※multicharts @ 央行總裁

*multicharts - 個股期現價差-2 *

接續台指期現價差模型-1*

今天要分享的是個股期現價差交易～～～

2017年至今4月，大家有發現台指價差交易 ,

似乎不這麼好做會賺錢了嗎?

我發現了 個股期 也是一個不錯的交易商品呢！

交易原理都大同小異讓我們來看看吧～～～

我們仍然依靠 價格的發散或收斂 及 擺盪指標 就可以做交易，

買股票、放空期貨 or 放空股票、買期貨

當然，也可做期現的配對交易！

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下面我以股票 儒鴻1476 與 儒鴻期貨 LWF ，

近期研究成果 (期現價差) 來跟大家做分享～

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範例程式碼 code:

//since: 2017.03 * author : chun yu
//data 1: LWF15min K
//data 2: 1476 DAY

VARS: SL(0.04),PL(0.07);
inputs: spreads(5),bb(57),ss(59);

value1 = close of data1 - close of data2;

//in//
if time>0915 and time<1324 then begin
if RSI(close of data2,63)<bb and value1 cross over spreads then buy 1 share next bar at market;
if RSI(close of data2,63)>ss and value1 cross under -spreads then sellshort 1 share next bar at market;
end;

//out//
if marketposition=1 then sell next bar at entryprice*(1-SL) stop;
if marketposition=-1 then buytocover next bar at entryprice*(1+SL) stop;
if marketposition=1 then sell next bar at entryprice*(1+PL) limit;
if marketposition=-1 then buytocover next bar at entryprice*(1-PL)limit;

if marketposition<>0 and time>1320 and dayofweek(date)=3 and dayofmonth(date)>14 and dayofmonth(date)<22 then begin
sell all contracts this bar on close;
buytocover all contracts this bar on close;
end;

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其實上面的code 很多地方是可以再精進修改的～

這邊就不多做敘述了，留給大家思考～

p.s. 若您也有不錯的想法，歡迎聯繫與我一起討論ㄛ~

by. chun yu

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Part3待續~~~