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Abdellah EL ZAAR
Abdellah EL ZAAR

Public Documents 1
Prediction of US 30-years-treasury-bonds mouvement and trading entry point using Robu...
Abdellah EL ZAAR
Nabil BENAYA

Abdellah EL ZAAR

and 4 more

April 06, 2023
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.

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