摘要：近年来，我们中国制造业快速发展，资源类的大宗商品铝等有色金属的需求也越来越多；带来大的贸易量，令中国的有色金属企业和贸易公司不断关注有色金属的价格波动.期货市场重要性越来越大，参与期货市场的人越来越多，交易量越来越大。期货市场迎来了许多企业和投资者。他们操纵期货市场进行投资和避险，提高自己的投资回报率。

本文就是在此背景下，研究方向是商品铝期货合约的套利策略程序化开发，套利是投资者们比较喜欢的投资方式。期货中套利是一种对收益稳定的交易方式，也是风险相对较小的交易方式，利润是通过合约间合理的价差/价比波动实现的。

本文将详细分析套利基础，以此分析建立跨市场套利交易的程序化策略模型，使用程序化交易软件进行策略回测验证策略的实用性，并讨论跨期套利简单原理；在理论研究的基础之上，统计不同市场铝的价差/价比进行分析，用相关的数据支持交易策略的开发提供，最后用实证对商品铝跨市套利交易的可行性进行验证，并在其他金属期货上验证策略，总结过程的遇到的难题，分析解决。

关键字：大宗商品,期货,套利策略,铝,程序化交易

Abstract：In recent years, China’s manufacturing industry has developed rapidly。The demand for non-ferrous metals, such as commodity aluminum, has also increased。As a result, China’s non-ferrous metals companies and trading companies are constantly paying attention to price fluctuations of non-ferrous metals。The importance of the futures market is growing。More and more people are involved in the futures market, and the volume of transactions is increasing。The futures market ushered in many companies and investors。They use futures market investment and hedging to improve their own Return on investment.

This article is in this context, the research direction is the procedural development of arbitrage strategies for commodity aluminum futures contracts, and arbitrage is the preferred investment method for investors。In futures, arbitrage is a stable trading method for earnings, and it is also relatively low risk。In terms of the trading method, profits are realized through reasonable price/price ratio fluctuations between contracts.

This article will analyze the arbitrage basis in detail to analyze the establishment of a programmatic strategy model for cross-market arbitrage trading, use programmatic trading software for the practicality of strategy backtesting and verification strategies, and discuss the simple model of intertemporal arbitrage; this is the basis of theoretical research。At the same time, we analyze the price/price ratio of aluminum in different markets, use relevant data to support the development and provision of trading strategies, and finally empirically verify the feasibility of commodity aluminum cross-market arbitrage trading and verify strategies on other metal futures。Summarize the problems encountered in the process, analysis and resolution.

Keywords: Aluminum,Futures,Arbitrage Strategies,Commodities, Programmatic Trading

目录 1

摘要 2

Abstract 2

一、绪论 3

1.1 课题的目的和意义 3

1.2研究思路和文章结构 4

1.3 国内外研究现状与发展趋势 5

二、套利的理论分析及特点 6

2.1 套利的理论分析 6

2.2 套利交易的特点 6

2.4跨期、跨市场套利 7

2.4.1 跨市场套利 7

2.4.2跨期套利 7

三、商品铝程序化投资相关研究 7

3.1铝商品简介 7

3.2程序化交易 8

3.3跨市套利交易的实现的条件 8

3.4商品铝跨市套利原理及模型建立 8

3.5程序化交易页面 14

3.5.1跨市策略铝合约 15

3.6策略优化 20

四、回测结果 22

4.1评价指标 22

4.2回测结果 23

4.3结论与讨论 30