帕努奇交易记第11周：2.1%, 年-12.9%

   第11周交易59次共78手，盈利11.1K，2.1%（5.0，4.2，5.7，-3.0，-0.9），原仓1.7，新仓（换约）9.8，交易-0.8。YTD -80.9K，-12.9%。现账户资金547.2K，杠杆0.27，净仓0，波动率0.50%（0.12%～1.99%），风险正常。

   本周股市强劲反弹，商品期货出现暴跌。盈利主要来自做空原油期货的溢价。目前账户持有1手6B-6A多仓。4手CLK-CLM空仓。风险正常。CLK-CLM目前的溢价为$2.55美元，在CLK22到期时必将下跌，除非原油又暴涨。原油不同合约之间的配对效应（PE）超过85%，因此拿6手CLK-CLM的风险还不比拿一手原油的风险高。

   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
46	PTF	32.39	2.28	6.44	0.00%	$547,207	$2,722	0.50%	0.50%	93.8	03/18 17:18	0
45	ZWK22-ZCK22	2.54	(1.62)	8.06	6.82%	$15,938	$2,099	0.38%	3.96%	89	03/08 13:43	-2
44	ZSK22-ZWK22	(0.79)	1.34	8.42	-18.71%	$30,313	$2,674	0.49%	5.05%	79	02/03 10:54	-2
43	ZSK22-ZCK22	0.39	1.21	6.73	33.20%	$46,250	$1,338	0.24%	1.61%	83	02/02 08:15	2
42	ZBM22-6JM22	(1.78)	2.97	4.26	12.63%	$47,131	$1,532	0.28%	1.01%	84	02/27 18:00	0
41	YMM22-RSM22	0.55	1.67	4.09	38.37%	$69,195	$2,154	0.39%	1.24%	137	03/16 08:24	0
40	RBJ22-HOJ22	(0.95)	(2.56)	8.73	53.93%	($14,612)	$3,744	0.68%	2.48%	85	03/09 05:04	0
39	RBJ22-CLJ22	1.22	2.29	4.82	65.81%	$31,068	$2,023	0.37%	1.49%	162	03/02 21:34	0
38	NQM22-YMM22	1.74	3.63	4.75	29.11%	$115,185	$6,786	1.24%	2.35%	77	02/25 08:36	0
37	NQM22-RSM22	0.39	3.67	(6.57)	23.03%	$184,380	$7,368	1.35%	2.55%	75	01/24 12:17	0
36	NQM22-ESM22	1.78	3.50	4.65	50.26%	$65,455	$4,761	0.87%	1.65%	69	02/25 08:33	0
35	NGJ22-NGK22	0.00	1.03	3.24	84.69%	($340)	$407	0.07%	0.83%	531	02/18 02:49	0
34	HOJ22-CLJ22	3.03	2.72	(7.40)	46.97%	$45,680	$4,310	0.79%	2.86%	88	03/09 05:04	0
33	HGK22-SIK22	0.53	3.12	(5.36)	-5.55%	($7,775)	$3,723	0.68%	2.96%	79	03/08 07:50	0
32	GCJ22-SIK22	0.19	(1.11)	(4.37)	37.93%	$66,475	$2,190	0.40%	1.74%	90	01/19 05:59	0
31	ESM22-YMM22	2.96	3.13	(3.71)	52.87%	$49,730	$2,576	0.47%	1.15%	139	03/15 05:08	0
30	ESM22-RSM22	4.04	3.24	(4.02)	40.64%	$118,925	$3,245	0.59%	1.45%	113	02/24 02:18	0
29	CLK22-CLM22	0.00	1.71	(10.09)	87.26%	$2,550	$656	0.12%	0.64%	190	03/14 01:38	-4
28	CLJ22-CLK22	0.00	1.83	8.01	90.25%	$1,820	$524	0.10%	0.50%	173	03/01 12:04	0
27	6EM22-6CM22	0.49	1.52	(6.77)	6.89%	$59,171	$1,054	0.19%	0.76%	73	03/06 20:51	0
26	6EM22-6AM22	(0.70)	(2.86)	(10.37)	7.81%	$64,286	$1,043	0.19%	0.75%	70	03/06 20:52	0
25	6CM22-6AM22	(1.44)	(1.86)	5.77	21.46%	$5,115	$571	0.10%	0.77%	85	03/14 22:58	0
24	6BM22-6CM22	(1.89)	1.90	(5.04)	-0.34%	$2,971	$553	0.10%	0.70%	81	02/24 10:55	0
23	6BM22-6AM22	(2.62)	(4.17)	(8.97)	11.99%	$8,086	$639	0.12%	0.86%	74	03/06 20:52	1
22	ZWK22	2.55	(2.12)	11.60	1,060.00	$53,000	$2,253	0.41%	4.25%	79	03/07 20:00	0
21	ZSK22	0.39	(1.81)	5.69	1,666.25	$83,313	$2,003	0.37%	2.40%	65	02/23 23:01	0
20	ZCK22	(1.23)	(1.92)	5.54	741.25	$37,063	$1,052	0.19%	2.84%	75	02/23 23:25	0
19	ZBM22	(2.85)	2.03	(6.49)	152'100	$152,313	$1,754	0.32%	1.15%	75	03/10 10:24	0
18	YMM22	(3.18)	3.90	(6.48)	34,704.00	$173,520	$3,496	0.64%	2.01%	79	01/24 12:17	0
17	SIK22	(0.18)	(2.14)	5.51	25.14	$125,675	$3,528	0.64%	2.81%	49	02/24 05:42	0
16	RSM22	(3.19)	3.52	5.00	2,086.50	$104,325	$3,193	0.58%	3.06%	55	02/02 05:35	0
15	RBJ22	0.78	1.35	9.04	3.24	$136,168	$5,918	1.08%	4.35%	78	03/06 18:03	0
14	NQM22	(1.21)	3.98	5.91	14,435.25	$288,705	$9,573	1.75%	3.32%	63	02/02 07:31	0
13	NGK22	(0.97)	1.04	(5.07)	4.94	$49,390	$2,550	0.47%	5.16%	77	03/08 08:03	0
12	NGJ22	(0.97)	1.02	5.06	4.91	$49,050	$2,659	0.49%	5.42%	75	01/28 09:20	0
11	HOJ22	2.82	1.90	8.09	3.59	$150,780	$8,128	1.49%	5.39%	64	03/06 18:02	0
10	HGK22	0.85	4.71	(5.78)	4.72	$117,900	$3,042	0.56%	2.58%	63	03/07 11:37	0
9	GCJ22	0.18	(2.02)	(5.79)	1,921.50	$192,150	$3,201	0.58%	1.67%	64	02/24 15:07	0
8	ESM22	3.26	3.95	5.77	4,465.00	$223,250	$5,466	1.00%	2.45%	71	02/02 15:20	0
7	CLM22	(2.21)	1.07	7.45	100.73	$100,730	$4,778	0.87%	4.74%	88	03/06 18:03	4
6	CLK22	(2.21)	1.17	7.45	103.28	$103,280	$5,150	0.94%	4.99%	84	03/06 18:02	-4
5	CLJ22	(2.21)	1.24	7.45	105.10	$105,100	$5,378	0.98%	5.12%	80	03/06 18:01	0
4	6JM22	(0.32)	(3.13)	(8.38)	0.01	$105,181	$571	0.10%	0.54%	54	03/14 21:27	0
3	6EM22	(0.54)	1.47	(5.30)	1.11	$138,531	$1,132	0.21%	0.82%	75	03/04 08:52	0
2	6CM22	(2.26)	1.20	(5.65)	0.79	$79,360	$551	0.10%	0.69%	54	01/24 11:49	0
1	6BM22	(2.50)	1.97	(7.98)	1.32	$82,331	$534	0.10%	0.65%	73	02/24 11:01	1
0	6AM22	0.89	1.53	5.71	0.74	$74,245	$727	0.13%	0.98%	49	03/03 10:02	-1