RTS: Expert advisor for reaction trend system[Formula presented]
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Data
2022-08-01
Autores
Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
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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.
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Expert Advisor, Financial time series, GARCH estimation, Stock market, Trading system, Volatility
Como citar
Software Impacts, v. 13.