arbitrage direction

buying time

closing time

in-sample

2 days out of sample success rate

5 days out of sample success rate

positive

9:31

9:40

70.0%

100%

60.0%

positive

9:55

10:00

70.0%

100%

60.0%

negative

10:25

10:30

70.0%

100%

80.0%

negative

10:45

10:50

60.0%

50%

60.0%

negative

10:55

11:00

60.0%

50%

60.0%

positive

13:20

13:45

90.0%

100%

60.0%

positive

13:50

13:55

50.0%

100%

100.0%

negative

14:00

14:05

70.0%

100%

100.0%

positive

14:15

14:25

70.0%

50%

60.0%

positive

14:30

14:45

60%

0%

60.0%

positive

14:50

14:55

70%

50%

40%

negative

14:55

15:00

80%

100%

60%

the total success rat

69.2%

83.3%

66.7%

profit (yuan)

41951.54

7628.28

15424.53

the biggest profit (yuan)

4284.81

1521.907

3121.601

the biggest loss (yuan)

−2877.28

−1799.34

−1799.34