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Academic Journal of Computing & Information Science, 2023, 6(3); doi: 10.25236/AJCIS.2023.060313.

Research on Quantifier Trading System Based on Time Series


Yunyu Li

Corresponding Author:
Yunyu Li

Shanghai Maritime University, Shanghai, China


Due to the continuous development and growth of domestic and international securities market, investors are more inclined to use professional trading tools to manage investments. So, for major institutions and investors, the transaction strategy of gradually formulating and managing liquidity assets will be meaningful. Therefore, we developed three models: the first model is price prediction model; the second model is investment return based model, and the third model is risk control model. firstly, the daily price data of gold and bitcoin given in the topic for the five-year trading period from November 9, 2016 to October 9, 2021 are preprocessed with missing values, etc., while first-order differences are performed, and the ARIMA model is used to verify the validity of the predicted prices by validating the original series of data with smooth and intrinsic trends. Next, the ARIMA parameters are fitted using historical data, and XGBoost machine learning training data are introduced to triple-fold cross-validate the results, combining ARIMA and XGBoost machine learning to derive predicted prices for daily gold and bitcoin transactions, laying a good foundation for the establishment of the return model and the risk model. We determine the rise and fall of gold and bitcoin in each trading day based on the predicted price data of gold and bitcoin in the next 5 days, and get the median M0.5 of the rise and fall, which reflects the expected return in a specific period by the increase or decrease of the rise. Then, according to the Apriori algorithm, the frequency item set is obtained. According to the plus positioning function, the investment income amount is obtained, and the investment revenue is combined based on this strategy. The result of the benefit is shown in Fig 9. The optimization of the model's accuracy and maximization of the model's accuracy and maximization of investment strategic revenue is proved by the comparative analysis of the prediction model and the revenue of the investment.


ARIMA Model; price forecast; dynamic planning model; risk control model

Cite This Paper

Yunyu Li. Research on Quantifier Trading System Based on Time Series. Academic Journal of Computing & Information Science (2023), Vol. 6, Issue 3: 102-110. https://doi.org/10.25236/AJCIS.2023.060313.


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