这个棉花套利策略怎么不能实现加仓,在线等 [复制链接]

lzl563

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电梯直达

1^#

发表于 2012-5-4 10:57:57 |只看该作者 |倒序浏览

本帖最后由 lzl563 于 2012-5-4 11:15 编辑

Params
   Numeric uprice1(700);
   Numeric uprice2(750);
   Numeric uprice3(800);
   Numeric dprice1(-700);
   Numeric dprice2(-750);
   Numeric dprice3(-800);
   Numeric lots1(1);
   Numeric lots2(2);
   Numeric lots3(4);

Vars
Numeric NO1(0);
Numeric M;
Numeric M1;
NumericSeries buyprice;
NumericSeries sellprice;
BoolSeries Upline;
BoolSeries Upline1;
BoolSeries Upline2;
BoolSeries downline;
BoolSeries downline1;
BoolSeries downline2;
Begin
   M=Data0.close-Data1.close;
   M1=(Data0.open)-(Data1.open);
   //PlotNumeric("M",M);
   //PlotNumeric("M1",M1);
   upline=CrossOver(M,uprice1);
   upline1=CrossOver(M,uprice2);
   upline2=CrossOver(M,uprice3);
   downline=CrossUnder(M,dprice1);
   downline1=CrossUnder(M,dprice2);
   downline2=CrossUnder(M,dprice3);
If(MarketPosition==0 and upline)
  {
  data0.SellShort(lots1,data0.close);
  data1.buy(lots1,data0.close);
  Return;
  }
If(MarketPosition==1 and upline1)
  {
  data0.SellShort(lots2,data0.close);
  data1.buy(lots2,data1.close);
  Return;
  }
If(MarketPosition==1 and upline2)
  {
  data0.SellShort(lots3,data0.close);
  data1.buy(lots3,data1.close);
  Return;
  }
If(MarketPosition==0 and downline )
{data0.buy(lots1,data0.close);
data1.SellShort(lots1,data1.close);
Return;
  }
If(MarketPosition==-1 and downline1 )
{data0.buy(lots2,data0.close);
data1.SellShort(lots2,data1.close);
Return;
  }
If(MarketPosition==-1 and downline2 )
{data0.buy(lots3,data0.close);
data1.SellShort(lots3,data1.close);
Return;
  }

End

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lzl563

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2^#

发表于 2012-5-4 11:58:48 |只看该作者

自己顶一下,没人看啊?

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lzl563

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3^#

发表于 2012-5-4 14:29:18 |只看该作者

改了一下好了点，但是还有个问题，就是相同的条件会出现两次开仓，怎么不让相同的条件重复开仓呢
Params
   Numeric uprice1(700);
   Numeric uprice2(750);
   Numeric uprice3(800);
   Numeric dprice1(-700);
   Numeric dprice2(-750);
   Numeric dprice3(-800);
   Numeric lots1(1);
   Numeric lots2(2);
   Numeric lots3(4);
Vars
Numeric NO1(0);
Numeric M;
Numeric M1;
NumericSeries buyprice;
NumericSeries sellprice;
BoolSeries Upline;
BoolSeries Upline1;
BoolSeries Upline2;
BoolSeries downline;
BoolSeries downline1;
BoolSeries downline2;
Begin
   M=Data0.close-Data1.close;
   M1=(Data0.open)-(Data1.open);
   //PlotNumeric("M",M);
   //PlotNumeric("M1",M1);
   upline=CrossOver(M,uprice1);
   upline1=CrossOver(M,uprice2);
   upline2=CrossOver(M,uprice3);
   downline=CrossUnder(M,dprice1);
   downline1=CrossUnder(M,dprice2);
   downline2=CrossUnder(M,dprice3);
//M>700的时候开仓加仓
If(data0.MarketPosition !=-1 and (upline==true))
  {
  data0.SellShort(lots1,data0.close);
  data1.buy(lots1,data0.close);

  }
If(data0.MarketPosition==-1 and (upline1==true))
  {
  data0.SellShort(lots2,data0.close);
  data1.buy(lots2,data1.close);

  }
If(data0.MarketPosition==-1 and (upline2==true))
  {
  data0.SellShort(lots3,data0.close);
  data1.buy(lots3,data1.close);

  }
//M<700的时候开仓加仓
If(data0.MarketPosition!=1 and (downline==true) )
{data0.buy(lots1,data0.close);
data1.SellShort(lots1,data1.close);

  }
If(data0.MarketPosition==1 and (downline1==true) )
{data0.buy(lots2,data0.close);
data1.SellShort(lots2,data1.close);

  }
If(data0.MarketPosition==1 and (downline2==true) )
{data0.buy(lots3,data0.close);
data1.SellShort(lots3,data1.close);

  }

End

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