開拓者棉花套利策略源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2012年11月10日

源碼內容

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的時候開倉加倉
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);

  }//來源：www.tumamayizhan.com //
If(data0.MarketPosition==-1 and (upline2==true))
  {
  data0.SellShort(lots3,data0.close);
  data1.buy(lots3,data1.close);

  }
//M<700的時候開倉加倉
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
//來源：www.tumamayizhan.com //