Price Forecasting and Quantitative Trading Strategy Based on Ensemble Forecaster

Abstract

It remains difficult to make a quantitative trading strategy by predicting the former statistics, with the aim of balancing the risks and profits. In this article, we presented an innovative price forecasting and quantitative trading strategy based on ensemble forecaster. The strategy program was designed by the modified Sharpe ratio and PSO, which overcame the original Sharpe ratio’s conservation and the slow program’s convergence rate. And the model was effective and sensitive proved by the disturbance evaluation.