期权交易量化代码.zip_chestgqi_期权交易_期权量化交易_量化交易

%%清空工作空间、命令窗口 clc;clear; close all; format compact; %%载入测试数据 [data,textdate]=xlsread('LAST.xlsx'); Oc=data(:,1); LineNumber=data(1,:); i=1; %%交易过程仿真 %仓位Pos=1，正开仓1组；仓位Pos=0，空仓；仓位Pos=-1，反开仓1组 Pos=zeros(length(Oc),length(LineNumber)/2-1); %日收益记录 ReturnD=zeros(length(Oc),length(LineNumber)/2-1); %期权乘数 Scale=10000; %交易次数 TradingNum1=0; TradingNum2=0; for j=0:2:length(LineNumber)/2-1; Close1(:,i)=data(:,j+1); Ivo1(:,i)=data(:,j+2); Close2(:,i)=data(:,j+3); Ivo2(:,i)=data(:,j+4); for t=2:length(Ivo1); %开仓信号1：隐含波动率差大于0.05 %开仓信号2：隐含波动率差小于-0.05 %平仓信号1：隐含波动率差小于0.02 %平仓信号2：隐含波动率差大于-0.02 SignalOpen1=Ivo1(t,i)-Ivo2(t,i)>0.1; SignalOpen2=Ivo1(t,i)-Ivo2(t,i)<-0.1; SignalClose1=Ivo1(t,i)-Ivo2(t,i)<0.1; SignalClose2=Ivo1(t,i)-Ivo2(t,i)>-0.1; %%交易条件 if t==length(Ivo1); if Pos(t-1,i)==1; Pos(t,i)=0; ReturnD(t,i)=(Close2(t,i)-Close1(t,i))*Scale; continue; end if Pos(t-1,i)==-1; Pos(t,i)=0; ReturnD(t,i)=(Close1(t,i)-Close2(t,i))*Scale; continue; end end if SignalOpen1==1&&t<=length(Ivo1)-3; if Pos(t-1,i)==0; TradingNum1=TradingNum1+1; Pos(t,i)=1; ReturnD(t,i)=(Close1(t,i)-Close2(t,i))*Scale; continue; end else Pos(t,i)=Pos(t-1,i); end if SignalOpen2==1&&t<=length(Ivo1)-3; if Pos(t-1,i)==0; TradingNum2=TradingNum2+1; Pos(t,i)=-1; ReturnD(t,i)=(Close2(t,i)-Close1(t,i))*Scale; continue; end else Pos(t,i)=Pos(t-1,i); end if SignalClose1==1; if Pos(t-1,i)==1; Pos(t,i)=0; ReturnD(t,i)=(Close2(t,i)-Close1(t,i))*Scale; continue; end end if SignalClose2==1; if Pos(t-1,i)==-1; Pos(t,i)=0; ReturnD(t,i)=(Close1(t,i)-Close2(t,i))*Scale; continue; end end end i=i+1; end %%累计收益 ReturnCum=cumsum(sum(ReturnD')); %%总收益 ReturnSum=sum(sum(ReturnD),2); %%交易次数 NumTrading=TradingNum1+TradingNum2 %%总成本 CostSum=NumTrading*4*2.5 %%净收益 NetReturn=ReturnSum-CostSum %%平均单笔净收益 NetReturnAve=NetReturn/NumTrading figure; plot(ReturnCum); grid on; axis tight; title('收益曲线');