中文摘要：

为了寻找最佳的配对交易仓位配比,首先使用最小距离法对20支基金间的距离进行排序,选择出最小距离的基金对,再用协整法确定基金配对的长期均衡关系。通过对具有长期均衡关系的基金对进行滚动回归,不断调整滚动回归的时间长度来确定最佳的开仓和平仓配对比率,并以一定的均衡残差为阈值确定开仓平仓水平,结果显示该种方法获得的收益要远远大于普通回归和同期基金指数收益。

英文摘要：

In order to find the best matching trading position, this paper selects the minimum distance mutual fund within 20 funds by the minimum distance method. Then the paper verifies the long-term equilibrium relationship of the funds by the method of Co-integration. The paper analyzed long-term equilibrium funds＇ rolling regression and used the constantly adjusted rolling regression time to fix the best ratio of opening position and closing position, and used the equilibrial residual as the threshold of position opening and closing level. The results show that the income obtained by this method is far greater than the general regression and the fund index income in the same period.