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Quantitative Trading Optimization Model Based on Moving Average and Risk Prediction

Lanjing Qi, Ailing Dai, Hongxuan Shi


Quantitative investment can bring very large returns to investors and is increasingly popular among investors. Based on this, a quantitative trading model of averaging strategy is constructed for both gold and bitcoin products, and then the market risk model and trading frequency model based on multi-prediction model is constructed based on the optimization of the lagging loss that exists in the averaging strategy when the market is in a period of oscillation. The market risk and trading frequency are taken into account in the averaging model, and the trading ratio is dynamically changed to adapt to different market patterns on the basis of constant trading dates to achieve the optimization of the averaging strategy. The model integrates the impact of historical prices on the trading strategy. Here, the daily trading prices of gold and bitcoin from September 2016 to October 2021 are used as experimental data, and the experimental results show the effectiveness of the model.


The Averaging Model; Coefficient of Variation; Trading Strategy Optimization

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DOI: http://dx.doi.org/10.18686/fm.v7i2.4271