This paper proposes an EEMD-Hurst-LSTM prediction method based on the ensemble learning framework, which is applied to the prediction of typical commodities in China’s commodity futures market. This method performs ensemble empirical mode decomposition (EEMD) on commodity futures prices, and incorporates the components obtained by EEMD decomposition and the adaptive fractal Hurst index calculated by using intraday high-frequency data as new features into the LSTM model to decompose its correlation with the external market to detect changes in market conditions. The results show that the EEMD-Hurst-LSTM method has better predictive performance compared to other horizontal single models and longitudinal deep learning combined models. Meanwhile, the trading strategy designed according to this ensemble model can obtain more returns than other trading strategies and have the best risk control level. The research of this paper provides important implications for the trend following of commodity markets and the investment risk management of statistical arbitrage strategies.