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第38周交易21次共44手。亏损9.1K,-1.4% (1.8, -1.0, -6.6, -1.7,-1.5)。YTD -$214.0K,-25.0。 现账户资金643.0K,保证金141.9K,杠杆1.9,波动率1.2%,风险正常。
本周股市继续下跌。增加了一手HO/RB多仓,没有机会割掉ZS/ZW空仓。目前账户持有2手NG,4手HO/RB,1手NQ/RS多仓与4手ZS/ZW空仓,风险正常。股市连跌3周,近期账户已倾向于做多。
以下是本周期货及配对组合相对值及变化情况。
期货/组合 |
RV |
变化 |
市值 |
NQZ20/RSZ20/2 |
2.64 |
0.93 |
$65,330 |
6BZ20/HOV20 |
2.63 |
0.85 |
$32,202 |
NQZ20 |
2.61 |
0.05 |
$218,770 |
SIZ20 |
2.53 |
0.34 |
$134,750 |
NQZ20/ESZ20 |
2.50 |
0.29 |
$52,908 |
SIZ20/HGZ20 |
2.07 |
0.34 |
$57,075 |
GCZ20/6JZ20 |
1.92 |
0.45 |
$76,054 |
NGV20 |
1.84 |
0.42 |
$20,570 |
NQZ20/YMZ20 |
1.74 |
0.18 |
$80,745 |
6BZ20 |
1.70 |
0.66 |
$80,788 |
6BZ20/6AZ20 |
1.66 |
0.75 |
$7,848 |
ZSX20/ZCZ20/2 |
1.60 |
0.07 |
$14,350 |
ZSX20 |
1.51 |
0.16 |
$52,175 |
CLX20 |
1.45 |
0.30 |
$41,150 |
ZSX20/ZWZ20 |
1.30 |
0.33 |
$23,313 |
YMZ20 |
1.24 |
0.18 |
$138,025 |
ZBZ20/6JZ20 |
1.11 |
0.71 |
$56,313 |
6CZ20/6AZ20 |
0.65 |
0.42 |
$2,830 |
GCZ20 |
0.63 |
0.33 |
$195,710 |
ESZ20/RSZ20/2 |
0.27 |
1.09 |
$12,423 |
6CZ20 |
0.27 |
0.16 |
$75,770 |
ZWZ20/ZCZ20 |
0.15 |
0.52 |
$9,950 |
RBV20 |
0.15 |
0.60 |
$51,912 |
NGX20/NGV20 |
0.00 |
0.00 |
$5,670 |
RBV20/CLX20 |
0.08 |
0.51 |
$10,762 |
ZBZ20/ESZ20 |
0.23 |
0.03 |
$10,106 |
ZWZ20 |
0.27 |
0.60 |
$28,863 |
RSZ20 |
0.31 |
1.10 |
$76,720 |
ZBZ20 |
0.34 |
0.05 |
$175,969 |
HGZ20 |
0.34 |
0.16 |
$77,675 |
6EZ20 |
0.68 |
0.41 |
$148,269 |
6AZ20 |
0.70 |
0.56 |
$72,940 |
ZBZ20/YMZ20 |
0.99 |
0.05 |
$37,944 |
ZCZ20 |
1.19 |
0.05 |
$18,913 |
HOV20/RBV20 |
1.19 |
0.80 |
($3,326) |
ESZ20/YMZ20 |
1.27 |
0.16 |
$27,838 |
CLX20/NGV20 |
1.34 |
0.31 |
$20,580 |
HOV20/NGV20/2 |
1.54 |
0.33 |
$7,446 |
ESZ20 |
1.77 |
0.29 |
$165,863 |
6JZ20 |
1.92 |
0.97 |
$119,656 |
GCZ20/SIZ20 |
2.16 |
0.36 |
$60,960 |
HOV20/CLX20 |
2.33 |
0.65 |
$7,436 |
HOV20 |
2.37 |
0.67 |
$48,586 |
ZBZ20/NQZ20 |
2.40 |
0.08 |
($42,801) |
6JZ20/6BZ20 |
2.92 |
0.35 |
$38,869 |
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