主题：套利模型求助

以下内容为程序代码:

1
2 账户:'1000';
3 套利品种1:'AG12';
4 套利品种2:'SI00';
5 //*****************************
6
7 //获得价差方法1
8 C1:"AG12$CLOSE";
9 H1:"AG12$HIGH";
10 L1:"AG12$LOW";
11
12
13 C2:"SI00$CLOSE";
14 H2:"SI00$HIGH";
15 L2:"SI00$LOW";
16
17 TR1 : MAX(MAX((H1-L1),ABS(REF(C1,1)-H1)),ABS(REF(C1,1)-L1));
18 ATR : MA(TR1,m);
19
20
21 TR2 : MAX(MAX((H2-L2),ABS(REF(C2,1)-H2)),ABS(REF(C2,1)-L2));
22 ATR2 : MA(TR2,m);
23
24
25 S1:CROSS(TR2,ATR2);
26 S2:CROSS(ATR2,TR2);
27
28
29
30 //下单
31 IF S2 && C2＞H2 THEN BEGIN
32
33 TBUY(1,1,MKT ,0,0,账户,套利品种1);
34 END
35
36 IF S2 && C2＜L2 THEN BEGIN
37 TBUYSHORT(1,1,MKT ,0,0,账户,套利品种1);
38
39 END

以下内容为程序代码:

1 账户:'1000';
2 套利品种1:='AG12';
3 套利品种2:='SI00';
4 //*****************************
5
6 //获得价差方法1
7 C1:"AG12$CLOSE";
8 H1:"AG12$HIGH";
9 L1:"AG12$LOW";
10
11
12 C2:"SI00$CLOSE";
13 H2:"SI00$HIGH";
14 L2:"SI00$LOW";
15
16 TR1 : MAX(MAX((H1-L1),ABS(REF(C1,1)-H1)),ABS(REF(C1,1)-L1));
17 ATR : MA(TR1,m);
18
19
20 TR2 : MAX(MAX((H2-L2),ABS(REF(C2,1)-H2)),ABS(REF(C2,1)-L2));
21 ATR2 : MA(TR2,m);
22
23
24 S1:=CROSS(TR2,ATR2);
25 S2:=CROSS(ATR2,TR2);
26
27
28
29 //下单
30 IF S2 && C2＞H2 THEN BEGIN
31
32 TBUY(1,1,MKT ,0,0,账户,套利品种1);
33 END
34
35 IF S2 && C2＜L2 THEN BEGIN
36 TBUYSHORT(1,1,MKT ,0,0,账户,套利品种1);
37
38 END