Portfolio Optimization Model for Gold and Bitcoin Based on Weighted Unidirectional Dual-Layer LSTM Model and SMA-Slope Strategy

<table class="table-group" id="tab3"><tr><td><table class="table"><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr class="thead"><td class="align_left"><span style="width: 33.8437ptpx;"><svg height="9.48819pt" id="M145" style="vertical-align:-0.1802893pt" version="1.1" viewbox="-0.0498162 -9.3079 33.8437 9.48819" width="33.8437pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M861 0V28C774 35 771 41 768 147L759 509C756 612 762 614 851 622V650H681L449 149L221 650H57V622C148 613 153 609 144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,11.244,0)"><path d="M257 449C165 449 37 374 37 209C37 98 119 -12 256 -12C355 -12 473 65 473 226C473 349 381 449 257 449ZM244 416C333 416 380 320 380 204C380 67 329 21 267 21C184 21 130 115 130 241C130 354 184 416 244 416Z"></path></g><g transform="matrix(.013,0,0,-0.013,17.991,0)"><path d="M517 51L485 54C448 58 441 63 441 115V712C404 700 337 684 285 678V653C357 648 362 645 362 580V437C339 446 309 449 295 449C159 449 38 340 38 201C38 61 143 -12 223 -12C234 -12 261 -6 301 17L362 53V-12C420 9 495 22 517 26V51ZM362 85C338 67 301 51 266 51C201 51 128 109 128 228C128 373 212 411 259 411C296 411 338 395 362 360V85Z"></path></g><g transform="matrix(.013,0,0,-0.013,24.855,0)"><path d="M380 106C343 72 306 56 265 56C195 56 116 112 115 248C235 252 361 262 377 265C396 269 400 277 400 297C400 374 333 449 250 449H249C198 449 144 421 103 376S37 269 37 201C37 88 109 -12 232 -12C263 -12 332 6 395 84L380 106ZM225 412C281 412 315 364 314 312C314 297 308 292 290 292C232 290 176 289 120 289C135 370 180 412 225 412Z"></path></g><g transform="matrix(.013,0,0,-0.013,30.328,0)"><path d="M238 0V26C174 32 166 38 166 104V712C132 700 70 683 18 677V653C81 647 87 645 87 577V104C87 38 78 32 15 26V0H238Z"></path></g></svg></span></td><td class="align_center"><span style="width: 12.9135ptpx;"><svg height="8.8423pt" id="M146" style="vertical-align:-0.2064009pt" version="1.1" viewbox="-0.0498162 -8.6359 12.9135 8.8423" width="12.9135pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 0V24L339 665L311 657L43 24V0H600ZM497 50H107L303 539L497 50Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.327,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z"></path></g></svg></span></td><td class="align_center"><span style="width: 10.3951ptpx;"><svg height="6.1673pt" id="M147" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 10.3951 6.1673" width="10.3951pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M766 88L752 113C719 83 690 64 681 64C674 64 672 74 679 103L724 292C758 436 724 448 701 448C680 448 666 442 639 429C594 407 514 350 441 252H439L447 289C476 423 450 448 419 448C398 448 379 441 355 427C307 400 234 344 162 249H160L180 324C203 409 197 448 170 448C144 448 82 413 23 349L35 321C57 343 96 374 108 374C115 374 117 371 111 341C87 227 57 112 24 -6L32 -12C53 -4 81 4 108 6C119 68 134 128 149 171C177 229 309 383 364 383C387 383 388 355 373 282C354 190 330 92 303 -6L309 -12C332 -4 356 3 386 6C396 63 411 122 424 171C458 236 590 383 642 383C658 383 664 369 652 315L603 91C587 20 593 -12 619 -12C642 -12 708 23 766 88Z"></path></g></svg></span></td><td class="align_center"><span style="width: 25.1663ptpx;"><svg height="8.98583pt" id="M148" style="vertical-align:-0.2324905pt" version="1.1" viewbox="-0.0498162 -8.75334 25.1663 8.98583" width="25.1663pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M861 0V28C774 35 771 41 768 147L759 509C756 612 762 614 851 622V650H681L449 149L221 650H57V622C148 613 153 609 144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,11.583,0)"><path d="M409 504C401 567 396 607 392 642C354 654 312 665 266 665C137 665 60 583 60 487C60 374 161 325 225 290C300 250 355 215 355 141C355 68 311 21 235 21C131 21 86 122 71 183L41 176C48 128 61 42 68 21C78 16 93 8 118 0C142 -7 175 -15 216 -15C349 -15 438 69 438 174C438 287 344 333 265 374C186 414 138 449 138 522C138 576 172 631 249 631C336 631 363 562 380 499L409 504Z"></path></g><g transform="matrix(.013,0,0,-0.013,17.588,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g></svg></span></td><td class="align_center"><span style="width: 33.2696ptpx;"><svg height="8.98583pt" id="M149" style="vertical-align:-0.2324905pt" version="1.1" viewbox="-0.0498162 -8.75334 33.2696 8.98583" width="33.2696pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.073,0)"><path d="M861 0V28C774 35 771 41 768 147L759 509C756 612 762 614 851 622V650H681L449 149L221 650H57V622C148 613 153 609 144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,19.656,0)"><path d="M409 504C401 567 396 607 392 642C354 654 312 665 266 665C137 665 60 583 60 487C60 374 161 325 225 290C300 250 355 215 355 141C355 68 311 21 235 21C131 21 86 122 71 183L41 176C48 128 61 42 68 21C78 16 93 8 118 0C142 -7 175 -15 216 -15C349 -15 438 69 438 174C438 287 344 333 265 374C186 414 138 449 138 522C138 576 172 631 249 631C336 631 363 562 380 499L409 504Z"></path></g><g transform="matrix(.013,0,0,-0.013,25.661,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g></svg></span></td><td class="align_center"><span style="width: 13.2276ptpx;"><svg height="11.7978pt" id="M150" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 13.2276 11.7978" width="13.2276pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M610 18C585 26 567 34 540 68C517 97 499 128 476 171C452 215 425 276 413 304C496 332 570 394 570 494C570 555 545 595 509 619S419 650 364 650H139L133 622C216 615 219 612 203 527L129 132C112 40 105 36 23 28L17 0H279L285 28C199 34 194 40 211 132L239 284H284C320 284 334 275 351 236C374 182 394 140 420 93C459 23 495 -1 592 -8H600L610 18ZM480 485C480 424 449 372 403 342C374 323 338 316 293 316H245L291 562C296 589 301 601 311 608S337 618 358 618C432 618 480 575 480 485Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.151,-5.741)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg></span></td><td class="align_center"><span style="width: 35.4357ptpx;"><svg height="8.80315pt" id="M151" style="vertical-align:-0.04981041pt" version="1.1" viewbox="-0.0498162 -8.75334 35.4357 8.80315" width="35.4357pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M861 0V28C774 35 771 41 768 147L759 509C756 612 762 614 851 622V650H681L449 149L221 650H57V622C148 613 153 609 144 479L130 271C123 166 117 123 111 88C104 46 85 34 26 28V0H259V28C192 35 169 42 167 90C166 130 166 173 170 256L185 541H187L411 7H431L675 555H679L683 147C683 41 680 35 598 28V0H861Z"></path></g><g transform="matrix(.013,0,0,-0.013,11.583,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z"></path></g><g transform="matrix(.013,0,0,-0.013,20.566,0)"><path d="M46 650V622C120 617 128 613 128 525V125C128 42 120 34 40 28V0H311V28C221 34 212 39 212 124V281L286 262C297 261 316 261 331 263C429 275 526 338 526 468C526 533 501 579 462 609C422 638 364 650 293 650H46ZM212 559C212 588 215 600 223 606C230 613 251 618 279 618C361 618 430 572 430 464C430 337 350 302 285 302C252 302 225 309 212 314V559Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.82,0)"><path d="M517 162C503 123 484 88 467 68C445 42 417 34 341 34C291 34 256 34 237 47C219 59 213 81 213 128V317H308C395 317 402 311 415 240H444V431H415C403 364 398 356 307 356H213V584C213 613 215 616 246 616H322C394 616 421 609 435 587C448 566 458 544 467 502L496 506C493 557 488 625 488 650H42V622C120 616 128 612 128 523V125C128 43 120 35 29 28V0H511C520 31 540 125 546 158L517 162Z"></path></g></svg></span></td><td class="align_center"><svg height="12.1567pt" id="M152" style="vertical-align:-3.40336pt" version="1.1" viewbox="-0.0498162 -8.75334 49.1238 12.1567" width="49.1238pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.644,0)"><path d="M390 111C344 68 312 56 269 56C212 56 118 102 118 241C118 346 175 401 241 401C277 401 312 388 342 360C350 352 355 349 361 349C372 349 394 371 394 392C394 403 391 411 378 422C362 436 329 449 288 449H287C250 449 190 432 138 392C71 341 37 274 37 197C37 90 112 -12 238 -12C297 -12 363 32 407 90L390 111Z"></path></g><g transform="matrix(.013,0,0,-0.013,14.143,0)"><path d="M390 111C344 68 312 56 269 56C212 56 118 102 118 241C118 346 175 401 241 401C277 401 312 388 342 360C350 352 355 349 361 349C372 349 394 371 394 392C394 403 391 411 378 422C362 436 329 449 288 449H287C250 449 190 432 138 392C71 341 37 274 37 197C37 90 112 -12 238 -12C297 -12 363 32 407 90L390 111Z"></path></g><g transform="matrix(.013,0,0,-0.013,19.733,0)"><path d="M518 50L491 51C452 54 444 60 444 110V444C429 441 405 437 377 434C348 430 314 427 287 426V403L323 397C356 392 365 386 365 333V99C331 66 293 51 257 51C212 51 169 75 169 164V299C169 366 169 413 172 444C156 441 128 437 101 433C75 430 50 427 29 426V403L57 397C82 391 90 386 90 333V137C90 29 147 -12 214 -12C241 -12 262 -4 291 13S342 48 365 65V-6L371 -12C390 -7 415 1 441 8C468 15 496 21 518 24V50Z"></path></g><g transform="matrix(.013,0,0,-0.013,26.636,0)"><path d="M181 342V451C133 431 89 419 40 411V388C98 381 102 377 102 311V104C102 38 95 32 33 26V0H263V26C186 32 181 38 181 104V287C203 343 235 372 261 372C277 372 289 366 304 352C310 346 318 345 330 350C349 359 362 379 362 399C362 422 338 449 304 449C256 449 213 393 183 342H181Z"></path></g><g transform="matrix(.013,0,0,-0.013,31.459,0)"><path d="M433 39L423 65C413 59 399 54 387 54C370 54 352 69 352 114V299C352 352 342 392 307 422C285 440 255 449 225 449C168 437 102 399 75 379C56 365 44 353 44 339C44 315 69 296 87 296C101 296 111 303 116 319C124 349 133 371 145 385C156 397 171 404 190 404C241 404 275 364 275 291V274C253 256 180 229 120 209C65 190 39 159 39 110C39 47 88 -12 159 -12C189 -12 237 25 277 52C282 35 288 21 301 8C312 -3 333 -12 348 -12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z"></path></g><g transform="matrix(.013,0,0,-0.013,37.166,0)"><path d="M390 111C344 68 312 56 269 56C212 56 118 102 118 241C118 346 175 401 241 401C277 401 312 388 342 360C350 352 355 349 361 349C372 349 394 371 394 392C394 403 391 411 378 422C362 436 329 449 288 449H287C250 449 190 432 138 392C71 341 37 274 37 197C37 90 112 -12 238 -12C297 -12 363 32 407 90L390 111Z"></path></g><g transform="matrix(.013,0,0,-0.013,42.874,0)"><path d="M478 437H297V411C355 404 361 392 349 355C329 292 285 174 257 106L167 356C153 394 158 404 205 411L204 437H2V411C57 404 66 391 88 336C117 265 162 144 202 30C208 13 209 0 204 -15C199 -28 191 -49 173 -84C149 -128 130 -153 98 -172C81 -184 73 -193 73 -209C73 -233 101 -257 129 -257C143 -257 156 -252 161 -232C175 -179 197 -122 264 38C333 203 364 286 390 339C417 395 425 403 478 411V437Z"></path></g></svg> (%)</td></tr><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr><td class="align_left" rowspan="3">Unidirectional dual-layer LSTM</td><td class="align_center">1</td><td class="align_center">1</td><td class="align_center">731372.9356</td><td class="align_center">855.2034</td><td class="align_center">0.9963</td><td class="align_center">2.9109</td><td class="align_center">46.6410</td></tr><tr><td class="align_center">5</td><td class="align_center">1</td><td class="align_center">739981.2836</td><td class="align_center">860.2216</td><td class="align_center">0.9962</td><td class="align_center">2.8791</td><td class="align_center">47.7974</td></tr><tr><td class="align_center">8</td><td class="align_center">1</td><td class="align_center">751150.9776</td><td class="align_center">866.6897</td><td class="align_center">0.9962</td><td class="align_center">2.8881</td><td class="align_center">46.9163</td></tr><tr class="table-tr"><td colspan="8"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Performance comparison with different sizes of the time window of the LSTM model.</div>

Computational Intelligence and Neuroscience

tab3

Table 3

Table 3: Portfolio Optimization Model for Gold and Bitcoin Based on Weighted Unidirectional Dual-Layer LSTM Model and SMA-Slope Strategy 