[模板]对冲策略 ← 交易策略发布专区 ← 金字塔客服中心

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;

[此贴子已经被作者于2013/11/17 18:33:53编辑过]

runmode:0;

holding1:=stkindi(stklabel,'f1a.持仓',0,dataperiod,0);
holding2:=stkindi(stklabel,'f2a.持仓',0,dataperiod,0);

targetholding:=holding1+holding2;

if holding<> targetholding then begin
if holding=0 then begin
  if targetholding>0 then
   buy(1,targetholding,limitr,close);

  if targetholding<0 then
   buyshort(1,-targetholding,limitr,close);
end

if holding>0 then begin
  if targetholding=0 then
   sell(1,holding,limitr,close);

  if targetholding>0 then begin
   if targetholding>holding then
    buy(1,targetholding-holding,limitr,close);

   if targetholding<holding then
    sell(1,holding-targetholding,limitr,close);
  end

  if targetholding<0 then begin
   sell(1,holding,limitr,close);
   buyshort(1,targetholding,limitr,close);
  end
end

if holding<0 then begin
  if targetholding=0 then
   sellshort(1,holding,limitr,close);

  if targetholding>0 then begin
   sellshort(1,holding,limitr,close);
   buy(1,targetholding,limitr,close);
  end

  if targetholding<0 then begin
   if targetholding>holding then
    sellshort(1,targetholding-holding,limitr,close);

   if targetholding<holding then
    buyshort(1,holding-targetholding,limitr,close);
  end
end
end

以下内容为程序代码:

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

runmode:0;

variable:currentholding=0;

holding1:=stkindi(stklabel,'f1a.持仓',0,dataperiod,0);
holding2:=stkindi(stklabel,'f2a.持仓',0,dataperiod,0);

targetholding:=holding1+holding2;

if targetholding=0 then begin
if currentholding>0 then
sell(1,currentholding,limitr,close);

if currentholding<0 then
sellshort(1,-currentholding,limitr,close);
end

if targetholding>0 then begin
if currentholding=0 then
  buy(1,targetholding,limitr,close);

if currentholding>0 then begin
  if targetholding>currentholding then
   buy(1,targetholding-currentholding,limitr,close);

  if targetholding<currentholding then
   sell(1,currentholding-targetholding,limitr,close);
end

if currentholding<0 then begin
  sellshort(1,-currentholding,limitr,close);
  buy(1,targetholding,limitr,close);
end
end

if targetholding<0 then begin
if currentholding=0 then
  buyshort(1,-targetholding,limitr,close);

if currentholding>0 then begin
  sell(1,currentholding,limitr,close);
  buyshort(1,-targetholding,limitr,close);
end

if currentholding<0 then begin
  if targetholding>currentholding then
   sellshort(1,targetholding-currentholding,limitr,close);

  if targetholding<currentholding then
   buyshort(1,currentholding-targetholding,limitr,close);
end
end

currentholding:=targetholding;

仓位:holding,noaxis,linethick0;
收益:asset-500000,noaxis,colormagenta,linethick2;

借鉴

标题：[模板]对冲策略