基于协整检验与AT平台实现的配对交易策略研究

Research on Pair Trading Strategy Based on Cointegration Test and AT Platform Implementation

摘要: 随着全球金融市场波动性加剧，传统单边交易策略因难以对冲系统性风险而面临收益稳定性不足的挑战。配对交易作为市场中性策略的经典范式，通过捕捉资产对的长期均衡关系实现套利，但其在国内实践中仍存在标的筛选缺乏严格统计检验支撑、策略实现依赖原生编程环境导致落地门槛较高等问题。本文聚焦配对交易策略的理论原理与AT量化平台实现过程，通过选取具有长期协整关系的股票对构建市场中性策略框架。研究首先采用协整检验(EG两步法)筛选有效交易标的，基于价差Z-score模型设计交易信号生成机制，随后在AT平台完成策略编码与回测验证。实验结果显示，该策略在2016~2021年A股市场实现超额积累收益率44.81%，年化收益率6.59%，夏普比率0.52，最大回撤18.31%，显著优于同期沪深300指数表现。研究表明，配对交易在震荡市中具备稳定获利能力，AT平台的模块化设计可有效降低策略实现门槛，为量化投资者提供实用参考。

Abstract: With the increasing volatility of global financial markets, traditional unilateral trading strategies are facing the challenge of insufficient return stability due to the difficulty of hedging systemic risks. As a classic paradigm of market neutral strategy, pair trading realizes arbitrage by capturing the long-term equilibrium relationship of asset pairs, but in domestic practice, there are still problems such as lack of rigorous statistical test support for underlying screening, and high threshold of implementation due to the reliance on native programming environment. In this paper, we focus on the theoretical principles of pair trading strategy and the realization process of AT quantitative platform, and construct a market neutral strategy framework by selecting stock pairs with long-term cointegration relationship. The research firstly adopts the cointegration test (EG two-step method) to screen effective trading targets, designs the trading signal generation mechanism based on the spread Z-score model, and then completes the strategy coding and backtesting validation on the AT platform. The experimental results show that the strategy achieves an over-accumulation return of 44.81%, annualized return of 6.59%, Sharpe ratio of 0.52, and maximum retracement of 18.31% in the A-share market from 2016~2021, significantly outperforming the performance of CSI 300 index in the same period. Research shows that pair trading has a stable profitability in the oscillating market, and the modular design of AT platform can effectively reduce the threshold of strategy implementation, providing practical reference for quantitative investors.