- 期刊
Best Strategy for Gold Bitcoin Investment based on Bollinger Bands and Multi-objective Optimization Model
摘要
With the economic development and the change of people's investment consciousness, asset investment has become an important part of modern life. The purpose of this paper aims to help market traders make full use of the gold coins and bitcoins to maximize their total profits. Therefore, we test the correlation between the gold and bitcoin value streams. The results show that they vary between positive and negative correlation. Based on the changing trend of the comprehensive value of gold and bitcoin, this paper puts forward four trading scenarios, that is, bottom, peak, hedge and stable, and gives the corresponding optimal trading strategies. On the basis of the above classification model, we set up a multi-objective nonlinear programming model to ensure the optimal quantitative investment strategy under the constraints of each transaction scenario. The results shows that our model is the best in terms of the number of transactions and annualized rate of return, and the winning rate is second only to MACD.