Design Of Programmed Trading Strategy For Futures Spot Arbitrage Of Stock Index Futures

In 2010,China Financial Futures Exchange pushed CSI 300 stock index futures contract in 2010,procedural trading has developed rapidly.Researchers at home and abroad have made an endless stream of research on futures arbitrage and programmed trading of stock index futures.Based on the existing research,this paper designs the programmed trading strategy of stock index futures futures futures arbitrage,uses computer program to control the trading scale and timing,avoids the influence of human subjective behavior factors,so as to obtain relatively reasonable arbitrage income and provide ideas for arbitrage investors.The design of stock index futures arbitrage strategy focuses on determining the non arbitrage range and arbitrage opportunity.When determining the non arbitrage range,this paper first selects Cornell and French’s holding cost model to determine the non arbitrage range of the perfect market.Secondly,considering the different interest rates of investors’ borrowed funds and loaned funds,the dividends paid by the spot target of stock index futures,the term and spot handling fees and impact costs incurred by investors during trading,and uses ETF to fit the tracking error of spot,The margin ratio of futures trading and the actual factors such as the need for investors to pay margin and interest in the process of securities lending reconstruct the non arbitrage range of stock index futures in the imperfect market.In terms of determining the arbitrage opportunity,when the price of the stock index futures contract breaks through the non arbitrage range upward,open the position for forward arbitrage trading,that is,buy the spot contract and sell the stock index futures contract.When the price of the stock index futures contract returns to the non arbitrage range,carry out the reverse operation to close the position,that is,sell the existing goods contract and buy the stock index futures contract to offset the position,If the price of the stock index futures contract continues to rise after the opening,it needs to close the position forcibly in time to stop the loss.Because this paper considers the high handling fee of closing the current position of the stock index futures contract,it selects the closing price on the opening day as the stop loss line,so as to obtain the maximum income under controllable risk.Reverse arbitrage is just the opposite.In the execution of trading strategy,this paper uses MATLAB to design a trading program to realize automatic ordering.Finally,this paper selects the extant month contract,latter month contract,current quarter contract and next quarter contract of CSI 500 stock index futures with long-term and stable positive correlation and CSI 500 etf as the test object of arbitrage strategy to test the designed programmed arbitrage strategy.The arbitrage results show that during the test period,the current month contract,the next month contract,the current quarter contract and the quarterly contract of CSI 500 stock index futures can be arbitraged with the current arbitrage of CSI 500 ETF,but the yield is different.The yield of the current quarter contract is the highest,the contract yield of the current month is the second,and the next month contract and the quarterly contract will produce losses,which need to be considered carefully.The yield of the four contracts at the same time is higher than that of a single contract,That is,the gains of the current quarter contract and the current month contract can make up for the losses of the other two contracts,so investors can use the four contracts for portfolio arbitrage when funds allow.Specifically,when CSI500 maintain in the stable stage,the contract in the quarter can obtain the highest yield of 19.73%,and in the fluctuation stage,the yield of the contract is 2.89%,and the overall yield level is the highest.In the current quarter,the yield of the contract was4.74% in the stable stage and 5.28% in the fluctuation stage,followed by the yield.To sum up,the arbitrage strategy designed in this paper is reliable and valid,and the CSI500 stock index futures contract that is most suitable for arbitrage trading using this arbitrage strategy is the current quarter contract.