| Full text | |
| Author(s): |
Fiorucci, Jose Augusto
;
Silva, Geraldo Nunes
;
Barboza, Flavio
Total Authors: 3
|
| Document type: | Journal article |
| Source: | SOFTWARE IMPACTS; v. 13, p. 3-pg., 2022-06-29. |
| Abstract | |
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. (AU) | |
| 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 |
| 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 |