Research On Quantized Trading Strategy Of Statistical Arbitrage In Brin Channel

Under the background of the rapid development of cloud computing,big data and artificial intelligence,the gradual improvement of China's financial system and the gradual improvement of financial futures products promote the further development of quantitative investment in China.Five-year treasury bond futures and ten-year Treasury bond futures are listed and traded in 2013 and 2015 respectively.The price is becoming more stable and reasonable.The price difference between the two kinds of treasury bond futures is stable in a reasonable interval for a long time,and there will be no big deviation.Therefore,there is a big arbitrage opportunity.However,at present,the domestic research on these two kinds of futures products is basically cross-term arbitrage.There are little substance research of the two kinds of treasury bond futures can be used for reference by investors.Therefore,this paper devotes itself to the cross-variety statistical arbitrage of these two kinds of treasury bond futures.The time-price series of these two kinds of futures products are co-integrated tested by statistical methods.The test proves that there is obvious co-integration between five-year Treasury bond futures and ten-year Treasury bond.On this basis,this paper introduces the Boll as the threshold trigger of statistical arbitrage.Compared with the traditional spread trading,the Brin band channel can dynamically track the trend change of the spread and determine the reasonable opening time.Sensitivity tests are carried out on important variables such as transaction fee,average length and channel width.Finally,the optimal arbitrage mode is determined and the conclusion is drawn that there is a significant arbitrage opportunity between five-year Treasury bond futures and ten-year Treasury bond futures in China's market.This paper provides a reference model for individual and institutional investors to arbitrage treasury bond futures,and gives specific parameters,which has strong guiding significance and practical value,and provides a reference for the application of quantitative investment in the field of treasury bond futures.