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25 May 2023 Trading strategy based on dynamic programming
Mengyuan Hu, Zihan Yang, Ying Ku, Teng Huang, Yating Zou, Zheyong Qiu
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Proceedings Volume 12636, Third International Conference on Machine Learning and Computer Application (ICMLCA 2022); 126364G (2023) https://doi.org/10.1117/12.2675139
Event: Third International Conference on Machine Learning and Computer Application (ICMLCA 2022), 2022, Shenyang, China
Abstract
In order to obtain more stable profit expectations, this article established an index enhancement strategy. With the continuous development of China's financial market, an index enhancement strategy was established to obtain more stable earnings expectations. Based on the prediction of future prices by the XGBoost algorithm, the TOPSIS evaluation model selects the best stocks as the portfolio and assigns positions to the stocks through the optimal portfolio model. The day trading model and the optimal portfolio model are used to construct trading signals, and the construction of trading signals is improved in the form of periodic data replacement, thereby improving the fit of trading signals to the market. Then, a trading model is built for the purpose of maximizing capital returns and dynamic planning is used to compare and update maximum profits, thus providing strategic advice to investors.
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Mengyuan Hu, Zihan Yang, Ying Ku, Teng Huang, Yating Zou, and Zheyong Qiu "Trading strategy based on dynamic programming", Proc. SPIE 12636, Third International Conference on Machine Learning and Computer Application (ICMLCA 2022), 126364G (25 May 2023); https://doi.org/10.1117/12.2675139
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KEYWORDS
Data modeling
Computer programming
Performance modeling
Process modeling
Scientific programming
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