[源码分享] 基于布林带的跨期套利策略 [推广有奖]

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yang-cy13 发表于 2016-11-25 17:53:50 |只看作者 |坛友微信交流群|倒序 |AI写论文

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布林带是一种非常常见的技术指标，其上轨为均线加上2倍波动率，下轨为均线减去2倍波动率。大部分价格波动都被包络在布林带上下轨之间，故可以用来判断支撑和突破。

期货中的跨期套利，一般是指做空主力合约并做多次主力合约（或者反之），利用价差的均值回复的性质来获利，问题在于如何度量价差是否偏离正常波动区间。布林带提供了一种思路：把价差当作一个标的，考虑价差的布林带：
入场：
若价差在布林带上轨上方拐头向下，则做空价差；
若价差在布林带下轨下方拐头向上，则做多价差；
出场：
当价差回复到均线或者跌破止损价时，出场。

应用在白糖期货上，从2014/01/01到2016/06/02，5分钟频率，效果如下：
绩效图.png

策略代码：

function Kqtl(ShareNum,Freq,len,len2)
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global s;
n = length(targetList);
for j = 1:2:n
[~,~,~,~,close1,~,~,~] = traderGetKData(targetList(j).Market,targetList(j).Code,'min',Freq, 0-len, 0,true,'FWard');
[~,~,~,~,close2,~,~,~] = traderGetKData(targetList(j+1).Market,targetList(j+1).Code,'min',Freq, 0-len, 0,true,'FWard');
if length(close1)<len+1
return
end
diff = close1-close2;
mid = mean(diff(1:end-1));
band = std(diff(1:end-1));
Upper = mid+2*band;
Lower = mid-2*band;
if diff(end)>Upper
s(j).con1=1;
elseif diff(end)<Lower
s(j).con1=-1;
else
s(j).con1=0;
end
s(j).con2 = 0;
if s(j).con1==1
if diff(end)<diff(end-1) && diff(end-1)<diff(end-2)
s(j).con2 = 1;
end
end
if s(j).con1==-1
if diff(end)>diff(end-1) && diff(end-1)>diff(end-2)
s(j).con2 = -1;
end
end
if s(j).position>0
if diff(end)>mid || diff(end)<s(j).stopprice
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
traderPositionTo(HandleList(1),targetList(j+1).Market,targetList(j+1).Code,0,0,'market','close');
s(j).position = 0;
end
end
if s(j).position<0
if diff(end)<mid || diff(end)>s(j).stopprice
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
traderPositionTo(HandleList(1),targetList(j+1).Market,targetList(j+1).Code,0,0,'market','close');
s(j).position = 0;
end
end
if s(j).position==0
if s(j).con2==-1
OrderID1=traderDirectBuy(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
OrderID2=traderDirectSell(HandleList(1),targetList(j+1).Market,targetList(j+1).Code,ShareNum,0,'market','buy');
if OrderID1~=0
s(j).stopprice=diff(end-2);
s(j).position = 1;
end
end
if s(j).con2==1
OrderID1=traderDirectSell(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','sell');
OrderID2=traderDirectBuy(HandleList(1),targetList(j+1).Market,targetList(j+1).Code,ShareNum,0,'market','sell');
if OrderID1~=0
s(j).stopprice=diff(end-2);
s(j).position = -1;
end
end
end
end

复制代码

执行代码：

targetList(1).Market = 'CZCE';
targetList(1).Code = 'SR000';
targetList(2).Market = 'CZCE';
targetList(2).Code = 'SR001';
Freq = 5;
ShareNum = 10;
len = 40;
len2 = 20;
global s;
for i = 1:length(targetList)
s(i).position = 0;
s(i).openprice = 0;
end
%回测
AccountList(1) = {'FutureBackReplay'};
traderRunBacktest('KqtlBackTest',@Kqtl,{ShareNum,Freq,len,len2},AccountList,targetList,'min',Freq,20140101,20160602,'FWard');