Prediction of US 30-years-treasury-bonds mouvement and trading entry
point using Robust 1DCNN-BiLSTM-XGBoost algorithm
Abstract
This paper proposes a novel algorithm that accurately predicts market
trends and trading entry points for US 30-year-treasury bonds using a
hybrid approach of 1-Dimensional Convolutional Neural Network (1DCNN),
Long-Short Term Memory (LSTM), and XGBoost algorithms. We compared the
performance of various strategies using 1DCNN and LSTM and found that
existing state-of-the-art methods based on LSTM have excellent results
in market movement prediction tasks, but the effectiveness of 1DCNN and
LSTM in terms of trading entry point and market perturbations has not
been studied thoroughly. We demonstrate, through experiments that our
proposed 1DCNN-BiLSTM-XGBoost algorithm combined with moving averages
crossover effectively mitigates noise and market perturbations, leading
to high accuracy in spotting trading entry points and trend signals for
US 30-year-treasury-bonds. Our experimental study shows that the
proposed approach achieves an average of 0.0001% Root Mean Squared
Error and 100% R-Square, making it a promising method for predicting
the market trends and trading entry points.