[金字塔源码] 金字塔股指与300ETF之间的价差套利代码

源码如下：

1. //股指与300ETF之间的价差套利代码演示
   
2. 
   
3. //做空股指
   
4. VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);
   
5. 股指:"IF00$CLOSE",linethick0;
   
6. 沪深300:"000300$CLOSE",linethick0;
   
7. 差值:股指-沪深300,linethick0;
   
8. 
   
9. short:=差值>=20;
   
10. shortend:=差值<=10;
    
11. t1:=time>093500 and time<145500;
    
12. 
    
13. if holding=0 and t1 then begin
    
14. buyshort(short,1,thisclose);
    
15. end
    
16. 
    
17. if holding<0 and t1 then sellshort(shortend,1,thisclose);
    
18. 
    
19. 
    
20. 
    
21. //做多300ETF www.cxh99.com
    
22. 
    
23. VERTLINE(time=CLOSETIME(0),hhv(h,240/5),llv(l,240/5),coloryellow,1,vtDASH);
    
24. 股指:"IF00$CLOSE",linethick0;
    
25. 沪深300:"000300$CLOSE",linethick0;
    
26. 差值:股指-沪深300,linethick0;
    
27. 
    
28. long:=差值>=20;
    
29. longend:=差值<=10;
    
30. t1:=time>093500 and time<145500;
    
31. 
    
32. if holding=0 and t1 then begin
    
33. buy(long,1,thisclose);//www.cxh99.com
    
34. end
    
35. 
    
36. if holding>0 and t1 then sell(longend,1,thisclose);
    
37. 
    
38. 
    
39. //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

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