A new construction method of futures trading strategy construction based on AFS theory
【摘要】：Futures trading is an advanced trading mode, which is developed from the spot trading and forward contract trading.It is a legal agreement between several people who don't know each other to buy and sell goods at a specified time and at a predetermined price in the future. The asset they trade can be a commodity or financial instrument. How to obtain more income through futures investment is a central issue that many investors care and study. In recent years, many researchers have tried to apply artificial intelligence to futures trading and find High-yield and low-risk strategies on it. This paper proposes a method for constructing futures trading strategies based on inflection point analysis and axiomatic fuzzy set(AFS) theory. It can find the relationships between the Bollinger Bands of futures price data and the price differences by extracting association rules. And then the relationships will be basis of formulating the corresponding buying and selling strategies. The comparative experiments in virtual futures trading proves the practicability and superiority of the method with an ordinary fuzzy method of extracting association rules in virtual futures trading.