Reaction trend system with GARCH quantiles as action points[Formula presented]
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Data
2022-07-15
Autores
Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
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Resumo
Most trading systems developed from technical indicators are designed to operate in either trending or non-trending markets but they are rarely useful for both markets. A reaction trend system allows operations in both markets. In this study, we improve the calculus of four action points using a statistical volatility model and then replace the action points with those derived from GARCH quantiles. Although the proposed system is more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical tests on various assets suggest that the novel method performs better. Finally, we compare the performance of our proposed system with previous studies that analysed assets in different markets and regions. Our system has been proven consistently competitive in all situations.
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prediction of price intervals, Statistical volatility model, Technical analysis, Wilder's trading strategies
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Expert Systems with Applications, v. 198.