如果想做套利的话,用MC没有什么好办法,说个方法,你可以试试!一般都是跨合约或者跨商品套利 一:两个图(商品A和B) 二:A策略(条件成立-buy)B策略(条件成立-Sellshort) 三:因为套利的策略,AB开仓条件是一样的,但是方向是相反的,这样就实现了套利 你可以试一下这个方法,看看还有没有人有更好的办法
两个图的话就无法汇总结果,我想有统一的绩效报告。 我的想法也是两个图,但每个图都insert商品A和B, 图一交易商品A,图二交易商品B,用同一套策略,不知和你的想法是否一样。 但这样也是割裂交易,不能统一
I also want to ask the same question, will it be possible to hedge between HSI and HSI option? I would like to study in this direction. I see MC is perfect to work with IB and you can write buy and sellshort strategy for US stocks and using testing a/c everynight to feel the real-time running. The studying path for MC is much better than amibroker and other software.