[原创]金字塔交易模型实战编程技巧[2012-9-24更新] - 交易策略发布专区 - 金字塔客服中心 - 专业程序化交易软件提供商

//股指与300ETF之间的价差套利代码演示

//做空股指

VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);

股指:"IF00$CLOSE",linethick0;

沪深300:"000300$CLOSE",linethick0;

差值:股指-沪深300,linethick0;

short:=差值>=20;

shortend:=差值<=10;

t1:=time>093500 and time<145500;

if holding=0 and t1 then begin

buyshort(short,1,thisclose);

end

if holding<0 and t1 then sellshort(shortend,1,thisclose);

//做多300ETF

VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);

股指:"IF00$CLOSE",linethick0;

沪深300:"000300$CLOSE",linethick0;

差值:股指-沪深300,linethick0;

long:=差值>=20;

longend:=差值<=10;

t1:=time>093500 and time<145500;

if holding=0 and t1 then begin

buy(long,1,thisclose);

end

if holding>0 and t1 then sell(longend,1,thisclose);

//特别提示,一手股指的合约金额比较大，对应的ETF份数也比较大。这里需要自行调节买卖的ETF份数

主题：[原创]金字塔交易模型实战编程技巧[2012-9-24更新]