Follow the Best Strategy to be a Smarter Trader
DOI:
https://doi.org/10.54691/bcpbm.v22i.1228Keywords:
Optimal trading strategy; Efficient frontier; ARIMA; Multi-Objective Dynamic Trading; Sharp Ratio.Abstract
Market traders often buy and sell volatile assets to maximize total returns. We have developed an optimal trading strategy model using gold and bitcion daily price streams to meet this need. Based on a sliding window, we use the ARIMA model to predict the daily prices of gold and bitcoin, respectively. Meanwhile, the Granger causality test results showed that they were not cointegrated in the short term. We construct a multi-objective dynamic trading sub-model that considers maximum investment value, minimum trading frequency, and minimum trading risk factors based on historical and forecast sequences. Finally, we validate the optimal trading strategy model using the efficient frontier and conclude that the model is accurate.
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