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Research on Treasury Bond Futures Trading Strategy Based on ARIMA Model

Zihan Zhang


This paper uses the ARIMA model to analyze the yield to maturity of China’s 10-year Treasury Bonds, and uses this yield rate to establish an investment strategy for 10-year Treasury Bond Futures (continuous in the current quarter). And then the strategy was back-tested in periods. In this paper, firstly, based on the ARIMA model, the full-sample fitting of the 10-year Treasury Bond yield to maturity series is carried out, and the fitting effect is confirmed. Then, the signal indicators and position sequence are established by comparing the iterative predicted value and the observed value. According to this method, the investment process of Treasury Bond Futures is simulated, and the return change of the strategy is quantified. Back-testing shows that this strategy tends to perform better in the volatile and bear market periods of the bond market but to underperform in the bull market period.


Treasury Bond Yield to Maturity; Treasury Bond Futures; ARIMA Model; Trading Strategy

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DOI: http://dx.doi.org/10.18686/fm.v5i3.2596