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Crude oil price forecasting is an important task in energy management and storage. In this regard, deep learning has been applied in the literature to generate accurate forecasts. The main purpose of this study is to design an ensemble prediction system based on various deep learning systems. Specifically, in the first stage of our proposed ensemble system, convolutional neural networks (CNNs), long short-term memory networks (LSTMs), bidirectional LSTM (BiLSTM), gated recurrent units (GRUs), bidirectional GRU (BiGRU), and deep feedforward neural networks (DFFNNs) are used as individual predictive systems to predict crude oil prices. Their respective parameters are fine-tuned by Bayesian optimization (BO). In the second stage, forecasts from the previous stage are all weighted by using the sequential least squares programming (SLSQP) algorithm. The standard tree-based ensemble models, namely, extreme gradient boosting (XGBoost) and random forest (RT), are implemented as baseline models. The main findings can be summarized as follows. First, the proposed ensemble system outperforms the individual CNN, LSTM, BiLSTM, GRU, BiGRU, and DFFNN. Second, it outperforms the standard XGBoost and RT models. Governments and policymakers can use these models to design more effective energy policies and better manage supply in fluctuating markets. For investors, improved predictions of price trends present opportunities for strategic investments, reducing risk while maximizing returns in the energy market.