对贸易VBA循环

当我想用Excel VBAbuild立一对交易自动化时，我遇到了一个问题。

我的策略是当两只股票价差达到+/- 2标准差时开仓（OTC_Sell或OTC_Buy），当两只股票价差达到+/- 4标准差时平仓（CTC_buy或CTC_sell）或回击中庸。 一旦仓位closures，一旦我收到另一个公开交易条件（OTC），我就可以开仓。

但是，当我运行代码时，似乎循环只运行一次，因为我只能得到一个交易（以黄色突出显示）。在这个单元之后，我只能得到零而没有其他交易信号。 我重新运行从原始列旁边的单元格开始的代码，并获得另一个交易（用绿色突出显示）。要求之后，我得到全零。 而我想获得一列内的所有交易信号。

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 

这应该是循环3的问题吗？ 我试图把循环2和循环3放在一个循环下，但是我没有得到一个交易信号，但这次全是零。

  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 

Answer 1

这里有趣的问题。 通过你的代码快速浏览，没有东西跳出来。 循环3对我来说看起来不错，反正看起来并不重要。

也许你正在执行的逻辑不是你想要的？ 我已经添加了我的评论版本（没有真正的变化，除了tabbing）。 可能是一个很好的方法让你做类似检查循环1和2正在做你想要的。

另外，我是否认为平均数和标准差数据是价格比率？ 为什么不把它们在函数中解决呢？

最后，确保在将来声明variables时指定数据types。 可以避免错误和混乱。 例如，“我作为整数昏暗”

 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 

编辑：

看过程，我期望输出matrix看起来像这样：

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 

（NB，我认为零后来成为零）

这对我来说似乎是合理的。 也许你想要做的是将这些对变成一个单一的列？ 在你上传的图片中，这是你想要的。