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INPUT:M(10,1,100,1);
INPUT:a(1.67,1,100,1);
INPUT:N(75,1,100,1);
INPUT:LOT1(1,1,10,1);
INPUT:LOT2(1,1,10,1);
runmode:0;
YOPEN:='IF12＄OPEN';
POPEN:='IF03＄OPEN';
MEAN:=MA(YOPEN-POPEN,M);
vd:=std(YOPEN-POPEN,N);
UPPERBAND:=MEAN+a*vd;
LOWERBAND:=MEAN-a*vd;
IF NOT(ISLASTBAR) THEN EXIT;
//做空價差
IF TBUYHOLDINGEX('800980','IF12',0)=0 AND TBUYHOLDINGEX('800980','IF03',0)=0 AND TSELLHOLDINGEX('800980','IF12',0)=0 AND TSELLHOLDINGEX('800980','IF03',0)=0 THEN
BEGIN
TBUYSHORT(YOPEN-POPEN>=UPPERBAND,LOT1,lmt,YOPEN,0,'','IF12');
TBUY(YOPEN-POPEN>=UPPERBAND,LOT2,lmt,POPEN,0,'','IF03');
END
//做空套利平倉
//IF TSELLHOLDINGEX('800980','IF12',0)>0 AND TBUYHOLDINGEX('800980','IF03',0)>0 and tenterbars>0 THEN
//BEGIN
TSELLSHORT(YOPEN-POPEN<=MEAN,LOT1,lmt,YOPEN,0,'','IF12');
TSELL(YOPEN-POPEN<=MEAN,LOT2,lmt,POPEN,0,'','IF03');
//END
//做多價差
IF TBUYHOLDINGEX('800980','IF12',0)=0 AND TBUYHOLDINGEX('800980','IF03',0)=0 AND TSELLHOLDINGEX('800980','IF12',0)=0 AND TSELLHOLDINGEX('800980','IF03',0)=0 THEN
BEGIN
TBUY(YOPEN-POPEN<=LOWERBAND,LOT1,lmt,YOPEN,0,'','IF12');
TBUYSHORT(YOPEN-POPEN<=LOWERBAND,LOT2,lmt,POPEN,0,'','IF03');
END
//做多套利平倉
IF TBUYHOLDINGEX('800980','IF12',0)>0 AND TSELLHOLDINGEX('800980','IF03',0)>0 and tenterbars>0 THEN
BEGIN
TSELL(YOPEN-POPEN>=MEAN,LOT1,lmt,YOPEN,0,'','IF12');
TSELLSHORT(YOPEN-POPEN>=MEAN,LOT2,lmt,POPEN,0,'','IF03');
END
下單日志如下：
序號 品種名稱 說明 預(yù)警名稱 預(yù)警時間 預(yù)警價格 現(xiàn)價/盈虧 動作
1 IF12 股指1112 股指跨期套利1 11/12/15 09:23 2403.8 2402.4/-0.06% 開空
2 IF03 股指1203 股指跨期套利1 11/12/15 09:23 2423.0 2423.6/+0.02% 開多
3 IF12 股指1112 股指跨期套利1 11/12/15 09:23 2403.8 2402.4/-0.06% 平空
4 IF03 股指1203 股指跨期套利1 11/12/15 09:23 2423.0 2423.6/+0.02% 平多
5 IF12 股指1112 股指跨期套利1 11/12/15 09:23 2403.8 2402.4/-0.06% 開多
6 IF03 股指1203 股指跨期套利1 11/12/15 09:23 2423.0 2423.6/+0.02% 開空
7 IF12 股指1112 股指跨期套利1 11/12/15 09:25 2402.8 2402.4/-0.02% 開空
8 IF03 股指1203 股指跨期套利1 11/12/15 09:25 2423.2 2423.6/+0.02% 開多
9 IF12 股指1112 股指跨期套利1 11/12/15 09:25 2402.8 2402.4/-0.02% 平空
10 IF03 股指1203 股指跨期套利1 11/12/15 09:25 2423.2 2423.6/+0.02% 平多
11 IF12 股指1112 股指跨期套利1 11/12/15 09:25 2402.8 2402.4/-0.02% 開多
12 IF03 股指1203 股指跨期套利1 11/12/15 09:25 2423.2 2423.6/+0.02% 開空
13 IF12 股指1112 股指跨期套利1 11/12/15 09:30 2402.6 2402.4/-0.01% 開空
14 IF03 股指1203 股指跨期套利1 11/12/15 09:30 2422.8 2423.6/+0.03% 開多
15 IF12 股指1112 股指跨期套利1 11/12/15 09:30 2402.6 2402.4/-0.01% 平空
16 IF03 股指1203 股指跨期套利1 11/12/15 09:30 2422.8 2423.6/+0.03% 平多
17 IF12 股指1112 股指跨期套利1 11/12/15 09:30 2402.6 2402.4/-0.01% 開多
18 IF03 股指1203 股指跨期套利1 11/12/15 09:30 2422.8 2423.6/+0.03% 開空
請高手幫忙看看，怎么開倉這么頻繁啊，程序思想很簡單，取兩品種N周期價差均值，上軌是價差均值+標準差，下軌是價差均值-標準差，價差突破上軌做空價差，回歸均值平倉；做多價差同理
引用某個品種本周期的開盤價,要用雙引號,注意,公式代碼的書寫,都要在英文狀態(tài)下,您的有的地方的寫法,不是英文狀態(tài)輸入
YOPEN:="IF01$OPEN";
POPEN:="IF03$OPEN";
另:同一個下單語句的條件,不要有交叉.把紅色標識的地方,等號去掉,類似情況下,等號也去掉
TSELLSHORT(YOPEN-POPEN<=MEAN,LOT1,lmt,YOPEN,0,'','IF12');
TSELLSHORT(YOPEN-POPEN>=MEAN,LOT2,lmt,POPEN,0,'','IF03');