With the internationalization of the RMB and the gradual relaxation of investment restrictions in the A-share market, the volatility of stock prices in domestic market has further intensified, increasing investors' investment risks. Under such circumstances, pair trading, as a relatively stable investment portfolio strategy, is gradually favored by investors. The bank constituent stocks in the Shanghai Stock Exchange 50 Index were used as the research object, and the minimum distance method was used to carry out stock matching for the investment strategy, and the minimum distance trading strategy and the cointegration theory trading strategy were used to measure the trading performance respectively, and the trading strategy was evaluated. It is found that pairing transactions can get good benefits in the domestic market.