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第五周交易25次共40手,亏损-36.2K,-5.7% (0.9,-6.8,-1.0,-19.4,-9.9)。其中原持仓亏损-12.7K,新开仓亏损-17.8K,交易亏损-5.7K。YTD -$55.8K,-8.6%。现账户资金594.7K,保证金264.6K,杠杆5.3,波动率3.0%,风险超高。
本周股市又创新高!罗素与其它指数的背离继续扩大,账户因此严重亏损。又重建了期指空仓,但是建仓太早。目前账户持有1手NG,一手GC,4手ES/RS,1手ZB/ES,1手ZB/NQ,1手HO/RB多仓与1手NQ/YM,3手ZS/ZW空仓。
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 |
7.27 |
1.71 |
$111,650 |
NQH21/YMH21 |
7.02 |
1.21 |
$116,690 |
NQH21/ESH21 |
5.37 |
0.75 |
$77,833 |
NQH21 |
5.14 |
0.63 |
$272,070 |
6CH21/6AH21 |
2.83 |
0.45 |
$1,585 |
6BH21/6AH21 |
2.80 |
0.33 |
$9,075 |
ZCH21 |
2.40 |
0.58 |
$27,450 |
6CH21 |
2.29 |
0.40 |
$78,385 |
6BH21 |
2.17 |
0.22 |
$85,875 |
ESH21/YMH21 |
1.80 |
0.65 |
$38,858 |
RBH21/HOH21 |
1.57 |
0.31 |
($2,675) |
ZBH21/YMH21 |
1.03 |
0.42 |
$11,433 |
RBH21 |
0.94 |
0.19 |
$69,409 |
NGH21 |
0.92 |
0.10 |
$28,820 |
SIH21/HGH21 |
0.84 |
0.08 |
$44,175 |
CLH21 |
0.65 |
0.32 |
$57,070 |
6JH21 |
0.51 |
0.54 |
$118,688 |
SIH21 |
0.44 |
0.11 |
$135,175 |
ZBH21/ESH21 |
0.33 |
0.10 |
($27,425) |
ZBH21 |
0.15 |
0.08 |
$166,813 |
ZSH21/ZWH21 |
0.10 |
0.35 |
$36,325 |
ZSK21/ZWK21 |
0.10 |
0.35 |
$36,013 |
GCJ21/HGH21 |
0.06 |
0.03 |
$90,520 |
CLH21/CLJ21 |
0.00 |
0.00 |
$150 |
NGH21/NGJ21 |
0.00 |
0.00 |
$340 |
ZWH21/ZWK21 |
0.00 |
0.00 |
($238) |
ZSH21 |
0.06 |
0.42 |
$68,375 |
ZWH21 |
0.42 |
0.03 |
$32,050 |
GCJ21/SIH21 |
0.57 |
0.04 |
$46,345 |
CLH21/NGH21 |
0.71 |
0.01 |
$28,250 |
HGH21 |
1.05 |
0.33 |
$91,000 |
ZWH21/ZCH21 |
1.12 |
0.17 |
$4,600 |
GCJ21 |
1.13 |
0.33 |
$181,520 |
6EH21 |
1.19 |
0.25 |
$150,725 |
6JH21/6BH21 |
1.19 |
0.30 |
$32,813 |
ZSH21/ZCH21/2 |
1.34 |
0.58 |
$13,475 |
NQH21/RSH21/2 |
1.59 |
0.84 |
$48,770 |
YMH21 |
1.65 |
0.63 |
$155,380 |
HOH21 |
1.70 |
0.34 |
$72,085 |
6AH21 |
2.68 |
0.41 |
$76,800 |
ESH21 |
3.09 |
0.31 |
$194,238 |
ZBH21/NQH21 |
4.35 |
0.48 |
($105,258) |
ESH21/RSH21/2 |
7.37 |
1.69 |
($29,063) |
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