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The Co-integration Pairing Trading Strategy Based on the Parameter Adjustment:the Theory Model and Application
Author(s): 
Pages: 11-16
Year: Issue:  1
Journal: West China Finance

Keyword:  参数调整 协整 配对交易策略;
Abstract: 股指期货与融资融券的启动,开启了中国做空和对冲时代的大门,协整配对的套利交易将会扮演重要角色。在构建交易策略过程中,目前大多数交易者都在交易区间和止损区间的设置上采取经验值,典型的做法是分别取一倍和两倍的标准差。事实上,这种做法不能保证获得最大的套利利润,甚至会出现亏损。本文认为区间的参数选择是一个慎重抉择的过程,应该通过不断地调试以选择最优参数,以使该交易策略体系更好地发挥作用。
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