Sentiment-Augmented RNN Models for Mini-TAIEX Futures Prediction

Accurate forecasting in low-liquidity futures markets is essential for effective trading. This study introduces a hybrid decision-support framework that combines Mini-TAIEX (MTX) futures data with sentiment signals extracted from 13 financial news sources and PTT forum discussions. Sentiment features are generated using three domain-adapted large language models—FinGPT-internLM, FinGPT-llama, and FinMA—trained on more than 360,000 finance-related texts. These features are integrated with technical indicators in four deep learning models: LSTM, GRU, Informer, and PatchTST. Experiments from June 2024 to June 2025 show that sentiment-augmented models consistently outperform baselines. Backtesting further demonstrates that the sentiment-enhanced PatchTST achieves a 526% cumulative return with a Sharpe ratio of 0.407, highlighting the value of incorporating sentiment into AI-driven futures trading systems.