做跨期套利最后很多单腿成交，重复成交，求解！

seanlong

如题，设置的都是1手的套利，最后变成这样。经常说信号消失之类。
代码如下：
Params
Numeric uplimit(360);
Numeric dnlimit(330);
Numeric stoploss(20);
Numeric getprofit(40);
Numeric movestopstart(10);//移动止损起始位置
Numeric movestop(20);//移动止损

Vars
Numeric minpoint;
NumericSeries spread;
NumericSeries status;
NumericSeries HigherAfterEntry;
NumericSeries LowerAfterEntry;
Numeric MyPrice;       

Begin

minpoint=minmove*PriceScale;
spread=Data0.Close-Data1.Close;


If(BarsSinceEntry == 1)
{
HigherAfterEntry = spread;
LowerAfterEntry = spread;
}
else
{
HigherAfterEntry = max(HigherAfterEntry[1],spread[1]);
LowerAfterEntry = min(LowerAfterEntry[1],spread[1]);
}


If(status==0 && spread>=uplimit && spread[1]<uplimit)
{
data1.Buy(1, Close+2*minpoint);
data0.SellShort(1,Close-2*minpoint);
status=1;
}

If(status==1 && spread<=uplimit-getprofit  )
{
data1.sell(1,Close-2*minpoint);
data0.BuyToCover(1,Close+2*minpoint);
status=0;
}

//移动止损
If(status==1 && LowerAfterEntry<=uplimit-movestopstart && BarsSinceEntry>1)
{
myprice=LowerAfterEntry+movestop;
if(spread>myprice)
{
data1.sell(1,Close-2*minpoint);
data0.BuyToCover(1,Close+2*minpoint);
status=0;
}
}

If(status==1 && spread>=uplimit+stoploss  && BarsSinceEntry>1)
{
data1.sell(1,Close-2*minpoint);
data0.BuyToCover(1,Close+2*minpoint);
status=0;
}


If(status==0 && spread<=dnlimit && spread[1]>dnlimit)
{
data1.SellShort(1,Close-2*minpoint);
data0.Buy(1, Close+2*minpoint);
status=2;
}

If(status==2 && spread>=dnlimit+getprofit)
{
data1.BuyToCover(1,Close+2*minpoint);
data0.Sell(1, Close-2*minpoint);
status=0;
}

//移动止损
If(status==2 && HigherAfterEntry>=Dnlimit+movestopstart && BarsSinceEntry>1)
{
myprice=HigherAfterEntry-movestop;
if(spread<myprice)
{
data1.BuyToCover(1,Close-2*minpoint);
data0.Sell(1, Close+2*minpoint);
status=0;
}
}

If(status==2 && spread<=dnlimit-stoploss && BarsSinceEntry>1)
{
data1.BuyToCover(1,Close-2*minpoint);
data0.Sell(1,Close+2*minpoint);
status=0;
}

PlotNumeric("价差",spread);

PlotNumeric("1",HigherAfterEntry);
PlotNumeric("2",LowerAfterEntry);
End

alley_007

不能用Close做交易，得用Open做交易