This paper analyses total logic of the future hedge decision support system based on the characteristics of hedge operation. Artificial neural network expert system is adopted to forecast the tendency of future market. The ANN model is set and its structure is carefully designed. In the ANN model as prediction of future price, parameters of the model are dynamically changed in order to search preferable effect of prediction. This model has been applied to the real cases of forecasting of future, and the analysis of application of prediction result is given． At the same time，the structure and function of the DSS are given，which have stated significance for supporting decision of hedger