Research On The Construction And Application Of Futures Investment Strategy

Futures market has the function of hedging,research on hedging strategy has been mature.And for the close linkage of the futures market and the spot market,achievement on arbitrage strategy are numerous,but research on the speculation strategy is scarce.So far research on speculation strategy has been in favor of Fundamental analysis and technical analysis.Therefore,this paper focuses on the research and utilization of speculative strategy,and developing speculation strategy of the copper by using statistical arbitrage strategy based on the cointegration,and constructing the non-ferrous metals futures index as a target standing for market mean-profit for comparing,then analyzing the strategy whether there is excess profits.This paper test if there is the cointegration relationship between the closing price of the K-line and the 20 days(60 days)moving average line.If there is,we construct the cointegration regression equation,then extract the residuals from the cointegration regression equation to construct investment strategy of a single variety contract based on statistical arbitrage,using the VaR method to fix the transaction threshold on ?1? and the risk management threshold on ?1.96?.Then we compared the stragetegy which transaction threshold fixed on ?0.75? and risk management threshold fixed on ?1.96?,which Vidyamurthy(2004)proposed.In addition,compared to the traditional investment strategy that of to buy and hold non-ferrous metals futures index.Empirical results show that strategy of transaction threshold on ?1? and the risk management threshold on ?1.96? Perform better than the strategy which Vidyamurthy(2004)proposed.And the earnings and Sharp ratio of the four single species investment strategies on copper are higher than the traditional passive investment strategy,which is to buy and hold the non-ferrous metals futures index.These four single species investment strategies on copper achieve excess returns,telling us that they are designed successfully,and The the copper futures market is in the weak form of efficiency.Finally,further studied on the application of single variety investment strategy based on statistical arbitrage is carried out.We found that the correlation of the daily closing price of K-line and the selected moving average line,and the fitting degree of the co integration equation,and the period of residual mean reversion,and whether the residual overflow again after the transaction signal is issued play an important impact on the performance of the strategy.