As a recognized low-risk strategy, statistical arbitrage has the advantages of high liquidity and low risk predictability. The basic idea is mean reversion, that is to say, if there is a certain stability relationship between the prices of two highly correlated investment targets, then there will be arbitrage opportunities when their prices deviate from the trend, because of this deviation The trend will be corrected in the future. We use the same currency spot and contract, perpetual contract and quarterly delivery, and the price difference between different trading platforms due to market fluctuations to capture stable profit opportunities.

*Due to the particularity of the perpetual contract, it is a substitute for the spot contract to a certain extent, so the perpetual and delivery hedging are both simulated period and spot strategies, but in fact, both are delivery contracts with convenient leverage conditions and are intertemporal Arbitrage, under extreme market conditions, it is easy to produce extreme premiums due to factors such as liquidation.

As shown in the figure, when there is a large price difference between the current quarter and the perpetual contract, hedging is carried out. Since the current quarter’s contract is often higher than the perpetual contract, it is usually short the current quarter contract and long the perpetual contract (bear market). on the contrary). When the price converges or the price crosses due to sharp fluctuations, the position is closed to make a profit.