当我想使用Excel VBA建立一对交易自动化时，我遇到了问题。
我的策略是当两只股票的点差达到+/- 2标准差时开仓（OTC_Sell或OTC_Buy），并在两只股票的点差达到+/- 4时平仓（CTC_buy或CTC_sell）标准偏差或回击均值。一旦仓位平仓，我可以在收到另一个未平仓交易条件（OTC）后再开仓。
然而，当我运行代码时，似乎循环只运行一次，因为我只能进行一次交易（以黄色突出显示）。在此单元格之后，我只能获得零但没有其他交易信号。我从原始列旁边的那个单元格重新运行代码并获得另一个交易（以绿色突出显示）。但是，之后我得到全零。而我希望在一列内得到所有交易信号。
Function SignalCTC(Price1, Price2, Mean, SD, StopLoss)
Dim i, j, k, m, n, o, p, numRows, numOTC, order, list, flag, finish
numRows = Price1.Rows.Count
Dim SignalColOTC()
ReDim SignalColOTC(numRows, 1)
Dim Price1Col()
ReDim Price1Col(numRows)
Dim Price2Col()
ReDim Price2Col(numRows)
Dim P_Ratio()
ReDim P_Ratio(numRows)
'Loop 1
For i = 1 To numRows
P_Ratio(i) = Price1(i) / Price2(i)
Next i
UpperLim = Mean + (2 * SD)
LowerLim = Mean - (2 * SD)
Count = 0
flag = 0
For i = 1 To numRows
If (Count = 0 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > LowerLim)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 0 And (P_Ratio(i) > UpperLim)) Then
Count = 1
flag = 1
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 0 And (P_Ratio(i) < LowerLim)) Then
Count = 1
flag = -1
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 1 And flag = 1 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Sell"
ElseIf (Count = 1 And flag = -1 And (P_Ratio(i) > LowerLim) And (P_Ratio(i) < Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Buy"
Else: SignalColOTC(i, 1) = "Wait&See"
End If
Next i
numOTC = 0
order = 0
list = 0
For i = 1 To numRows
If (SignalColOTC(i, 1) = "OTC_Sell") Or (SignalColOTC(i, 1) = "OTC_Buy") Then
numOTC = numOTC + 1
Else: numOTC = numOTC
End If
Next i
'Dim x
'Loop 2
Dim SignalColCTC()
ReDim SignalColCTC(numRows, numOTC)
For n = 1 To numRows
If (SignalColOTC(n, 1) = "OTC_Sell") Then
list = list + 1
SignalColCTC(n, list) = "OTC_Sell"
For j = n + 1 To numRows
If ((P_Ratio(j) < Mean) Or (Abs(P_Ratio(j)) > (1 + StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(j, list) = "CTC_Buy"
Else: SignalColCTC(j, list) = "Wait&See"
End If
Next j
ElseIf (SignalColOTC(n, 1) = "OTC_Buy") Then
list = list + 1
SignalColCTC(n, list) = "OTC_Buy"
For k = n + 1 To numRows
If ((P_Ratio(k) > Mean) Or (Abs(P_Ratio(k)) < (1 - StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(k, list) = "CTC_Sell"
Else: SignalColCTC(k, list) = "Wait&See"
End If
Next k
End If
Next n
'Loop 3
For o = 1 To numRows
For list = 1 To numOTC
If (SignalColCTC(o, list) = "CTC_Buy") Or (SignalColCTC(o, list) = "CTC_Sell") Then
For p = o + 1 To numRows
SignalColCTC(p, list) = "0"
Next p
End If
Next list
Next o
SignalCTC = SignalColCTC
End Function
这应该是Loop 3的问题吗？我试图将循环2和循环3放在一个循环中，但是我甚至没有一个交易信号，但这次都是零。
Function SignalCTC(Price1, Price2, Mean, SD, StopLoss)
Dim i, j, k, m, n, o, p, numRows, numOTC, order, list, flag, finish
numRows = Price1.Rows.Count
Dim SignalColOTC()
ReDim SignalColOTC(numRows, 1)
Dim Price1Col()
ReDim Price1Col(numRows)
Dim Price2Col()
ReDim Price2Col(numRows)
Dim P_Ratio()
ReDim P_Ratio(numRows)
'Loop 1
For i = 1 To numRows
P_Ratio(i) = Price1(i) / Price2(i)
Next i
UpperLim = Mean + (2 * SD)
LowerLim = Mean - (2 * SD)
Count = 0
flag = 0
For i = 1 To numRows
If (Count = 0 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > LowerLim)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 0 And (P_Ratio(i) > UpperLim)) Then
Count = 1
flag = 1
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 0 And (P_Ratio(i) < LowerLim)) Then
Count = 1
flag = -1
SignalColOTC(i, 1) = "Wait&See"
ElseIf (Count = 1 And flag = 1 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Sell"
ElseIf (Count = 1 And flag = -1 And (P_Ratio(i) > LowerLim) And (P_Ratio(i) < Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Buy"
Else: SignalColOTC(i, 1) = "Wait&See"
End If
Next i
numOTC = 0
order = 0
list = 0
For i = 1 To numRows
If (SignalColOTC(i, 1) = "OTC_Sell") Or (SignalColOTC(i, 1) = "OTC_Buy") Then
numOTC = numOTC + 1
Else: numOTC = numOTC
End If
Next i
'Dim x
x=1
For Y=x to numRows
'Loop 2
Dim SignalColCTC()
ReDim SignalColCTC(numRows, numOTC)
For n = x To numRows
If (SignalColOTC(n, 1) = "OTC_Sell") Then
list = list + 1
SignalColCTC(n, list) = "OTC_Sell"
For j = n + 1 To numRows
If ((P_Ratio(j) < Mean) Or (Abs(P_Ratio(j)) > (1 + StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(j, list) = "CTC_Buy"
Else: SignalColCTC(j, list) = "Wait&See"
End If
Next j
ElseIf (SignalColOTC(n, 1) = "OTC_Buy") Then
list = list + 1
SignalColCTC(n, list) = "OTC_Buy"
For k = n + 1 To numRows
If ((P_Ratio(k) > Mean) Or (Abs(P_Ratio(k)) < (1 - StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(k, list) = "CTC_Sell"
Else: SignalColCTC(k, list) = "Wait&See"
End If
Next k
End If
Next n
'Loop 3
For o = x To numRows
For list = 1 To numOTC
If (SignalColCTC(o, list) = "CTC_Buy") Or (SignalColCTC(o, list) = "CTC_Sell") Then
For p = o + 1 To numRows
SignalColCTC(p, list) = "0"
Next p
End If
x = p
Next list
Next o
Next Y
SignalCTC = SignalColCTC
End Function
答案 0 :(得分：0)
也许你实施的逻辑不是你想要的？我添加了我的评论版本（除标签外没有真正的变化）。可能是一个很好的方法，你做类似检查循环1和2正在做你想要的。
另外，我假设平均值和SD输入是价格比率？为什么不在功能中解决它们？
最后，请确保在将来声明变量时指定数据类型。可以避免错误和混乱。例如'dim i as integer'
Function SignalCTC(Price1, Price2, Mean, SD, StopLoss)
Dim i, j, k, m, n, o, p, numRows, numOTC, order, list, flag, finish
numRows = Price1.Rows.Count
Dim SignalColOTC()
ReDim SignalColOTC(numRows, 1)
Dim Price1Col()
ReDim Price1Col(numRows)
Dim Price2Col()
ReDim Price2Col(numRows)
Dim P_Ratio()
ReDim P_Ratio(numRows)
'calculate ratios
For i = 1 To numRows
P_Ratio(i) = Price1(i) / Price2(i)
Next i
UpperLim = Mean + (2 * SD)
LowerLim = Mean - (2 * SD)
Count = 0
flag = 0
'Loop 1
'identify possible opening events
For i = 1 To numRows
'if no events (within limits), reset
If (Count = 0 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > LowerLim)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "Wait&See"
'if exceeds for the first time
ElseIf (Count = 0 And (P_Ratio(i) > UpperLim)) Then
Count = 1
flag = 1
SignalColOTC(i, 1) = "Wait&See"
'if under limit for the first time
ElseIf (Count = 0 And (P_Ratio(i) < LowerLim)) Then
Count = 1
flag = -1
SignalColOTC(i, 1) = "Wait&See"
'if already exceeded once and now within limits
ElseIf (Count = 1 And flag = 1 And (P_Ratio(i) < UpperLim) And (P_Ratio(i) > Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Sell"
'if were under limit once and now within limits
ElseIf (Count = 1 And flag = -1 And (P_Ratio(i) > LowerLim) And (P_Ratio(i) < Mean)) Then
Count = 0
flag = 0
SignalColOTC(i, 1) = "OTC_Buy"
Else
SignalColOTC(i, 1) = "Wait&See"
End If
Next i
numOTC = 0
order = 0
list = 0
'count opening events
For i = 1 To numRows
If (SignalColOTC(i, 1) = "OTC_Sell") Or (SignalColOTC(i, 1) = "OTC_Buy") Then
numOTC = numOTC + 1
Else
'numOTC = numOTC 'redundant, don't need
End If
Next i
'Loop 2
'identify closing events
Dim SignalColCTC()
ReDim SignalColCTC(numRows, numOTC)
For n = 1 To numRows
If (SignalColOTC(n, 1) = "OTC_Sell") Then
list = list + 1 'scroll to next column
SignalColCTC(n, list) = "OTC_Sell" 'we know this is the sale event
For j = n + 1 To numRows 'remaining rows
'if hits mean, or makes a big loss
If ((P_Ratio(j) < Mean) Or (Abs(P_Ratio(j)) > (1 + StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(j, list) = "CTC_Buy" 'close position
Else
SignalColCTC(j, list) = "Wait&See"
End If
Next j
ElseIf (SignalColOTC(n, 1) = "OTC_Buy") Then 'logic repeated for sale
list = list + 1
SignalColCTC(n, list) = "OTC_Buy"
For k = n + 1 To numRows
If ((P_Ratio(k) > Mean) Or (Abs(P_Ratio(k)) < (1 - StopLoss) * Abs(P_Ratio(n)))) Then
SignalColCTC(k, list) = "CTC_Sell"
Else
SignalColCTC(k, list) = "Wait&See"
End If
Next k
End If
Next n
'Loop 3
'just filling zeros after position is closed
For o = 1 To numRows
For list = 1 To numOTC
If (SignalColCTC(o, list) = "CTC_Buy") Or (SignalColCTC(o, list) = "CTC_Sell") Then
For p = o + 1 To numRows
SignalColCTC(p, list) = "0"
Next p
End If
Next list
Next o
SignalCTC = SignalColCTC
End Function
修改
通过这个过程，我希望输出矩阵看起来像：
SignalColCTC：
OTC_Buy Null Null
Wait&See Null Null
Wait&See OTC_Sell Null
Wait&See Wait&See Null
CTC_Sell Wait&See Null
0 CTC_Buy OTC_Buy
0 0 Wait&See
（N.B。我认为空值后来变为零）
这对我来说似乎是合理的。也许你想要做的是将对转换成一列？您上传的图片中似乎是您想要的。