兩個較經典對沖策略模板[金字塔模型]

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對沖模型策略源碼一：runmode:0; holding1:=stkindi(stklabel,\'f1a.持倉\',0,dataperiod,0); holding2:=stkindi(stklabel,\'f2a.持倉\',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\\www.tumamayizhan.com 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); \\www.tumamayizhan.com 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); \\www.tumamayizhan.com if targetholding<holding then buyshort(1,holding-targetholding,limitr,close); end end end
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對沖模型策略源碼二：runmode:0; variable:currentholding=0; holding1:=stkindi(stklabel,\'f1a.持倉\',0,dataperiod,0); holding2:=stkindi(stklabel,\'f2a.持倉\',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 \\www.tumamayizhan.com 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 \\www.tumamayizhan.com 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; 倉位:holding,noaxis,linethick0; 收益:asset-500000,noaxis,colormagenta,linethick2;
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