|Table of Contents|

Research on the Optimal Trading Strategy Based on Neural Network Prediction Model(PDF)

南京师范大学学报（工程技术版）[ISSN:1006-6977/CN:61-1281/TN]

Issue:
2023年04期
Page:
19-28
Research Field:
计算机科学与技术
Publishing date:

Info

Title:
Research on the Optimal Trading Strategy Based on Neural Network Prediction Model
Author(s):
Dong Han1; Chen Jiali2; Wang Haoran3; Ye Xiaohui3
(1.School of Information Science & Technology,Xiamen University Tan Kah Kee College,Zhangzhou 363105,China)
(2.School of Economics and Management,Fuzhou Institute of Technology,Fuzhou 350506,China)
(3.School of Computing and Information Science,Fuzhou Institute of Technology,Fuzhou 350506,China)
Keywords:
futures trading; LSTM model; single class trading; portfolio trading
PACS:
F832.5; TP183
DOI:
10.3969/j.issn.1672-1292.2023.04.003
Abstract:
Based on the long short-term memory neural network(LSTM)model,the rise and fall in the future price of investment products in financial transactions are predicted,and the best strategies for long and short trading methods are analyzed considering the transaction cost. Through experiments,it is concluded that the trading model can make a greater profit when the prediction accuracy is close to 50% or greater than 50%,and the maximum profit can be obtained when the test set is 25%,and the order of return of the four varieties is Bitcoin,crude oil,US dollar index,and gold. Changing the relative commission has a certain impact on the bias of portfolio transactions,and the return changes in a gradient style. The model is simplified on a daily basis and cannot be used for single-day high-frequency trading analysis.

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Last Update: 2023-12-15