#套利交易策略 Spot-Futures Basis Arbitrage Strategy

When the Bitcoin futures price is higher than the spot price (positive basis), a "buy spot + sell futures" arbitrage combination can be executed. Taking the data from March 2024 as an example, the annualized basis for CME quarterly contracts reached 18%, allowing arbitrageurs to lock in risk-free returns through synchronized operations. Key points: 1) It is necessary to calculate the erosion of returns by the funding rate; 2) Withdrawal delays at exchanges may lead to convergence of price differences; 3) The best operating window usually occurs during periods of market exuberance. Historical backtesting shows that this strategy can achieve an average annualized return of 25%-35% during the mid-stage of a bull market.