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

Detalhes bibliográficos
Autor(a) principal: Fiorucci, Jose Augusto
Data de Publicação: 2022
Outros Autores: Silva, Geraldo Nunes [UNESP], Barboza, Flavio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://dx.doi.org/10.1016/j.simpa.2022.100331
http://hdl.handle.net/11449/242009
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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spelling RTS: Expert advisor for reaction trend system[Formula presented]Expert AdvisorFinancial time seriesGARCH estimationStock marketTrading systemVolatilityAn 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.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)University of Brasília (UnB) Department of Statistics, Campus Darcy RibeiroSão Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact SciencesFederal University of Uberlândia (UFU) School of Business and ManagementSão Paulo State University (UNESP) Department of Mathematics Institute of Biosciences Humanities and Exact SciencesFAPESP: 2013/07375-0FAPESP: 2016/10431-7CNPq: 435173/2018-9University of Brasília (UnB)Universidade Estadual Paulista (UNESP)Universidade Federal de Uberlândia (UFU)Fiorucci, Jose AugustoSilva, Geraldo Nunes [UNESP]Barboza, Flavio2023-03-02T06:29:58Z2023-03-02T06:29:58Z2022-08-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://dx.doi.org/10.1016/j.simpa.2022.100331Software Impacts, v. 13.2665-9638http://hdl.handle.net/11449/24200910.1016/j.simpa.2022.1003312-s2.0-85133491054Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengSoftware Impactsinfo:eu-repo/semantics/openAccess2023-03-02T06:29:59Zoai:repositorio.unesp.br:11449/242009Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462023-03-02T06:29:59Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv RTS: Expert advisor for reaction trend system[Formula presented]
title RTS: Expert advisor for reaction trend system[Formula presented]
spellingShingle RTS: Expert advisor for reaction trend system[Formula presented]
Fiorucci, Jose Augusto
Expert Advisor
Financial time series
GARCH estimation
Stock market
Trading system
Volatility
title_short RTS: Expert advisor for reaction trend system[Formula presented]
title_full RTS: Expert advisor for reaction trend system[Formula presented]
title_fullStr RTS: Expert advisor for reaction trend system[Formula presented]
title_full_unstemmed RTS: Expert advisor for reaction trend system[Formula presented]
title_sort RTS: Expert advisor for reaction trend system[Formula presented]
author Fiorucci, Jose Augusto
author_facet Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
author_role author
author2 Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
author2_role author
author
dc.contributor.none.fl_str_mv University of Brasília (UnB)
Universidade Estadual Paulista (UNESP)
Universidade Federal de Uberlândia (UFU)
dc.contributor.author.fl_str_mv Fiorucci, Jose Augusto
Silva, Geraldo Nunes [UNESP]
Barboza, Flavio
dc.subject.por.fl_str_mv Expert Advisor
Financial time series
GARCH estimation
Stock market
Trading system
Volatility
topic Expert Advisor
Financial time series
GARCH estimation
Stock market
Trading system
Volatility
description 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.
publishDate 2022
dc.date.none.fl_str_mv 2022-08-01
2023-03-02T06:29:58Z
2023-03-02T06:29:58Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://dx.doi.org/10.1016/j.simpa.2022.100331
Software Impacts, v. 13.
2665-9638
http://hdl.handle.net/11449/242009
10.1016/j.simpa.2022.100331
2-s2.0-85133491054
url http://dx.doi.org/10.1016/j.simpa.2022.100331
http://hdl.handle.net/11449/242009
identifier_str_mv Software Impacts, v. 13.
2665-9638
10.1016/j.simpa.2022.100331
2-s2.0-85133491054
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Software Impacts
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv Scopus
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
_version_ 1803649817228869632

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