这个本来用对应合约来做更准确，但是历史合约无法调用，干脆直接生成虚拟合约来测试。模拟投机高α的合约，基本不涉及时间价值损耗。

runmode:0;
VARIABLE:CHOLDING=0,PHOLDING=0;

KD:CHOLDING=0 AND kdd,NODRAW;          //开多条件
PD:CHOLDING=1 AND pdd,NODRAW;          //平多条件
KK:PHOLDING=0 AND kkk,NODRAW;          //开空条件
PK:PHOLDING=1 AND pkk,NODRAW;          //平空条件

QS:CALLSTOCKEX(STKLABEL,VTCLOSE , 6, -1, 1000000); //标的前收
JJ:=IF(QS<=3,0.05,IF(QS>3 AND QS<=5,0.1,0.25));    //行权间距简化版
B2J:=QS*10000-MOD(QS*10000,JJ*10000)-20000*JJ;    //call行权价
S2J:=QS*10000-MOD(QS*10000,JJ*10000)+20000*JJ;   //put行权价
ttt:HOLDING,NODRAW;

REFS2J:=REF(S2J,ENTERBARS);  //记录当前持仓是哪个合约
REFB2J:=REF(B2J,ENTERBARS);

IF PK THEN
BEGIN
平空:SELL(1,0,LIMITR,MAX(0,REFS2J-C*10000)),IGNORECHECKPRICE;               //平空信号
PHOLDING:=0;
END
IF PD THEN
BEGIN
平多:sell(1,0,LIMITR,MAX(0,C*10000-REFB2J)),IGNORECHECKPRICE;                    //平多信号
CHOLDING:=0;
END
IF KD THEN
BEGIN
开多:buy(1,2%,LIMITR,C*10000-B2J),IGNORECHECKPRICE;                  //开多信号
CHOLDING:=1;
END
IF KK THEN
BEGIN
开空:BUY(1,2%,LIMITR,S2J-C*10000),IGNORECHECKPRICE;            //开空信号
PHOLDING:=1;
END

资产:ASSET,NOAXIS,COLORMAGENTA;

加了点注释，理想版本应该是能根据行权日期做价格修正，难度有点大，运算量也很大。vix经常偏离历史值，使得估计偏差放大。

runmode:0;
VARIABLE:CHOLDING=0,PHOLDING=0;

KD:CHOLDING=0 AND kdd,NODRAW;          //开多条件
PD:CHOLDING=1 AND pdd,NODRAW;          //平多条件
KK:PHOLDING=0 AND kkk,NODRAW;          //开空条件
PK:PHOLDING=1 AND pkk,NODRAW;          //平空条件

QS:CALLSTOCKEX(STKLABEL,VTCLOSE , 6, -1, 1000000); //标的前收
JJ:=IF(QS<=3,0.05,IF(QS>3 AND QS<=5,0.1,0.25));    //行权间距简化版
B2J:=QS*10000-MOD(QS*10000,JJ*10000)-20000*JJ;    //认购行权价
S2J:=QS*10000-MOD(QS*10000,JJ*10000)+20000*JJ;   //认沽行权价
ttt:HOLDING,NODRAW;

REFS2J:=REF(S2J,ENTERBARS);  //记录当前持仓是哪个合约
REFB2J:=REF(B2J,ENTERBARS);

IF PK THEN
BEGIN
平空:SELL(1,0,LIMITR,MAX(0,REFS2J-C*10000)),IGNORECHECKPRICE;               //平认沽
PHOLDING:=0;
END
IF PD THEN
BEGIN
平多:sell(1,0,LIMITR,MAX(0,C*10000-REFB2J)),IGNORECHECKPRICE;                    //平认购
CHOLDING:=0;
END
IF KD THEN
BEGIN
开多:buy(1,2%,LIMITR,C*10000-B2J),IGNORECHECKPRICE;                  //call认购
CHOLDING:=1;
END
IF KK THEN
BEGIN
开空:BUY(1,2%,LIMITR,S2J-C*10000),IGNORECHECKPRICE;            //call认沽
PHOLDING:=1;
END

资产:ASSET,NOAXIS,COLORMAGENTA;