커뮤니티
부탁드립니다.
2011-01-25 10:25:36
828
글번호 35268
안녕하세요.
선물시스템식을 참조종목으로 사용하여 옵션매수전용 시스템식으로 구분하고자
합니다. 선물매수는 call옵션 매수전용식으로, 선물매도는 put옵션 매수전용식으로
작성 부탁드립니다.
감사합니다.새해복많이받으세요.
===========================================================================
선물시스템식
input : len(0.1), len1(2.7),n(20),tcount(2);
var: CurrentEntryNum(0);
var1 = dayHigh(1)-dayLow(1);
if date<>date[1] Then {
var10 = TotalTrades;
}
CurrentEntryNum = TotalTrades;
Condition1 = date==exitdate(1) And MarketPosition(1) == 1;
Condition2 = date==exitdate(1) And MarketPosition(1) == -1;
if stime < 150000 then {
if CurrentEntryNum < var10 + tcount and Condition1 == false and MarketPosition <> 1 Then
buy("매수", atstop, dayOpen(0)+var1*len);
if CurrentEntryNum < var10 + tcount and Condition2 == false and MarketPosition <> -1 Then
sell("매도", atstop, dayOpen(0)-var1*len);
}
//청산
If marketposition == 1 Then {
exitlong("매수청산",Atstop,highest(high,barssinceentry+1)-atr(n)*len1);
}
if MarketPosition == -1 then{
exitshort("매도청산",Atstop,lowest(low,barssinceentry+1)+atr(n)*len1);
}
##당일청산(만기일반영)
if date == 20110310 || date == 20110609||
date == 20110908 || date == 20111208
then
setstopendofday(1445);
else
setstopendofday(1500);
끝.
답변 1
예스스탁 예스스탁 답변
2011-01-25 15:15:09
안녕하세요
예스스탁입니다.
1. 콜
input : len(0.1), len1(2.7),n(20),tcount(1);
var: CurrentEntryNum(0),va1(0,data2);
va1 = data2(HighD(1)-LowD(1));
if date<>date[1] Then {
var10 = TotalTrades;
}
CurrentEntryNum = TotalTrades;
Condition1 = sdate==exitdate(1) And MarketPosition(1) == 1;
Condition2 = sdate==exitdate(1) And MarketPosition(1) == -1;
if data2(stime) > 90000 and data2(stime) < 150000 then {
if CurrentEntryNum < var10 + tcount and Condition1 == false and MarketPosition <> 1 Then{
if data2(H >= OpenD(0)+va1*len) Then
buy("매수");
}
if MarketPosition == 1 and BarsSinceEntry > 0 Then{
if data2(L <= OpenD(0)-va1*len) then
ExitLong("BS");
}
}
var1 = data2(H);
//청산
If marketposition == 1 and BarsSinceEntry > 0 Then {
if data2(L) <= highest(var1,BarsSinceEntry+1)[1]-data2(ATR(N)[1]*len1) Then
exitlong("매수청산");
}
##당일청산(만기일반영)
if date == 20110310 || date == 20110609|| date == 20110908 || date == 20111208 then
setstopendofday(1445);
else
setstopendofday(1500);
2. 풋
input : len(0.1), len1(2.7),n(20),tcount(1);
var: CurrentEntryNum(0),va1(0,data2);
va1 = data2(HighD(1)-LowD(1));
if date<>date[1] Then {
var10 = TotalTrades;
}
CurrentEntryNum = TotalTrades;
Condition1 = date==exitdate(1) And MarketPosition(1) == 1;
Condition2 = date==exitdate(1) And MarketPosition(1) == -1;
if data2(stime) > 90000 and data2(stime) < 150000 then {
if MarketPosition == 1 and BarsSinceEntry > 0 Then{
if data2(H >= OpenD(0)+va1*len) Then
ExitLong("SB");
}
if CurrentEntryNum < var10 + tcount and Condition1 == false and MarketPosition == 0 Then{
if data2(L <= OpenD(0)-va1*len) then
Buy("매수");
}
}
var2 = data2(L);
if MarketPosition == 1 and BarsSinceEntry > 0 then{
if data2(H) >= Lowest(var2,BarsSinceEntry+1)[1]+data2(ATR(N)[1]*len1) Then
ExitLong("매도청산");
}
##당일청산(만기일반영)
if date == 20110310 || date == 20110609|| date == 20110908 || date == 20111208 then
setstopendofday(1445);
else
setstopendofday(1500);
즐거운 하루되세요
> 베드로 님이 쓴 글입니다.
> 제목 : 부탁드립니다.
> 안녕하세요.
선물시스템식을 참조종목으로 사용하여 옵션매수전용 시스템식으로 구분하고자
합니다. 선물매수는 call옵션 매수전용식으로, 선물매도는 put옵션 매수전용식으로
작성 부탁드립니다.
감사합니다.새해복많이받으세요.
===========================================================================
선물시스템식
input : len(0.1), len1(2.7),n(20),tcount(2);
var: CurrentEntryNum(0);
var1 = dayHigh(1)-dayLow(1);
if date<>date[1] Then {
var10 = TotalTrades;
}
CurrentEntryNum = TotalTrades;
Condition1 = date==exitdate(1) And MarketPosition(1) == 1;
Condition2 = date==exitdate(1) And MarketPosition(1) == -1;
if stime < 150000 then {
if CurrentEntryNum < var10 + tcount and Condition1 == false and MarketPosition <> 1 Then
buy("매수", atstop, dayOpen(0)+var1*len);
if CurrentEntryNum < var10 + tcount and Condition2 == false and MarketPosition <> -1 Then
sell("매도", atstop, dayOpen(0)-var1*len);
}
//청산
If marketposition == 1 Then {
exitlong("매수청산",Atstop,highest(high,barssinceentry+1)-atr(n)*len1);
}
if MarketPosition == -1 then{
exitshort("매도청산",Atstop,lowest(low,barssinceentry+1)+atr(n)*len1);
}
##당일청산(만기일반영)
if date == 20110310 || date == 20110609||
date == 20110908 || date == 20111208
then
setstopendofday(1445);
else
setstopendofday(1500);
끝.