With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretical model that can determine whether these strategies are effective, what the risks are, and how costly the strategies are. We built an agent-based cross-market platform that includes five stocks and one stock index future, and constructed an evaluation system for stock index futures trading strategies. The evaluation system includes four dimensions: effectiveness, risk, occupation of capital, and impact cost. The results show that the informed strategy performs well in all aspects. The risk of the technical strategy is relatively higher than that of the other strategies. Moreover, occupation of capital and impact cost are both higher for the arbitrage strategy. Finally, the wealth of noise traders is almost lost.

中文翻译：

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股指期货市场交易策略的成本收益分析

随着包括股指期货在内的多种衍生品进入资本市场，金融市场的交易策略逐渐丰富。但是，仍然没有理论模型可以确定这些策略是否有效，风险是什么，以及这些策略的成本有多大。我们构建了一个包含五只股票和一个股指期货的基于代理的跨市场平台，构建了股指期货交易策略的评价体系。评价体系包括有效性、风险、资金占用、影响成本四个维度。结果表明，知情策略在各个方面都表现良好。技术策略的风险相对高于其他策略。而且，套利策略的资本占用和影响成本均较高。最后，噪音交易者的财富几乎消失殆尽。