這個(gè)本來(lái)用對(duì)應(yīng)合約來(lái)做更準(zhǔn)確，但是歷史合約無(wú)法調(diào)用，干脆直接生成虛擬合約來(lái)測(cè)試。模擬投機(jī)高α的合約，基本不涉及時(shí)間價(jià)值損耗。

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加了點(diǎn)注釋?zhuān)硐氚姹緫?yīng)該是能根據(jù)行權(quán)日期做價(jià)格修正，難度有點(diǎn)大，運(yùn)算量也很大。vix經(jīng)常偏離歷史值，使得估計(jì)偏差放大。

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runmode:0;
VARIABLE:CHOLDING=0,PHOLDING=0;
KD:CHOLDING=0 AND kdd,NODRAW;????????? //開(kāi)多條件
PD:CHOLDING=1 AND pdd,NODRAW;????????? //平多條件
KK:PHOLDING=0 AND kkk,NODRAW;????????? //開(kāi)空條件
PK:PHOLDING=1 AND pkk,NODRAW;????????? //平空條件
QS:CALLSTOCKEX(STKLABEL,VTCLOSE , 6, -1, 1000000); //標(biāo)的前收
JJ:=IF(QS<=3,0.05,IF(QS>3 AND QS<=5,0.1,0.25));??? //行權(quán)間距簡(jiǎn)化版
B2J:=QS*10000-MOD(QS*10000,JJ*10000)-20000*JJ;??? //認(rèn)購(gòu)行權(quán)價(jià)
S2J:=QS*10000-MOD(QS*10000,JJ*10000)+20000*JJ;?? //認(rèn)沽行權(quán)價(jià)
ttt:HOLDING,NODRAW;
REFS2J:=REF(S2J,ENTERBARS);? //記錄當(dāng)前持倉(cāng)是哪個(gè)合約
REFB2J:=REF(B2J,ENTERBARS);

IF PK THEN
BEGIN
平空:SELL(1,0,LIMITR,MAX(0,REFS2J-C*10000)),IGNORECHECKPRICE;?????????????? //平認(rèn)沽
PHOLDING:=0;
END
IF PD THEN
BEGIN
平多:sell(1,0,LIMITR,MAX(0,C*10000-REFB2J)),IGNORECHECKPRICE;??????????????????? //平認(rèn)購(gòu)
CHOLDING:=0;
END
IF KD THEN
BEGIN
開(kāi)多:buy(1,2%,LIMITR,C*10000-B2J),IGNORECHECKPRICE;????????????????? //call認(rèn)購(gòu)
CHOLDING:=1;
END
IF KK THEN
BEGIN
開(kāi)空:BUY(1,2%,LIMITR,S2J-C*10000),IGNORECHECKPRICE;??????????? //call認(rèn)沽
PHOLDING:=1;
END
資產(chǎn):ASSET,NOAXIS,COLORMAGENTA;

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