Список проголосовавших за комментарий "المعلم سوق الأسهم, ниже пример кода стратегии парного трейдинга, при желании легко разобраться: <br/> <br/> using System;<br/> using System.Collections.Generic;<br/> using System.Text;<br/> using System.Drawing;<br/> using WealthLab;<br/> using WealthLab.Indicators;<br/> <br/> namespace WealthLab.Strategies<br/> {<br/> public class PairsTrading: WealthScript<br/> {<br/> protected override void Execute()<br/> {<br/> //When you use SetContext to enter a long with a different secondary symbol, <br/> //after the trade RestoreContext reverts to the original symbol. <br/> //However, when accessing the position object, for example, with IsLastPositionActive, <br/> //there is no need to SetContext to the symbol traded in order to find the Position object. <br/> //Passing the Position object to the exit signal should be sufficient.<br/> double OptVar1 = 3;<br/> double OptVar2 = 4;<br/> int OptVar3 = 30;<br/> <br/> int MAPeriod;<br/> double upThreshold, downThreshold;<br/> string stock1, stock2, longSymbol, shortSymbol;<br/> <br/> // enter your symbols here<br/> stock1 = «ММВБ Акции-SBER»;<br/> stock2 = «Фьючерсы ФОРТС-SPFB.SBER»;<br/> // temporary<br/> longSymbol = stock1;<br/> shortSymbol = stock2;<br/> <br/> upThreshold = OptVar1;<br/> downThreshold = -OptVar2;<br/> MAPeriod = OptVar3;<br/> // compute series<br/> DataSeries close1;<br/> DataSeries close2;<br/> SetContext( stock1, true );<br/> close1 = Close;<br/> //RestoreContext();<br/> SetContext( stock2, true );<br/> close2 = Close;<br/> RestoreContext();<br/> <br/> DataSeries ActualRatio = close1*100 / (close2); ActualRatio.Description = «ActualRatio»;<br/> DataSeries ActualRatioSMA = SMA.Series( ActualRatio, MAPeriod ); ActualRatioSMA.Description = «ActualRatioSMA»;<br/> DataSeries Delta = ActualRatio — ActualRatioSMA; Delta.Description = «Delta»;<br/> DataSeries DeltaSMA = SMA.Series( Delta, MAPeriod ); DeltaSMA.Description = «DeltaSMA»;<br/> DataSeries DeltaDifference = Delta — DeltaSMA; DeltaDifference.Description = «DeltaDifference»;<br/> DataSeries DeltaNorm = DeltaDifference / StdDev.Series( Delta, MAPeriod, WealthLab.Indicators.StdDevCalculation.Sample );<br/> DeltaNorm.Description = «DeltaNorm»;<br/> <br/> // graphics<br/> ChartPane RatioPane = CreatePane( 30, true, true );<br/> ChartPane StDevPane = CreatePane( 30, true, true );<br/> <br/> PlotSeries( RatioPane, ActualRatio, Color.Navy, WealthLab.LineStyle.Solid, 2 );<br/> PlotSeries( RatioPane, ActualRatioSMA, Color.Blue, WealthLab.LineStyle.Solid, 2 );<br/> DrawLabel( RatioPane, «Ratio » + stock1 + "/" + stock2 );<br/> <br/> PlotSeries( StDevPane, DeltaNorm, Color.Red, WealthLab.LineStyle.Histogram, 2 );<br/> DrawHorzLine( StDevPane, upThreshold, Color.Black, WealthLab.LineStyle.Solid, 2 );<br/> DrawHorzLine( StDevPane, downThreshold, Color.Black, WealthLab.LineStyle.Solid, 2 );<br/> DrawLabel( StDevPane, «Number of standard deviations» );<br/> <br/> for(int bar = MAPeriod; bar < Bars.Count; bar++)<br/> {<br/> if (IsLastPositionActive)<br/> {<br/> // Note: there's no need for SetContext here — comment the statement & check this out!<br/> // Изменить механизм закрытия — не на закрытии бара, держать позиции до изменения знака девиации например<br/> if( DeltaNorm[bar] > upThreshold )<br/> {<br/> SetContext( shortSymbol, true );<br/> CoverAtClose( bar, Position.AllPositions, «Cover » + shortSymbol );<br/> SellAtClose( bar, Position.AllPositions, «Sell » + longSymbol );<br/> }<br/> }<br/> { <br/> if( DeltaNorm[bar] > upThreshold )<br/> {<br/> shortSymbol = stock1;<br/> longSymbol = stock2; <br/> SetContext( stock1, true ); <br/> SetShareSize( 100 );<br/> ShortAtClose( bar, «ShortSell » + stock1 );<br/> SetContext( stock2, true );<br/> SetShareSize( 1 );<br/> BuyAtClose( bar, «Buy » + stock2 );<br/> } else<br/> if( DeltaNorm[bar] < downThreshold )<br/> {<br/> shortSymbol = stock2;<br/> longSymbol = stock1;<br/> SetContext( stock2, true );<br/> SetShareSize( 1 );<br/> ShortAtClose( bar, «ShortSell » + stock2 );<br/> SetContext( stock1, true );<br/> SetShareSize( 100 );<br/> BuyAtClose( bar, «Buy » + stock1 );<br/> }<br/> RestoreContext();<br/> }<br/> }<br/> }<br/> }<br/> }"