How to do return forecasting

[liuxu77]

Dear authors, thank you for the great work!
I have a question regarding the return forecasting setting in the paper. From what I understand, the model input consists of open, high, low, close, and optionally volume and amount. If I would like to perform return forecasting, how should I include return as part of the model input?

[shiyu-coder]

Thanks! For your question, the model's prediction is about a K-line sequence for a period of time in the future. We can directly use the close price at the last time point and the close price at the current time to calculate the return as the prediction result for return forecasting.

[liuxu77]

Thank you much for the answer!