Analysis Of Futures Cross-commodity Arbitrage Strategies Based On Cointegration

In recent years,China's futures market has entered a stage of rapid development.With the increasingly perfect trading mechanism,the market scale continues to expand,trading varieties continue to increase,and more and more investors are looking for opportunities in the futures market.As a commodity futures,oil futures has been receiving extensive attention from investors both at home and abroad.This paper uses soybean oil,rapeseed oil and palm oil as research objects,uses statistical arbitrage methods to construct arbitrage combinations,and studies crossvariety arbitrage trading strategies for oil futures.This paper first analyzes the price influencing factors among the three major varieties from the fundamentals,analyzes the correlation of the three,and prepares the theoretical foundation for the subsequent construction of the arbitrage model.Then,ADF test is used to prove the stationarity of the three groups of price sequences.Then they are paired to test the cointegration relationship.Then we get the residual error,optimize the arbitrage parameters,and construct the arbitrage model.In order to compare the results of different strategies,We make a combination arbitrage of the three varieties,use the price difference between the three to construct the index,and arbitrage through the relationship between the indicators and the moving average.By comparing the cumulative returns,annualized yields,maximum retracements,and Sharpe ratios for different combinations of different strategies,this paper concludes: First,statistical arbitrage strategies based on cointegration between two cross-species are superior to those based on Li index.Next,we can find that the group of rapeseed oil and palm oil has the best performance,and has the largest annualized yield and the smallest maximum pullback rate.Group of rapeseed oil and soybean oil is the worst among the three.This paper builds a cross-variety arbitrage model based on the method of cointegration for oil futures.It aims to design a practical oil futures arbitrage scheme for investors and provide investors with more choices.