-01

Autores

Fiorucci, Jose Augusto

Silva, Geraldo Nunes

Barboza, Flavio

Tipo

Artigo

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.