Based on the characteristics of the Chinese futures market, this paper builds a supervised learning model to predict the trend of futures prices and then designs a trading strategy based on the prediction results. The Precision, Recall and F1-score of the classification problem show that our model can meet the accuracy requirements for the classification of futures price movements in terms of test data. The backtest results show that our trading system has an upward trending return curve with low capital retracement.

翻译：基于中国期货市场的特点，本文构建了监督学习模型以预测期货价格趋势，并据此设计交易策略。分类问题的精确率、召回率和F1分数表明，本模型在测试数据上能够满足期货价格波动分类的精度要求。回测结果显示，本交易系统具有收益率曲线上升趋势且资金回撤较小的特点。