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

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dc.contributor.authorFiorucci, Jose Augusto
dc.contributor.authorSilva, Geraldo Nunes [UNESP]
dc.contributor.authorBarboza, Flavio
dc.contributor.institutionUniversity of Brasília (UnB)
dc.contributor.institutionUniversidade Estadual Paulista (UNESP)
dc.contributor.institutionUniversidade Federal de Uberlândia (UFU)
dc.date.accessioned2023-03-02T06:29:58Z
dc.date.available2023-03-02T06:29:58Z
dc.date.issued2022-08-01
dc.description.abstractAn 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.en
dc.description.affiliationUniversity of Brasília (UnB) Department of Statistics, Campus Darcy Ribeiro
dc.description.affiliationSão Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact Sciences
dc.description.affiliationFederal University of Uberlândia (UFU) School of Business and Management
dc.description.affiliationUnespSão Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact Sciences
dc.description.sponsorshipFundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
dc.description.sponsorshipConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
dc.description.sponsorshipIdFAPESP: 2013/07375-0
dc.description.sponsorshipIdFAPESP: 2016/10431-7
dc.description.sponsorshipIdCNPq: 435173/2018-9
dc.identifierhttp://dx.doi.org/10.1016/j.simpa.2022.100331
dc.identifier.citationSoftware Impacts, v. 13.
dc.identifier.doi10.1016/j.simpa.2022.100331
dc.identifier.issn2665-9638
dc.identifier.scopus2-s2.0-85133491054
dc.identifier.urihttp://hdl.handle.net/11449/242009
dc.language.isoeng
dc.relation.ispartofSoftware Impacts
dc.sourceScopus
dc.subjectExpert Advisor
dc.subjectFinancial time series
dc.subjectGARCH estimation
dc.subjectStock market
dc.subjectTrading system
dc.subjectVolatility
dc.titleRTS: Expert advisor for reaction trend system[Formula presented]en
dc.typeArtigo
unesp.author.orcid0000-0002-1201-9089[1]
unesp.author.orcid0000-0002-3449-5297[3]

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Artigos - Matemática Aplicada - IBILCE