Flexible Target Prediction for Quantitative Trading in the American Stock Market: A Hybrid Framework Integrating Ensemble Models, Fusion Models and Transfer Learning

Stock price prediction is a core challenge in quantitative finance. While machine learning has advanced the modeling of complex financial time series, existing methods often rely on single-target predictions, underutilize multidimensional market information, and are disconnected from practical trading systems. To address these gaps, this research develops a hybrid machine learning framework for flexible target forecasting and systematic trading of major American technology stocks. The framework integrates Ensemble Models (AdaBoost, Decision Tree, LightGBM, Random Forest, XGBoost) with Fusion Models (Voting, Stacking, Blending) and introduces a Transfer Learning method enhanced by Dynamic Time Warping to facilitate knowledge sharing across assets, improving robustness. Focusing on ten key stocks, we forecast three distinct momentum indicators: next-day Closing Price Difference, Moving Average Difference, and Exponential Moving Average Difference. Empirical results demonstrate that the proposed Transfer Learning approach achieves superior predictive performance and trading simulations confirm that strategies based on these predicted momentum signals generate substantial returns. This research demonstrates that the proposed hybrid machine learning framework can mitigate the high information entropy inherent in financial markets, offering a systematic and practical method for integrating machine learning with quantitative trading.