Research On Price Forecast And Quantitative Trading Strategy Of Jujube Futures

As an important financial tool in the capital market,agricultural futures play a price discovery as well as risk management function.The listing of dried jujube futures provides new opportunities for the development of the jujube industry in southern Xinjiang,and conducting research on jujube futures price forecasting can provide technical support for the healthy and sustainable development of the jujube industry in Xinjiang.Studying jujube futures price movements and predicting their price trends has been a hot issue in the field of agricultural economics.The stable and efficient performance of quantitative trading has attracted more and more investors,and futures price forecasting and quantitative trading strategies have become a popular area of concern for scholars at home and abroad.However,date futures market prices are affected by a variety of factors,leading to experimental data showing unstable characteristics in the testing process.Therefore,using modern information technology,constructing a nonlinear model that can reveal the movement pattern of the jujube futures market and formulating quantitative trading strategies are important guidelines for timely and reasonable risk avoidance for Chinese jujube producers and operators,market investors,and others.The purpose of this study is to investigate the price prediction of red date futures and its quantitative trading strategy based on long and short-term memory network(LSTM).First,we obtain the price data of the main contract of jujube futures,extract the price pattern features,and fuse them with the basic price indicators and key technical indicators to form the daily input data of jujube futures.Secondly,we determine the appropriate learning rate,Dropout rate,number of network layers and hidden layer nodes and other parameters through comparison experiments to construct a more optimized LSTM network model;compare and evaluate the prediction effects of different window periods,finally determine the best time window period,and apply it to the price prediction analysis of Chinese jujube futures.Finally,a quantitative trading strategy for the main contract of red date futures is developed,and the strategy is executed according to the predicted price and optimized through the backtesting effect,so as to obtain a more robust and effective investment strategy.The experimental results show that the optimized LSTM model can provide a better indication of prices,and the optimized quantitative trading strategy has higher returns and smaller maximum retracement in the bull market,which can achieve larger returns with less risk.This study provides an important reference for decision making in related fields,and also provides new ideas and methods for future related research,which is expected to further promote the development of the red date futures market.