The arbitrage strategy in the crude oil futures market of shanghai international energy exchange

This research conducts an empirical study on arbitrage opportunities in the crude oil futures market of Shanghai International Energy Exchange in the period of China’s economic change, 2020–2022. We use the daily closing price data of crude oil futures sc2303 and sc2212 to test whether there is a statistical arbitrage opportunity in China’s crude oil futures market. Taking the most commonly used 12 + 6 rolling window mode in statistical arbitrage, we select several one-year periods that pass the cointegration test during the formation period and apply the optimal opening, closing, and stop loss thresholds based on the highest yield during the formation period to the trading period. Finally, we draw the following conclusions: (i) the pair trading strategy based on the cointegration model is profitable in China’s crude oil futures market; (ii) the 12 + 6 window model can be applied to the pair trading strategy based on China’s crude oil futures. Our research proves the effectiveness of pair trading strategy in China’s crude oil futures market for institutional and individual investors.