中文摘要：

股指期货与融资融券的启动，开启了中国做空和对冲时代的大门，协整配对的套利交易将会扮演重要角色。在构建交易策略过程中，目前大多数交易者都在交易区间和止损区间的设置上采取经验值，典型的做法是分别取一倍和两倍的标准差。事实上，这种做法不能保证获得最大的套利利润，甚至会出现亏损。本文认为区间的参数选择是一个慎重抉择的过程．应该通过不断地调试以选择最优参数，以使该交易策略体系更好地发挥作用。

英文摘要：

The start-up of stock index futures and financing securities lead China to the times of short and hedge, and co-integra-tion pairing trading will play an important role. In the process of constructing the trading strategy, at present, most traders use experi- ence value when setting the trading range and stop loss range, and the typical way is to take one and two times of the standard deviation respectively. In fact, this kind of practice cannot guarantee the biggest arbitrage profits and even cause losses. The paper thinks that the range parameter selection is a discreet process of the choice and the optimal parameters should be selected constantly by debugging to make the trading strategy system work better.