Research On The Strategy Of National Debt Futures Trading

Treasury bond future has witnessed over four decades development since America launched future contrast of 90-day Treasury bond for the first time in 1976.Thanks to a long-time development,it enjoys a relatively perfect operation in various trade strategies on markets at home and abroad.After almost two decades suspension of Treasury bond trade since “327 Treasury Bond Future Scandal” in 1995,China newly issued a 5-year Treasury bond future contrast in Sep.6th,1995,after adequate preparation.Therefore,it is imperative to issue some proper trade strategies in accordance with features of such a Treasury bond future.The paper,while starting from the characteristics of newly lunched Treasury bond future,illustrates principles of hedging strategy and arbitrage trading strategy.Based on latest trading date of the bond future after being re-issued,the paper establishes a basis arbitrage model,historical simulation method model for calendar spread arbitrage and statistical arbitrage model by collecting one-minute high-frequency transaction data.With assistance of programme wrote by MATLAB,it finds out the optimal combination of starting transaction point,stop-loss point and closing point from sample data of model established.After substituting the optimal combination with data validation,it concludes an annual yield of arbitrage as 4.27% on the basis of the data validation,which is higher than yield of coupon rate of cash treasury bonds about one percent point.Additionally,it proposes another optimizing strategy for arbitrage.Although in a relatively sluggish trading market with the IRR of the cheapest-to-delivery as-0.1619% only,it can achieve an IRR up to 3.573% of the cheapest-to-delivery through subscribing ETF,namely,the arbitrage profit reaching 3.573%.If proper time and point selection being achieved,it could realize an annual yield of arbitrage up to 7.74%,higher than yield rate of face value of cash treasury bonds about four percent points.As to calendar spread arbitrage,due to its margin trade,the paper concludes an annual yield of calendar spread arbitrage as 58.9% on the basis of data validation through historical simulation method,while an annual yield up to 143.6% through statistical arbitrage method,delivering a considerable profit.In terms of yield,statistical arbitrage method is more preferable than historical simulation method in calendar spread arbitrage conspicuously.