白银期货套利模型：AG2312 & AG2401 价差策略

以下是一个简单的白银两个合约套利模型的示例，利用 AG2312 和 AG2401 合约价差进行交易：\n\npython\nimport numpy as np\nimport pandas as pd\n\n# 读取合约价格数据\ndf = pd.read_csv('silver_contract_prices.csv') # 假设已经有合约价格数据\n\n# 计算合约价差\ndf['spread'] = df['ag2312'] - df['ag2401']\n\n# 初始化仓位\nposition = 0\nentry_price = 0\n\n# 设置套利条件\nentry_threshold = 6\nexit_threshold = 9\n\n# 开始套利\nfor i in range(len(df)):\n spread = df['spread'][i]\n \n # 判断是否满足开仓条件\n if spread >= entry_threshold and position == 0:\n entry_price = df['ag2401'][i] # 买多价高的合约\n position = 1\n print(f"买多 ag2401，价格：{entry_price}")\n elif spread <= -entry_threshold and position == 0:\n entry_price = df['ag2312'][i] # 买多价低的合约\n position = -1\n print(f"买多 ag2312，价格：{entry_price}")\n \n # 判断是否满足平仓条件\n if spread >= exit_threshold and position == -1:\n exit_price = df['ag2401'][i] # 平仓价高的合约\n pnl = entry_price - exit_price\n position = 0\n print(f"平仓 ag2312，价格：{exit_price}，盈亏：{pnl}")\n elif spread <= -exit_threshold and position == 1:\n exit_price = df['ag2312'][i] # 平仓价低的合约\n pnl = exit_price - entry_price\n position = 0\n print(f"平仓 ag2401，价格：{exit_price}，盈亏：{pnl}")\n\n\n请注意，这只是一个简单的示例模型，实际的期货套利策略需要根据市场情况和个人偏好进行细化和优化。此外，还需要考虑手续费、滑点等交易成本因素，并根据实际情况进行风险管理。