RTS: Expert advisor for reaction trend system[Formula presented]
dc.contributor.author | Fiorucci, Jose Augusto | |
dc.contributor.author | Silva, Geraldo Nunes [UNESP] | |
dc.contributor.author | Barboza, Flavio | |
dc.contributor.institution | University of Brasília (UnB) | |
dc.contributor.institution | Universidade Estadual Paulista (UNESP) | |
dc.contributor.institution | Universidade Federal de Uberlândia (UFU) | |
dc.date.accessioned | 2023-03-02T06:29:58Z | |
dc.date.available | 2023-03-02T06:29:58Z | |
dc.date.issued | 2022-08-01 | |
dc.description.abstract | 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. | en |
dc.description.affiliation | University of Brasília (UnB) Department of Statistics, Campus Darcy Ribeiro | |
dc.description.affiliation | São Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact Sciences | |
dc.description.affiliation | Federal University of Uberlândia (UFU) School of Business and Management | |
dc.description.affiliationUnesp | São Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact Sciences | |
dc.description.sponsorship | Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) | |
dc.description.sponsorship | Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) | |
dc.description.sponsorshipId | FAPESP: 2013/07375-0 | |
dc.description.sponsorshipId | FAPESP: 2016/10431-7 | |
dc.description.sponsorshipId | CNPq: 435173/2018-9 | |
dc.identifier | http://dx.doi.org/10.1016/j.simpa.2022.100331 | |
dc.identifier.citation | Software Impacts, v. 13. | |
dc.identifier.doi | 10.1016/j.simpa.2022.100331 | |
dc.identifier.issn | 2665-9638 | |
dc.identifier.scopus | 2-s2.0-85133491054 | |
dc.identifier.uri | http://hdl.handle.net/11449/242009 | |
dc.language.iso | eng | |
dc.relation.ispartof | Software Impacts | |
dc.source | Scopus | |
dc.subject | Expert Advisor | |
dc.subject | Financial time series | |
dc.subject | GARCH estimation | |
dc.subject | Stock market | |
dc.subject | Trading system | |
dc.subject | Volatility | |
dc.title | RTS: Expert advisor for reaction trend system[Formula presented] | en |
dc.type | Artigo | |
unesp.author.orcid | 0000-0002-1201-9089[1] | |
unesp.author.orcid | 0000-0002-3449-5297[3] |