I. Basic principles of the strategy

In addition to COMEX silver, there are London silver and Hong Kong silver in foreign markets. COMEX silver is most suitable for arbitrage in terms of liquidity and transaction cost.

The spread of silver at home and abroad fluctuates greatly, so the strategy of fixing Kaiping position is not suitable for silver arbitrage at home and abroad. It is very effective to use shock indicators as opening and closing signals, but it is essentially a price difference regression strategy.

Two. Rate of return analysis

The underlying assets of silver arbitrage trading at home and abroad are the main contracts of silver TD and COMEX of Shanghai Gold Exchange. Silver arbitrage at home and abroad has the following two characteristics:

(1) The quotation unit is different, so it needs to be converted into a unified price when calculating the price difference. The TD price of domestic silver is RMB/kg, and that of foreign COMEX silver is USD/oz, so it is necessary to convert the foreign price * RMB exchange rate/31.1035 *1000 to calculate the price difference.

(2) The contract units are different, and the weights need to be matched when opening positions. Domestic silver TD is 1kg, and foreign COMEX silver contract is 5000 ounces. Because foreign contracts are much larger than domestic contracts, before determining the number of contracts in the domestic market, determine the number of contracts in the foreign market to establish arbitrage positions, and the error is only 1kg.

Different from the fluctuation of gold spread around zero, the fluctuation range of silver spread at home and abroad is wider, so Kaiping's position fixing strategy is not suitable for silver arbitrage at home and abroad, and the shock index is considered as a signal to open and close positions.

Assuming that the initial capital is 654.38+million, considering foreign exchange factors, transaction costs and delay costs of gold exchanges, the historical data of March 2065, 438+065, 438+0-2065, 438+02 are tested by using the Bollinger Band, and the domestic and foreign silver adopts the Bollinger Band shock trading strategy. Short when the spread is higher than that of Brin, and long when the spread is lower than that of Brin.

When opening positions, we use three times the size of leveraged funds to open positions. Because of the large amount of foreign silver contracts, we first calculate the number of foreign positions under triple leverage, and then calculate the number of foreign positions to buy according to the scale of foreign holdings. In this case, the error of silver arbitrage unit is only 1 kg.

Due to the fluctuation of the white bank market, it is necessary to consider extracting Zijin from the profit market to make up for the loss market, and the exchange fee is not considered here. When the capital of a domestic and foreign market is less than 30% or more than 70% of the total capital, the exchange will balance it according to the ratio of 5:5.

Figure 1: silver arbitrage yield curve

Figure 2: Figure 2: Trend chart of silver price difference (20 10-20 1 1 year)

Dynamic extended regression strategy scheme

Using the bollinger band strategy to spread the silver price at home and abroad can achieve good results. In the above strategy, we simply use the bollinger band as a trading strategy and use triple leverage to open and close positions. Although the test results are good, there is still room for improvement. On the one hand, because arbitrage trading is a low-risk strategy, the utilization rate of triple leveraged funds is not sufficient. On the other hand, although the average regression characteristics of silver spread at home and abroad are stable, there will still be occasional spread expansion, so we can consider adding position control to the Bollinger Band strategy. From the fluctuation of spread, the average value of silver spread at home and abroad is not stable, so it is not suitable to use fixed point as the standard of position control (which is also the reason why we adopt the Bollinger Band strategy), so we consider the dynamic spread regression strategy: (1) the opening and closing signals are the same as the above-mentioned Bollinger Band strategy, that is, breaking through 2 times standard deviation and 3 times leverage trading; (2) On this basis, take the standard deviation of 3 times of the bollinger Band as the signal to add positions-for example, when the spread is made for many times, the spread will further break through the lower rail of 3 times of the preparation difference, and then add positions. (3) Use the lever up to 5 times. Similarly, considering the handling fees of the two exchanges, the extension fee of the Shanghai Gold Exchange and the exchange rate, assuming that the initial capital is 654.38+million, the historical data from April 2065.438+065.438+0 to March 2065.438+02 are tested. Figure 3:

Under the bollinger band coefficient, the historical data of March from 20 1 1 to 20 12 are tested without considering the impact cost. The yield of the dynamic regression strategy of price difference is 96.2% in less than one year, which is 18% higher than that of the bollinger band strategy.