Based On The CSI 300 And Stock Index Futures Paired Research-Searching For The Best Trading Threshold

In 2010,China s A-share market officially launched the margin financing and securities lending business.With the development of the market,it later launched the stock index futures business.From the perspective of the development of the securities market,the emergence of these two businesses has accelerated the process of internationalization of China’s securities business,changing the situation that China s securities market can only be unilaterally long,providing investors with more choices and hedging tools.Pair trading is a neutral strategy that can run through bull and bear markets.In this paper,the cointegration theory is used to test the relationship between CSI 300 stocks and stock index futures,and then the cumulative rate of return under different thresholds is compared to determine the best position building and position threshold.Firstly,this paper briefly introduces the research background,current situation and theoretical basis of paired trading,and explains the modeling process in detail;Then,using the CSI 300 constituent stocks and IF1806 stock index futures as the research object,the Engle-Granger two-step method was used to test their co-integration relationship;Finally,Python software is used to construct portfolios with different thresholds,and the cumulative yields of portfolios under different thresholds are compared to determine the optimal threshold for building and closing positions.The empirical analysis results show that there is a cointegration relationship between the CSI 300 stocks and the IF1806 from January 24,2018 to December 24,2018;When the setting up threshold is 0.8 and the closing threshold is-0.6,the matching trading rate of CSI 300 and IF1806 is the highest,and the maximum rate of return is 30.24%(without deducting transaction fees).From this,we can conclude that paired trading can obtain good returns in China s securities market.At the same time,there are great arbitrage opportunities in China s securities market,and many supporting systems need to be improved.