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The Spot-Futures Arbitrage Strategy is a quantitative trading strategy that aims to profit from the price differences between a stock index futures contract and its underlying spot market. By exploiting these pricing inefficiencies, the strategy can generate consistent returns with minimal risk.
The strategy is based on the concept of the lead-lag relationship between futures and spot prices. This relationship can be analyzed using econometric models, such as cointegration, to determine the optimal entry and exit points for the strategy. The Spot-Futures Arbitrage Strategy also employs a portfolio construction technique to track the trend of futures and achieve higher returns with lower risk.
The strategy can be customized to suit specific market conditions and can generate consistent returns with minimal risk.
To learn more about the Spot-Futures Arbitrage Strategy, please visit our GitHub repository. Please note that the repository is currently private, so please send us a request to gain access.