最近在做分级基金折溢价套利策略,拟运用沪深300股指期货进行对冲。用python编写程序。
Entry&exit 规则是这样的:
1.分级基金溢价或折价达到阈值;
2.非上折或下折。
以下是一位前辈给出的代码:
>>> exit1 = lambda order,day:order['direction']==pre_arb\
and(order['day']<=day-pre_arb_clear)
>>> exit2 = lambda order,day:dis_arb\
and(order['day']<=day-dis_arb_clear)
>>> entry1 = lambda day , id:(get_price(predf,day,id))>up_thres\
or get_price(predf,day,id)<low_thres\
and (get_price(nvdf,day,id)<up_clear_p\
and get_price(bdf,day,id)>down_clear_b\
and abs(nav_chgrate(day,id))<max_chg_rate_p
看不大懂,还希望论坛的各位大神予以指教!小女子拜谢!