Agent is an autonomous entity．It has the knowledge，goal and capability Agents in a multi agent system serve the same goa[and an agent can cooperate with others to do work efficiently．This paper put forward that the forecasting support system can been designed as a multi—agent system．Every qualitative and quantitative forecasting method is designed as an agent，which has the method of forecasting．the capability of knowledge processing and coperating with other agents．As the system running，each agent improves its capability by learning and also improve the forecasting accuracy of the system．