Trade Strategies For Stock Index Futures Based On The Price Cycle

April16,2010, after nearly10years of research and discussion, China officiallylaunched the Hushen300index for the subject matter of the stock index futurescontracts, as China’s first financial futures, and gradually found its value, sets ofhedging and speculative functions play an important role. However, how to play theabove-mentioned function of the stock index futures, to avoid the risk ofmacro-environment to run, not only to in-depth study of stock index runmacroeconomic indicators, macroeconomic indicators will also need to quantitativeanalysis to obtain accurate impact conclusions can be established based on themacroeconomic operating environment sets Arbitrage model, trading strategies, risktips and circumvent.This article is based on the background and engage in intensive study, analysis ofprice levels in selected macroeconomic indicators, and establish a quantitative modelto reveal the relationship between price level and the stock index price, and finallythrough the model, and use stock index futures to hedge against the risk of asset pricevolatility due to massive price volatility.First，extension of the concept of the economic cycle to cycle fluctuations onthe price level in China, and price cycle is divided into four stages, the warning levelof2%as the sign of the beginning of inflation. The cyclical fluctuations ofcommodity prices and stock index, there are some common characteristics. Therefore,the interaction between the two linked to the establishment of stock index futuresstrategy model to explain intuitively.Followed by the sequence of the unit root test and the correlation between thetest, according to the co-integration model fitting model of the CPI on the stock priceindex and reserve data to predict the effect of test, concluded that the model fit andpredict effects were quite satisfactory. Finally, this model is a lagging indicator to explain the leading indicator.Therefore need to address the premise of a theory: the lagging indicator of futuretrends can accurately predict, as long as the trend is accurate, you can get as a leadingindicator of future trends of stock price index.