Abstract
This paper focuses on the Trading strategy issues of gold, US dollar and bitcoin in the financial markets.We are supposed to deal with the C problem of 2022 Mathematical Contest In Modeling. To solve this problem, we firstly build a VMD(CEEMD)-LSTM-AdaBoost-SVM model to predict the price of gold and BTC. Based on the forecast data, we build the optimal investment dynamic planning problem by using Floyd algorithm to find the maximum profit route of daily optimal trading strategy from September 11, 2016 to September 11, 2021. Our assets went from an initial $1,000 to $52,048 with an annual profit margin of 219.58%. Then, we performed sensitivity analysis and error analysis of the developed model. Finally, we improved and extended the existing model by building the Measure-VaR multi-stage portfolio model and solve it by using the PSO algorithm, the theoretical results is good.
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