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

In: Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025)

Author

Listed:
  • 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)

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.

Suggested Citation

  • Xuwen Huang & Ke Huang & Zuominyang Zhang, 2025. "Study on Quantitative Investment Strategy of Commodity Futures Based on Market Money Flow Factor: Chinese Gold Futures Case," Advances in Economics, Business and Management Research, in: Meilin Zhang & Au Yong Hui Nee & Khurram Shehzad & Sameer Kumar & Ehsan Javanmardi (ed.), Proceedings of the 2025 5th International Conference on Informatization Economic Development and Management (IEDM 2025), pages 319-328, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-724-3_32
    DOI: 10.2991/978-94-6463-724-3_32
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