E3S Web Conf.
Volume 214, 20202020 International Conference on Energy Big Data and Low-carbon Development Management (EBLDM 2020)
|Number of page(s)||6|
|Section||Machine Learning and Energy Industry Structure Forecast Analysis|
|Published online||07 December 2020|
Predicting the SP500 Index Trend Based on GBDT and LightGBM Methods
College of Electronic and Information Engineering, Tongji University, Shanghai China
Algorithms that are previously difficult to implement have been successfully applied in different fields because of hardware development. Quantitative investment has the characteristics of rationality and efficiency and has obvious advantages over traditional methods. Based on the SP500 index data for 4936 trading days, 10 characteristics such as PSY, MACD, STOCHK and STOCHD were generated. Based on those features, quantitative investment strategies for the GBDT and LightGBM models were constructed. Validation showed that the annualized returns of the two strategies exceeded the direct purchase and holding of the SP500 index, with the annualized returns of 43.4% and 50.7%. The performance of risk control of the two models was also better than the benchmark strategy. The GBDT model had less risk than the LightGBM model when the same benefits were obtained. The accuracy of the LightGBM model was higher than that of the GBDT, and its F1 score was 0.814, while the GBDT model was 0.805. For the different selected components, the results of the principal component analysis showed that the PSY feature weight in the GBDT model was much higher than other features, and a single feature can be applied for straightforward prediction. In the LightGBM model, the seven feature weights such as STOCHK were relatively balanced, and more features can be balanced at the same time to obtain more accurate results. The article designs investment strategies based on the LightGBM model for the first time and provides new ideas for providing a framework for index investment.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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