Quantitative Strategy Design Of China's Treasury Bond Futures Cross-Variety Arbitrage

The development of China's Treasury bond futures market is not smooth.The pre-mechanism system is not sound enough.supervision is not enough to lead to China's Treasury bond futures market slump.With the importance of Treasury futures increasingly prominent,China's 5-year Treasury bonds began trading again on September 6,2013.After less than two years,China's 10-year Treasury bond futures are also listed on March20,2015.China's Treasury bond futures market will start a new chapter.Treasury futures play a vital role both in improving the liquidity of the bond market,promoting long-term development of the bond market,or hedging interest rate risk,and enriching the investment strategy of institutional investors.Therefore,it is particularly important to design a quantitative strategy for cross-breed arbitrage to ensure that bond futures cross-breed arbitrage proceeds.The traditional way of investing over reliance on investors to determine the trend of the national debt futures market,which not only requires investors to have a high professional level,but also need investors to spend a lot of energy to focus on market conditions.Quantitative investment strategy will not change with the investor's mood and change.It strictly enforces the investment strategy given by the investment advice.And quantify the investment strategy will set a strict stop-loss measures,which can overcome the weakness of human nature and lead to huge losses.Not only that,the quantitative investment strategy can handle massive amounts of data in multiple ways,track market changes quickly and quickly,and discover new statistical models that can provide excess returns for new trading opportunities.At present,quantitative investment in the domestic investment community cut a striking figure.Whether in the stock market,commodity futures market and stock index futures market,investors are using quantitative investment in the way to obtain a steadyexcess returns.As China's national debt futures market is in its infancy,especially the10-year Treasury futures just listed soon,China's national debt futures market varieties of a single,only 5-year Treasury futures contracts and 10-year Treasury futures contracts.so for China's national debt futures cross Quantitative Investment Research on Commodity Arbitrage Trading.So there is little research on quantitative investment in China's national debt futures.Therefore,this paper introduces the principle of statistical arbitrage strategy based on cointegration method.And on the basis of this principle,we use matlab software to design a practical simulation trading system for Chinese national debt futures cross-variety arbitrage strategy.Then the simulated trading system was used to simulate the transnational breed of 5-year Treasury futures contracts and 10-year Treasury futures contracts.Finally,the analysis of the gains and risk indicators of the results of the sample and the sample arbitrage transaction shows that the strategy can obtain the stable excess returns both in the sample and in the sample,and control the maximum loss of the investment risk.Therefore,based on cointegration statistics arbitrage for China's national debt futures design cross-variety arbitrage strategy is effective.Not only can use the method of quantitative investment in China's national debt futures cross-variety arbitrage transactions to obtain a stable excess returns,but also for institutional investors to provide more investment strategy options.