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

Xuwen Huang; Ke Huang; Zuominyang Zhang

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

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

Authors

Xuwen Huang¹, Ke Huang², Zuominyang Zhang³^{, *}

¹Vietnam Institute, Guangxi Academy of Social Sciences, Nanning, Guangxi, 530022, China

²Quantitative Finance Laboratory, School of Digital Economics, Nanning University, Nanning, Guangxi, 530299, China

³Graduate School, Guangxi University of Finance and Economics, Nanning, Guangxi, 530003, China

^*Corresponding author. Email: Zuominyang_Zhang@163.com

Corresponding Author

Zuominyang Zhang

Available Online 26 May 2025.

DOI: 10.2991/978-94-6463-724-3_32 How to use a DOI?
Keywords: Gold future; Quantitative trading; China
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.
Copyright: © 2025 The Author(s)
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title: Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025)
Series: Advances in Economics, Business and Management Research
Publication Date: 26 May 2025
ISBN: 978-94-6463-724-3
ISSN: 2352-5428
DOI: 10.2991/978-94-6463-724-3_32 How to use a DOI?
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

ris enw bib

TY  - CONF
AU  - Xuwen Huang
AU  - Ke Huang
AU  - Zuominyang Zhang
PY  - 2025
DA  - 2025/05/26
TI  - Study on Quantitative Investment Strategy of Commodity Futures Based on Market Money Flow Factor: Chinese Gold Futures Case
BT  - Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025)
PB  - Atlantis Press
SP  - 319
EP  - 328
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-724-3_32
DO  - 10.2991/978-94-6463-724-3_32
ID  - Huang2025
ER  -

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