Research On Futures Trading Strategies Based On Granger Causality Test

The futures industry is an emerging financial industry.Futures has gradually become an important investment tool to the individuals,companies and institutional investors.Futures investment has the advantages of high returns,low barriers to enter,convenient enter and exit,which make it attractive to investors to invest money on futures. It has been more than20years since it established in China.The prospect of futures market is very good.How to get more revenues on futures investment and trade,this is an attractive question to the investors.Futures trade strategies can provide a whole solution of the theory and method for profitable investment,including conditions of open,the time of stop,and the indicators of the effect of strategy(such as the cumulative yield,sharp ratio,winning percentage).This paper provides a method to improve the effect of the futures trading.If the price of two future goods has the granger causality between each other,the price of each goods guide another,this is a strong correlation between each other.we can use one futures’information to guide another futures’trading.This method can filter the noise data of the futures in trading.And it can also improve the effect of the trade,such as the ratio of profit,the cumulative yield,the average income,sharp ratio.In order to test our ideas,the empirical research of this paper ues two common trading strategies,such as VolEx,MACO.And we trade soybean meal,rebar,use the1min and5mins data type.First we calculate the results of the trading which based on their own information.Then we find another two futures goods which have the granger causality with the soybean meal and rebar,they are soybean oil and copper.Then we modify the trading rules of the VolEx and MACO,we use the soybean oil’s information and the copper’s information to guide the trade of soybean meal,rebar.Finally we calculate the results of the trading. We can infer the conclusion that the results of the modified trading methods are better than the results of initial trading methods.This paper starts our research with the effect of the grange causality test.First we tell that the price of two futures goods have the relationship of mutual guiding if they have the granger causality.Then we find two pairs of futures good which have granger causality between each other,they are soybean oil and soybean meal,copper and rebar.After that,we tells the principal rules of VolEx and MACO.Finally,we do the empirical research,we use the soybean meal and rebar to trade under the trading strategies of VolEx and MACO calculate the results of the trade.Then we modified the trading conditions,ues the information of the soybean oil and copper to guide the trade of soybean meal and rebar. We calculate the effects of the trade.The contrast of the results tells us that the modified method is useful,both in theory and in empirical research.