一种基于残差的单品种期货套利策略构建及有效性研究——以铜为例

Strategy Construction on Single Variety Futures Arbitrage based on Residual and Effectiveness Study:Taking Copper as an Example

选取上海期货交易所沪铜主力合约2011—2015年日收盘价及20日均线日收盘价作为研究对象,通过对铜期货合约样本内的价格序列进行协整分析,并基于协整回归方程的残差构建单品种期货合约的统计套利投资策略。利用Va R确定交易阈值和风控阈值,分别构造策略一和策略二,并构造有色金属期货指数买入并持有策略作为这两种投资策略的比较基准。实证结果表明:策略二无论是年化收益还是夏普比率均高于有色金属期货指数买入并持有的被动型投资策略,且能获得超额收益,表明单品种铜期货合约投资的策略二是有效的。这为投资者构建一种新的期货投资策略提供了决策参考与方法借鉴。

This paper selected Shanghai copper main contract 2011- 2015 closing price and 20 day moving average closing price in Shanghai Futures Exchange as study object, and then made a cointegration analysis on the price sequence in the sample of copper futures contracts, at same time constructed a statistical arbitrage invested strategy of single species futures contract Based on of residuals cointegration regression equation. The author confirmed the transaction threshold and risk control threshold by VAR, building strategy 1 and strategy 2, then constructed non- ferrous metal futures index to buy and hold strategy as the compare benchmarks for this two kinds of invested strategy. The result showed that: No matter the annualized earnings or sharp ratio the strategy 2 all can be higher than the passive investment strategy of non-ferrous metal futures index to buy and hold, and get excess returns, which proved strategy 2’s effectiveness of single- species copper futures contract investment. This paper provided a new decision reference and reference of futures investment strategy for investors.