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第八周交易67次共128手,盈利18.1K(-4.2,13.9,-18.2,11.8,14.9),3.1%。原仓-4.8,新仓7.4,交易15.5。YTD -$45.3K,-7.0%。本周新增资32.1K,现账户资金637.3K,保证金253.7K,杠杆5.1,波动率2.7%,风险非常高。
本周股市大起大落,没完没了的刺激经济计划,使道指一度又创新高。但最终本周指数均下跌。罗素与其它指数的背离也有所减少。账户盈利主要来自于做空期指,亏损主要来自黄金,债卷。目前账户持有一手GC,2手NG,2手ZB,3手ES/RS,1手ES/YM,1手NQ/RS,1手ZB/ES,1手NG掉期多仓与3手RB/HO,2手ZS/ZW空仓。本周卖掉了ZB/NQ仓位,做空的力度略有降低,风险亦略有减少。
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 |
RSH21 |
5.07 |
0.91 |
$109,770 |
NQH21/YMH21 |
4.90 |
1.04 |
$103,540 |
NQH21/ESH21 |
3.66 |
0.79 |
$67,728 |
NQH21 |
3.55 |
0.83 |
$258,115 |
6CH21/6AH21 |
2.14 |
0.25 |
$1,495 |
6BH21/6AH21 |
2.05 |
0.06 |
$9,986 |
RBJ21/HOJ21 |
1.85 |
0.07 |
$4,603 |
RBJ21 |
1.61 |
0.04 |
$81,921 |
6BH21 |
1.45 |
0.09 |
$87,006 |
ESH21/YMH21 |
1.27 |
0.17 |
$35,813 |
ZBM21/YMH21 |
1.16 |
0.20 |
$5,706 |
HGK21 |
1.14 |
0.57 |
$102,550 |
6CH21 |
1.03 |
0.23 |
$78,515 |
ZCK21 |
0.92 |
0.12 |
$27,450 |
6JH21 |
0.92 |
0.27 |
$117,338 |
ZSK21 |
0.87 |
0.61 |
$70,388 |
ZSK21/ZWK21 |
0.78 |
0.61 |
$37,375 |
ZBM21/ESH21 |
0.74 |
0.24 |
($30,106) |
NGJ21 |
0.68 |
0.29 |
$27,750 |
ZBM21 |
0.62 |
0.28 |
$160,281 |
SIK21 |
0.25 |
0.16 |
$133,500 |
ZSK21/ZCK21/2 |
0.04 |
0.44 |
$15,488 |
CLJ21/CLK21 |
0.00 |
0.00 |
$320 |
NGJ21/NGK21 |
0.00 |
0.00 |
($360) |
CLJ21 |
0.07 |
0.31 |
$61,660 |
ZWK21 |
0.26 |
0.38 |
$33,013 |
6JH21/6BH21 |
0.30 |
0.31 |
$30,331 |
SIK21/HGK21 |
0.37 |
0.16 |
$30,950 |
GCJ21/SIK21 |
0.42 |
0.18 |
$39,800 |
ZWK21/ZCK21 |
0.52 |
0.28 |
$5,563 |
6EH21 |
0.68 |
0.21 |
$150,938 |
YMH21 |
1.05 |
0.12 |
$154,575 |
HOJ21 |
1.13 |
0.21 |
$77,318 |
NQH21/RSH21/2 |
1.16 |
0.06 |
$38,575 |
GCJ21 |
1.29 |
0.23 |
$173,300 |
ESH21 |
2.15 |
0.55 |
$190,388 |
6AH21 |
2.24 |
0.38 |
$77,020 |
ZBM21/NQH21 |
2.58 |
0.97 |
($97,834) |
ESH21/RSH21/2 |
5.16 |
0.95 |
($29,153) |
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