Investment Planning Model Based on Quantitative Trading Strategies

Abstract

Investment, as a financial activity for the general public, has a wide influence on the development of national enterprises. In the research, the main object is Bitcoin and gold, and the investment prediction of short-term investment is made according to the real financial market, and the investment decision prediction model is established by using XGBoost, BP neural network model, entropy value method, coefficient of variation method, linear programming, and value-at-risk model to solve. The topic provides historical data related to bitcoin and gold. First, for the amount of gold and bitcoin increase, with the price deviation rate for data processing. For the amount and increase problem, which is difficult to judge the accuracy, both XGBoost and BP neural network models are used to predict and compare the results, and finally XGBoost, which has higher accuracy, is chosen as the result. After that, the market sentiment is judged according to the obtained data results, and the entropy value method is applied to calculate the weight of relevant indicators to establish the bull and bear market prediction model. Next, the value-at-risk model is applied to establish a risk prediction model. Finally, the predictions for price, market, and risk are combined, and the coefficient of variation method is used to determine the weights of each component to obtain the objective function and design the law of investment behavior as the result of the final prediction model. The initial amount is brought into the model for calculation, and the final return is found to be about $240,000. To assess the sensitivity of the model, three scenarios are discussed and analyzed in terms of changes in transaction costs, gold-only purchases, and bitcoin-only purchases. The three extreme cases are solved by dynamic programming in turn, and it is found that the decision model is very sensitive to changes in transaction costs. And for the case of only enough to buy gold, versus only buying bitcoin, the conclusion finds that the sensitivity is still high, and it can be judged that bitcoin has a high investment potential as an emerging investment product.