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龙听 发表于 2018-9-30 13:38

金字塔股指与300ETF之间的价差套利代码

源码如下：
[code]
//股指与300ETF之间的价差套利代码演示

//做空股指
VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);
股指:"IF00$CLOSE",linethick0;
沪深300:"000300$CLOSE",linethick0;
差值:股指-沪深300,linethick0;

short:=差值>=20;
shortend:=差值<=10;
t1:=time>093500 and time<145500;

if holding=0 and t1 then begin
buyshort(short,1,thisclose);
end

if holding<0 and t1 then sellshort(shortend,1,thisclose);



//做多300ETF www.cxh99.com

VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);
股指:"IF00$CLOSE",linethick0;
沪深300:"000300$CLOSE",linethick0;
差值:股指-沪深300,linethick0;

long:=差值>=20;
longend:=差值<=10;
t1:=time>093500 and time<145500;

if holding=0 and t1 then begin
buy(long,1,thisclose);//www.cxh99.com
end

if holding>0 and t1 then sell(longend,1,thisclose);


//特别提示,一手股指的合约金额比较大，对应的ETF份数也比较大。这里需要自行调节买卖的ETF份数
[/code]

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