主题：[原创]套利策略

runmode:0;

symbol1:='y13';
symbol2:='p13';

lots1:=1;
lots2:=1;

close1:=callstock(symbol1,vtclose,6,0);
close2:=callstock(symbol2,vtclose,6,0);

spread:=close1-close2;

length:=20;

myma:=ma(spread,length);

if stricmp(stklabel,symbol1)=0 then begin
 if holding=0 then begin
  if spread>myma then
   buy(1,lots1,limitr,close);
 end
 
 if holding=0 then begin
  if spread<myma then
   buyshort(1,lots1,limitr,close);
 end
 
 if holding>0 then begin
  if spread<myma then begin
   sell(1,lots1,limitr,close);
   buyshort(1,lots1,limitr,close);
  end 
 end
 
 if holding<0 then begin
  if spread>myma then begin
   sellshort(1,lots1,limitr,close);
   buy(1,lots1,limitr,close);
  end 
 end
end

if stricmp(stklabel,symbol2)=0 then begin
 if holding=0 then begin
  if spread<myma then
   buy(1,lots2,limitr,close);
 end
 
 if holding=0 then begin
  if spread>myma then
   buyshort(1,lots2,limitr,close);
 end
 
 if holding>0 then begin
  if spread>myma then begin
   sell(1,lots2,limitr,close);
   buyshort(1,lots2,limitr,close);
  end 
 end
 
 if holding<0 then begin
  if spread<myma then begin
   sellshort(1,lots2,limitr,close);
   buy(1,lots2,limitr,close);
  end 
 end
end

盈亏:asset-500000,noaxis,colorred,linethick2;

 

 

runmode:0;

y盈亏:=stkindi('y13','tt.盈亏',0,6,0),noaxis;
p盈亏:=stkindi('p13','tt.盈亏',0,6,0),noaxis;

总体盈亏:y盈亏+p盈亏,noaxis,linethick2;

 

 

此主题相关图片如下：5555.png