What are the futures arbitrage portfolios suitable for long-term tracking？

Arbitrage focuses on the price difference changes of contracts or related varieties in different months. So many listed varieties and main contracts are already so many, and other contracts are not dazzling. In fact, the combination suitable for long-term tracking needs to have several characteristics:

First, the transaction volume is large

Arbitrage is the regression of the price difference. If the trading volume is small, it is easy to slip when entering the market first, and it is disadvantageous when opening the position, and it is also a problem to leave the market. In addition, the volume is small, the price difference is prone to abnormal changes, and it is not easy to return to normal, which is fatal for contrarian opening, so the first condition is that the volume is large so that the price is representative.

The combination that is close to delivery is not recommended to participate.

Second, the spread fluctuation is seasonal and regular.

Most of the combinations that meet this condition are agricultural products. The trend of agricultural products is seasonal, and it is the same when it is reflected in the price difference. The expansion and contraction of the price difference will have a certain range, which is easy to judge. Some varieties have regularity, such as eggs. The price of eggs in September is often the highest price in the whole year and the lowest price in May. When the construction industry was hot at the beginning of the year, the price of thread was mostly higher than that of hot coil, and it returned after the peak season. This kind of combination can also be concerned.

Third, the price difference fluctuates greatly

This is easy to understand. It is easy to deviate when the fluctuation is large, and there is profit space. Therefore, if the price difference between months is too small, there is no way to participate. For example, there is generally not much room for colored cross-month combinations.

Based on the above conditions, soybean oil-palm oil, soybean meal-rapeseed meal, plastic -pp, soybean oil-rapeseed oil, hot coil-thread, coking coal-coke, corn-starch, thread-iron ore, soybean meal-soybean, soybean-soybean oil were screened out, and it depends on the opportunity of the cross-month combination of the same variety.

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