商品期货价格预测与交易策略——一种信号噪声差分方法

2013 International Conference on Information Science and Cloud Computing Companion Pub Date : 2013-12-07 DOI:10.1109/ISCC-C.2013.60

Jinhao Zheng, Shoukang Peng

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引用次数: 2

摘要

本文介绍了信号噪声差分法，并将其应用于商品期货价格预测中。根据上海期货交易所期货期货25个潜在预测指标数据挖掘的预测规律，建立相应的交易策略。并利用2009 - 2013年的市场数据对我们的交易策略进行了测试，得到了147.85%的年收益率。此外，还讨论了对该模型进行优化的几点改进。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Commodity Futures Price Prediction and Trading Strategies -- A Signal Noise Difference Approach

This paper introduces the signal noise difference method and applies this method into the commodity futures price prediction. Based on the prediction rules mined from the data of 25 potential prediction indicators of SHFE CU, a corresponding transaction strategy is established. And we use the market data from 2009 to 2013 to test our transaction strategy, which obtains a result of 147.85% annual yield. In addition, several improvements are discussed to optimize this model.

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2013 International Conference on Information Science and Cloud Computing Companion

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