|
第49周交易48次共92手,亏损-13.0K,-1.9% (8.0,-8.2,5.2,-2.7,-15.2),若无交易-16.8K。YTD -$193.6K,-22.6%。现账户资金663.1K,保证金280.1K,杠杆3.9,波动率2.8%,风险极高。
本周股市续创新高。黄金白银反弹,但债卷大跌。账户仍因做空股市,做多债卷而严重亏损。已卖掉黄金白银多仓,增加了2手ES/ZB空仓。目前账户持有3手ES/RS,1手NG,2手ZW/ZC多仓。与1手HG,2手ES/ZB,2手NQ/ZB,5手ZS/ZW空仓。与上周相比,增加了做空股市,风险也因此增加。
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 |
NQH21/YMH21 |
5.13 |
0.12 |
$99,695 |
NQH21/ESH21 |
4.87 |
0.04 |
$65,945 |
NQZ20 |
4.58 |
0.12 |
$250,185 |
RSH21 |
3.76 |
0.32 |
$94,395 |
6BZ20/6AZ20 |
2.58 |
0.36 |
$9,743 |
6CZ20/6AZ20 |
2.35 |
0.48 |
$3,940 |
6BZ20/HOF21 |
2.22 |
0.14 |
$25,250 |
6BZ20 |
2.16 |
0.23 |
$84,013 |
6CZ20 |
1.98 |
0.38 |
$78,210 |
ZSF21/ZWH21 |
1.53 |
0.07 |
$29,238 |
ZSF21 |
1.49 |
0.06 |
$58,075 |
NGF21 |
0.95 |
0.08 |
$25,530 |
SIH21 |
0.86 |
0.27 |
$121,600 |
NQH21/RSH21/2 |
0.83 |
0.38 |
$61,280 |
ZCH21 |
0.75 |
0.19 |
$21,000 |
RBF21 |
0.73 |
0.09 |
$53,000 |
ZBH21/YMH21 |
0.60 |
0.63 |
$21,156 |
SIH21/HGH21 |
0.54 |
0.48 |
$33,375 |
ZSF21/ZCH21/2 |
0.53 |
0.14 |
$16,075 |
ZBH21/ESH21 |
0.49 |
0.83 |
($12,594) |
ESH21/YMH21 |
0.38 |
0.32 |
$33,750 |
ZBH21 |
0.35 |
0.84 |
$171,531 |
ZBH21/6JZ20 |
0.29 |
0.44 |
$51,538 |
HGH21 |
0.22 |
0.56 |
$88,225 |
CLF21 |
0.12 |
0.13 |
$46,090 |
CLG21/CLF21 |
0.00 |
0.00 |
$180 |
NGG21/NGF21 |
0.00 |
0.00 |
$100 |
6JZ20 |
0.06 |
0.22 |
$119,994 |
YMH21 |
0.50 |
0.32 |
$150,375 |
GCG21/6JZ20 |
0.77 |
0.57 |
$64,206 |
GCG21/HGH21 |
0.79 |
0.71 |
$95,975 |
HOF21/NGF21/2 |
0.81 |
0.08 |
$7,702 |
CLF21/NGF21 |
0.88 |
0.04 |
$20,560 |
GCG21/SIH21 |
0.93 |
0.17 |
$62,600 |
ZWH21 |
0.98 |
0.35 |
$28,838 |
GCG21 |
1.04 |
0.51 |
$184,200 |
6EZ20 |
1.04 |
0.24 |
$151,544 |
ZWH21/ZCH21 |
1.06 |
0.36 |
$7,838 |
HOF21/RBF21 |
1.21 |
0.08 |
$5,762 |
HOF21 |
1.32 |
0.00 |
$58,762 |
6JZ20/6BZ20 |
1.67 |
0.36 |
$35,981 |
6AZ20 |
2.22 |
0.46 |
$74,270 |
ESH21 |
2.74 |
0.19 |
$184,125 |
ZBH21/NQZ20 |
3.52 |
0.64 |
($78,654) |
ZBH21/NQH21 |
3.52 |
0.64 |
($78,539) |
ESH21/RSH21/2 |
3.82 |
0.31 |
($4,665) |
|
|
|
|
|
|