主题：[模板]对冲策略

以下内容为程序代码:

1 runmode:0;
2
3 variable:currentholding=0;
4
5 holding1:=stkindi(stklabel,'f1a.持仓',0,dataperiod,0);
6 holding2:=stkindi(stklabel,'f2a.持仓',0,dataperiod,0);
7
8 targetholding:=holding1+holding2;
9
10 if targetholding=0 then begin     
11     if currentholding＞0 then
12         sell(1,currentholding,limitr,close);
13     
14     if currentholding＜0 then
15         sellshort(1,-currentholding,limitr,close);
16 end
17
18 if targetholding＞0 then begin
19     if currentholding=0 then
20         buy(1,targetholding,limitr,close);
21     
22     if currentholding＞0 then begin
23         if targetholding＞currentholding then
24             buy(1,targetholding-currentholding,limitr,close);
25         
26         if targetholding＜currentholding then
27             sell(1,currentholding-targetholding,limitr,close);    
28     end    
29     
30     if currentholding＜0 then begin
31         sellshort(1,-currentholding,limitr,close);
32         buy(1,targetholding,limitr,close);
33     end
34 end
35
36 if targetholding＜0 then begin
37     if currentholding=0 then
38         buyshort(1,-targetholding,limitr,close);
39         
40     if currentholding＞0 then begin
41         sell(1,currentholding,limitr,close);
42         buyshort(1,-targetholding,limitr,close);
43     end    
44     
45     if currentholding＜0 then begin
46         if targetholding＞currentholding then
47             sellshort(1,targetholding-currentholding,limitr,close);
48             
49         if targetholding＜currentholding then
50             buyshort(1,currentholding-targetholding,limitr,close);    
51     end
52 end
53
54 currentholding:=targetholding;
55
56 仓位:holding,noaxis,linethick0;
57 收益:asset-500000,noaxis,colormagenta,linethick2;