请教高人们，关于WL5里面的Pair Trading

小弟最近在试用WL5，以港股为例，想要摆脱仅测试单一股票的单一交易策略。而是完成Pair Trading. 例如，策略Dollar Neutral， 50万买XX股票， 50万卖空YY股票，设定一套规则使XX股在获利某某元的时候开始减仓，YY则买回相应的金额 （反之亦然）。 如遇走势背离，采取BB规则减仓。 等等其他规则。

还望高人指点，类似这样的交易策略如何测试。

小弟拜谢了

 

那位高人，给个音儿呀？

 

使用SetContext() 啊

 

上次怎么没上传上。补一下

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;namespace WealthLab.Strategies
{
public class PairsTrading : WealthScript
{
protected override void Execute()
{
double OptVar1 = 1.5;
double OptVar2 = 1.5;
int OptVar3 = 30; int MAPeriod;
double upThreshold, downThreshold;
string stock1, stock2, longSymbol, shortSymbol; // enter your symbols here
stock1 = "INTC";
stock2 = "MSFT";
// temporary
longSymbol = stock1;
shortSymbol = stock2; upThreshold = OptVar1;
downThreshold = -OptVar2;
MAPeriod = OptVar3;

// compute series
DataSeries close1;
DataSeries close2;
SetContext( stock1, true );
close1 = Close;
//RestoreContext();
SetContext( stock2, true );
close2 = Close;
RestoreContext(); DataSeries ActualRatio = close1 / close2; ActualRatio.Description = "ActualRatio";
DataSeries ActualRatioSMA = SMA.Series( ActualRatio, MAPeriod ); ActualRatioSMA.Description = "ActualRatioSMA";
DataSeries Delta = ActualRatio - ActualRatioSMA; Delta.Description = "Delta";
DataSeries DeltaSMA = SMA.Series( Delta, MAPeriod ); DeltaSMA.Description = "DeltaSMA";
DataSeries DeltaDifference = Delta - DeltaSMA; DeltaDifference.Description = "DeltaDifference";
DataSeries DeltaNorm = DeltaDifference / StdDev.Series( Delta, MAPeriod, WealthLab.Indicators.StdDevCalculation.Sample );
DeltaNorm.Description = "DeltaNorm"; // graphics
ChartPane RatioPane = CreatePane( 30, true, true );
ChartPane StDevPane = CreatePane( 30, true, true ); PlotSeries( RatioPane, ActualRatio, Color.Navy, WealthLab.LineStyle.Solid, 2 );
PlotSeries( RatioPane, ActualRatioSMA, Color.Blue, WealthLab.LineStyle.Solid, 2 );
DrawLabel( RatioPane, "Ratio " + stock1 + "/" + stock2 ); PlotSeries( StDevPane, DeltaNorm, Color.Red, WealthLab.LineStyle.Histogram, 2 );
DrawHorzLine( StDevPane, upThreshold, Color.Black, WealthLab.LineStyle.Solid, 2 );
DrawHorzLine( StDevPane, downThreshold, Color.Black, WealthLab.LineStyle.Solid, 2 );
DrawLabel( StDevPane, "Number of standard deviations" ); for(int bar = MAPeriod; bar < Bars.Count; bar++)
{
if (IsLastPositionActive)
{
SetContext( shortSymbol, true );
CoverAtClose( bar, Position.AllPositions, "Cover " + shortSymbol );
SellAtClose( bar, Position.AllPositions, "Sell " + longSymbol );
RestoreContext();
}
{
if( DeltaNorm[bar] > upThreshold )
{
shortSymbol = stock1;
longSymbol = stock2;
SetContext( stock1, true );
ShortAtClose( bar, "ShortSell " + stock1 );
SetContext( stock2, true );
BuyAtClose( bar, "Buy " + stock2 );
} else
if( DeltaNorm[bar] < downThreshold )
{
shortSymbol = stock2;
longSymbol = stock1;
SetContext( stock2, true );
ShortAtClose( bar, "ShortSell " + stock2 );
SetContext( stock1, true );
BuyAtClose( bar, "Buy " + stock1 );
}
RestoreContext();
}
}
}
}
}