Study on Quantitative Investment Strategy of Commodity Futures Based on Market Money Flow Factor: Chinese Gold Futures Case

Xuwen Huang, Ke Huang and Zuominyang Zhang ()
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Xuwen Huang: Vietnam Institute, Guangxi Academy of Social Sciences
Ke Huang: Nanning University, Quantitative Finance Laboratory, School of Digital Economics
Zuominyang Zhang: Guangxi University of Finance and Economics, Graduate School

A chapter in Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025), 2025, pp 319-328 from Springer

Abstract: Abstract This paper constructs a quantitative trading strategy based on the fund flow model, and tests it on SHFE gold and COMEX gold futures respectively. The cumulative return rate in 2022-2023 is 45.3% and 51.2%, indicating that the quantitative trading strategy based on the fund flow model has certain universality and can be applied to other futures trading. And even transactions in other financial assets.

Keywords: Gold future; Quantitative trading; China (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-724-3_32

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DOI: 10.2991/978-94-6463-724-3_32

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