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Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer

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  • Wenhao Guo
  • Yuda Wang
  • Zeqiao Huang
  • Changjiang Zhang
  • Shumin ma

Abstract

In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to navigate these challenges. Unlike conventional models focused on point predictions, the FutureQuant model excels in forecasting the range and volatility of future prices, thus offering richer insights for trading strategies. Its ability to parse and learn from intricate market patterns allows for enhanced decision-making, significantly improving risk management and achieving a notable average gain of 0.1193% per 30-minute trade over state-of-the-art models with a simple algorithm using factors such as RSI, ATR, and Bollinger Bands. This innovation marks a substantial leap forward in predictive analytics within the volatile domain of futures trading.

Suggested Citation

  • Wenhao Guo & Yuda Wang & Zeqiao Huang & Changjiang Zhang & Shumin ma, 2025. "Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer," Papers 2505.05595, arXiv.org.
    • Handle: RePEc:arx:papers:2505.05595
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    References listed on IDEAS

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    5. Fazl Barez & Paul Bilokon & Arthur Gervais & Nikita Lisitsyn, 2023. "Exploring the Advantages of Transformers for High-Frequency Trading," Papers 2302.13850, arXiv.org.
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    7. Shaozhen Chen & Bangqian Zhang & GengJian Zhou & Qiaoxu Qin, 2018. "Bollinger Bands Trading Strategy Based on Wavelet Analysis," Applied Economics and Finance, Redfame publishing, vol. 5(3), pages 49-58, May.
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