Codes and outputs for the paper: Fiorucci, J. A., Silva, G. N., & Barboza, F. (2022). Reaction trend system with GARCH quantiles as action points. Expert Systems with Applications, 198, 116750.
This is a code for running a GARCH estimation on financial assets. Here, we ran to BOVA11.SA (a Brazilian ETF), where you just can change this code to run for any assets with available data at Yahoo Finance. In case of performance analysis, it is required to open an account in a broker with access to Metatrader 5. Then, you can include RTS.ex5 as an automated advisor in the MT5 platform. Run the backtest by using the parameters provided by the GARCH_Estimation output. All performance metrics can be seen at https://www.earnforex.com/report-analysis/. You can see our tests available in the Tests folder.