RTS: Expert advisor for reaction trend system[Formula presented]
Autor(a) principal: | |
---|---|
Data de Publicação: | 2022 |
Outros Autores: | , |
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. |
id |
UNSP_0392d29bdf1546f007c75ed7de63b814 |
---|---|
oai_identifier_str |
oai:repositorio.unesp.br:11449/242009 |
network_acronym_str |
UNSP |
network_name_str |
Repositório Institucional da UNESP |
repository_id_str |
2946 |
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:29462024-08-05T18:43:58.897097Repositório 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_ |
1808128971348377600 |