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第42周交易71次共110手,盈利7.7K(-3.5,7.7,1.5, 2.5,-0.5),1.2%。原仓-3.4,新仓-2.2,交易13.4。YTD -$57.3K,-8.8%。现账户资金636.8K,马金75.3K,杠杆2.39,净仓0,波动率0.66%(0.41%~1.20%),风险正常。
本周股市大涨,标普又创新高!但期指配对组合无一突破前期的顶,账户仅重建了一手ES-RS空仓。ZB-6J空仓已脱手。现账户持有1手6E-6A,2手HO-CL,1手ZS-ZC多仓。1手ES-RS,2手RB-HO,2手ZW-ZC空仓。风险正常。
账户的交易情况自从5月份开始杜绝重仓,严格控制波动率后似乎在好转。波动率已从年初的2%~3%降到了目前的1%以下。波动率小风险小,大赚大亏的可能性也小。年初每周动辄盈亏数万,马金直逼账户总资金的情况再也没出现。
降低波动率的真正原因是大赚大亏的不对称性,大亏一次可能需要大赚几次才能弥补,赚再多大亏一次就有可能都还回去。波动率降低后胜率似乎在上升,过去11周仅有1周出现亏损。胜率与市场情况,交易情况等种种偶然因素有关,需要经过长期的考验。而我眼前的目标就是争取做到每周不亏。
以下是目前账户的持仓情况,
SID |
Contract/Pair |
RV |
WV |
WM |
PE |
MV |
ATR |
SR |
V% |
WN |
DateTime |
Pos |
0 |
6AZ21 |
0.92 |
-1.77 |
5.59 |
0.00% |
$74,720 |
$626 |
5.32 |
0.84% |
63 |
9/3/2021 8:33 |
-1 |
1 |
6BZ21 |
-2.94 |
-2.18 |
-5.24 |
0.00% |
$85,981 |
$532 |
1.6 |
0.62% |
51 |
9/29/2021 3:08 |
0 |
2 |
6CZ21 |
-0.8 |
-1.5 |
-5.4 |
0.00% |
$80,830 |
$574 |
5.09 |
0.71% |
59 |
9/20/2021 8:34 |
0 |
3 |
6EZ21 |
0.15 |
-1.33 |
-5.5 |
0.00% |
$145,706 |
$602 |
-1.42 |
0.41% |
67 |
9/30/2021 6:40 |
1 |
4 |
6JZ21 |
1.46 |
2.65 |
-9.13 |
0.00% |
$110,175 |
$567 |
-6.59 |
0.51% |
53 |
9/28/2021 8:48 |
0 |
5 |
CLZ21 |
-0.71 |
1.6 |
7.23 |
0.00% |
$83,980 |
$1,973 |
11.5 |
2.35% |
54 |
9/28/2021 2:28 |
-2 |
6 |
ESZ21 |
4.1 |
1.05 |
5.53 |
0.00% |
$226,463 |
$2,660 |
1.94 |
1.17% |
66 |
10/17/2021 18:01 |
-1 |
7 |
GCZ21 |
-0.65 |
1.31 |
-5.44 |
0.00% |
$179,310 |
$2,271 |
0.46 |
1.27% |
60 |
9/16/2021 9:50 |
0 |
8 |
HGZ21 |
0.2 |
-2.55 |
8.07 |
0.00% |
$112,550 |
$2,930 |
3.18 |
2.60% |
45 |
10/15/2021 9:22 |
0 |
9 |
HOZ21 |
1.92 |
-1.36 |
7.06 |
0.00% |
$106,592 |
$2,352 |
11.4 |
2.21% |
71 |
8/25/2021 8:57 |
4 |
10 |
NGZ21 |
-0.84 |
-1.33 |
9.46 |
0.00% |
$54,920 |
$3,260 |
4.47 |
5.94% |
55 |
9/27/2021 23:30 |
0 |
11 |
NQZ21 |
-1.51 |
-1.83 |
-6.8 |
0.00% |
$306,480 |
$4,224 |
1.17 |
1.38% |
71 |
9/20/2021 15:18 |
0 |
12 |
RBZ21 |
-0.06 |
1.07 |
8.28 |
0.00% |
$101,682 |
$2,364 |
11.14 |
2.32% |
58 |
8/25/2021 14:38 |
-2 |
13 |
RSZ21 |
-1.67 |
-1.61 |
4.21 |
0.00% |
$114,185 |
$1,993 |
2.94 |
1.75% |
65 |
10/15/2021 9:31 |
1 |
14 |
SIZ21 |
-0.87 |
-2.09 |
-4.62 |
0.00% |
$121,950 |
$2,996 |
2.27 |
2.46% |
61 |
9/16/2021 10:47 |
0 |
15 |
YMZ21 |
-4.82 |
1.02 |
5.91 |
0.00% |
$177,465 |
$2,066 |
1.43 |
1.16% |
68 |
10/17/2021 18:07 |
0 |
16 |
ZBZ21 |
-1.56 |
2.42 |
-5.19 |
0.00% |
$158,594 |
$1,215 |
-4.68 |
0.77% |
63 |
9/23/2021 23:56 |
0 |
17 |
ZCZ21 |
0.35 |
1.52 |
4.93 |
0.00% |
$26,913 |
$593 |
0.29 |
2.20% |
62 |
9/16/2021 7:59 |
1 |
18 |
ZSF22 |
-1.69 |
-2.95 |
-4.68 |
0.00% |
$61,488 |
$1,058 |
-3.01 |
1.72% |
63 |
9/21/2021 10:09 |
1 |
19 |
ZWZ21 |
1.87 |
2.56 |
5.09 |
0.00% |
$37,913 |
$820 |
1.95 |
2.16% |
56 |
9/26/2021 21:55 |
-2 |
20 |
6BZ21-6AZ21 |
-2.91 |
-1.09 |
-4.39 |
30.81% |
$11,261 |
$433 |
-5.73 |
0.58% |
82 |
9/2/2021 9:29 |
0 |
21 |
6CZ21-6AZ21 |
-0.96 |
1.25 |
-4.93 |
33.59% |
$6,110 |
$416 |
-0.99 |
0.56% |
74 |
10/20/2021 22:03 |
0 |
22 |
6CZ21-HGZ21 |
-0.29 |
2.71 |
-5.31 |
10.62% |
($31,720) |
$2,619 |
-2.45 |
2.33% |
55 |
10/13/2021 23:23 |
0 |
23 |
6EZ21-6AZ21 |
-0.1 |
2.13 |
-5.22 |
19.35% |
$70,986 |
$505 |
-8.29 |
0.68% |
90 |
9/30/2021 20:14 |
1 |
24 |
6EZ21-6BZ21 |
1.12 |
1.08 |
-5.15 |
18.98% |
$59,725 |
$488 |
-3.5 |
0.33% |
84 |
9/9/2021 10:44 |
0 |
25 |
6EZ21-6CZ21 |
0.5 |
1.85 |
-4.71 |
9.74% |
$64,876 |
$544 |
-6.95 |
0.37% |
91 |
9/30/2021 7:16 |
0 |
26 |
ESZ21-RSZ21 |
2.14 |
2.06 |
8.98 |
35.51% |
$112,278 |
$1,715 |
-0.4 |
0.76% |
64 |
10/20/2021 9:51 |
-1 |
27 |
ESZ21-YMZ21 |
4.64 |
-2.01 |
-5.67 |
62.14% |
$48,998 |
$1,007 |
2.19 |
0.44% |
88 |
9/20/2021 15:18 |
0 |
28 |
GCZ21-SIZ21 |
0.75 |
-1.44 |
-5.14 |
36.36% |
$57,360 |
$1,907 |
-3.02 |
1.56% |
56 |
10/18/2021 4:15 |
0 |
29 |
HOZ21-CLZ21 |
1.72 |
-4.78 |
5.5 |
57.89% |
$22,612 |
$990 |
4.16 |
0.93% |
95 |
10/6/2021 4:42 |
2 |
30 |
NQZ21-ESZ21 |
2.02 |
-2.54 |
4.36 |
48.23% |
$80,018 |
$2,187 |
-0.1 |
0.71% |
71 |
8/31/2021 2:42 |
0 |
31 |
NQZ21-RSZ21 |
-0.52 |
-1.58 |
-6.16 |
21.54% |
$192,295 |
$3,314 |
-0.27 |
1.08% |
73 |
9/20/2021 15:18 |
0 |
32 |
NQZ21-YMZ21 |
2.9 |
-2.44 |
-5.62 |
28.93% |
$129,015 |
$3,002 |
0.66 |
0.98% |
59 |
9/20/2021 15:18 |
0 |
33 |
RBZ21-CLZ21 |
0.13 |
-3.67 |
3.86 |
56.52% |
$17,702 |
$1,028 |
3.55 |
1.01% |
107 |
8/25/2021 22:25 |
0 |
34 |
RBZ21-HOZ21 |
-0.94 |
1.45 |
4.44 |
60.99% |
($4,910) |
$922 |
-0.52 |
0.91% |
118 |
10/18/2021 3:08 |
-2 |
35 |
YMZ21-RSZ21 |
-1.98 |
2.67 |
-4.91 |
33.89% |
$63,280 |
$1,366 |
-2.12 |
0.77% |
75 |
10/13/2021 11:26 |
0 |
36 |
ZBZ21-6JZ21 |
-2.07 |
-1.18 |
5.61 |
16.00% |
$48,419 |
$1,021 |
-1.91 |
0.64% |
67 |
10/12/2021 16:10 |
0 |
37 |
ZSF22-ZCZ21 |
-1.68 |
-4.48 |
-7.3 |
31.42% |
$34,575 |
$726 |
-4.63 |
1.18% |
69 |
10/4/2021 22:24 |
1 |
38 |
ZSF22-ZWZ21 |
-2.06 |
-4.43 |
-10.01 |
7.78% |
$23,575 |
$976 |
-4.9 |
1.59% |
56 |
10/4/2021 9:32 |
0 |
39 |
ZWZ21-ZCZ21 |
1.37 |
-1.05 |
-5.78 |
21.88% |
$11,000 |
$641 |
2.22 |
1.69% |
69 |
9/10/2021 11:49 |
-2 |
40 |
PTF |
29.1 |
-4.11 |
-4.47 |
0.00% |
$636,814 |
$4,230 |
-0.02 |
0.66% |
81 |
10/17/2021 22:50 |
0 |
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