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Design And Analysis Of Cross-variety Arbitrage Strategy For Commodity Futures Based On Cointegration Method

Posted on:2019-03-06Degree:MasterType:Thesis
Country:ChinaCandidate:S Y WangFull Text:PDF
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As a derivative product,commodity futures has the function of price discovery and hedging,and its resource allocation function also strongly promotes the development of the market economy.As commodity futures become more and more important,trading systems,risk management systems,etc.are constantly being perfected,and opening night trading is one of them.At the same time,more and more commodity futures have been introduced into the market for open trading,and the number of linked portfolios has increased.Therefore,based on the correlation between the spot varieties,the cross-variety arbitrage of commodity futures can be carried out according to the law of the spread of the corresponding futures varieties.With the increase in the number of commodity futures and the extension of transaction time,traditional investment methods no longer apply to the era of fast-paced information.Based on the development of computer technology,quantifying transactions has become the mainstream of investment methods,creating more trading opportunities for investors.Quantitative transactions can efficiently process a large amount of data information,and can also rationally formulate investment plans,and their advantages are constantly highlighted.Commodity futures,characterized by leveraged trading,two-way trading,and T+0,are undoubtedly more suitable for quantitative investment.Therefore,the design and analysis of futures trading strategies has gradually become a focus of concern in all walks of life.Quantitative trading includes statistical arbitrage and other methods.In statistical arbitrage,cointegration model is a common method.Cross-variety arbitrage of futures is also one of the applications of statistical arbitrage.However,in the existing co-integration strategy research,the sample range is usually too small and not involved in the night trading,which makes the advantages of quantitative investment not be fully utilized,and the results of the profit of the co-consolidation have not ruled out chance.In view of this,first of all,this article improves the cross-variety strategy of existing commodity futures.Secondly,combining the selection of active varieties,the analysis of economic ties,and the correlation test,the eligible trading targets are selected from the entire commodity futures market.Finally,using the strategy of widening this trading strategy to write code to build a one-minute high-frequencyarbitrage strategy,backtesting in the two trading hours of the Japanese and Japanese and night trading,analysis of the profitability of the strategy,and comparison Backtest results to analyze the impact of the night trading system on the strategy.The expansion of the scope of futures varieties and the comparison test of the presence or absence of night trading have all tested the universality of the strategy,and the backtest results from 2016 to 2017 indicate that in the 20 pairs of combinations that only participate in the Japanese trading,14 For performance earnings,the proportion of the profit portfolio is 70%,and the addition of the night trading system makes 13 pairs of 16 pairs participating in the daily trading plus night trading,and the proportion of the profit portfolio is 81.25%.The profitability of this strategy.Among them,the average annualized rate of return was 27.59% and 19.21% in the Japanese market,the Japanese market,and the Japanese market respectively,and the Sharpe ratios were 0.62 and 0.47 respectively.From the results of the comparison,the overall development of the Japanese trading hours alone can make the strategy have greater profit margins with the same degree of risk.
Keywords/Search Tags:quantitative trading, commodity futures, statistical arbitrage, cointegration model, night trading mechanism
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