| Full text | |
| Author(s): |
Fiorucci, Jose Augusto
;
Silva, Geraldo Nunes
;
Barboza, Flavio
Total Authors: 3
|
| Document type: | Journal article |
| Source: | EXPERT SYSTEMS WITH APPLICATIONS; v. 198, p. 8-pg., 2022-07-15. |
| Abstract | |
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 inboth markets. In this study, we improve the calculus of four action points using a statistical volatility modeland then replace the action points with those derived from GARCH quantiles. Although the proposed systemis more advanced, it maintains the same operational logic as the method proposed by Wilder. Empirical testson various assets suggest that the novel method performs better. Finally, we compare the performance of ourproposed system with previous studies that analysed assets in different markets and regions. Our system hasbeen proven consistently competitive in all situations. (AU) | |
| FAPESP's process: | 16/10431-7 - Optimization and statistical tools for automatic trading in the stock and currency market |
| Grantee: | José Augusto Fiorucci |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |
| FAPESP's process: | 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry |
| Grantee: | Francisco Louzada Neto |
| Support Opportunities: | Research Grants - Research, Innovation and Dissemination Centers - RIDC |