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第11周交易61次共111手,盈利30.2K(7.6,13.7,-0.9,-5.0,14.8),5.3%。原仓27.1,新仓0,交易3.6,手续费$606。YTD -$78.7K,-12.1%。现账户资金603.9K,保证金175.4K,杠杆4.0,波动率1.8%,风险较高。
本周股市在创新高后下跌,账户得以顺利减仓。目前账户持有3手NG,2手ZB,1手ES/RS,2手ES/YM,1手NQ/RS,1手ZB/ES,1手ZB/YM多仓与1手RB/HO,2手ZS/ZW空仓。
上周账户已接近满仓,一订单甚至被卷商以马金超标而拒绝执行。卷商只注意杠杆,不管你是否对冲。本周执行了减仓计划,风险已大大降低。已决定,今后如果组合后的风险大于原有期货的风险,将不再作为交易对象。已严重亏损的ZB/ES,ZB/YM仓位将尽快割掉。配对的目的本来就是为了降低风险,虽然不可能做到完全中性(不同的期货),但用相关的期货对冲可以降低风险,用不相关的期货对冲则有可能增加风险。以下是一些有效的期货配对降低风险的例子
CL C-F |
-80.16% |
RB C-F |
-75.88% |
HO C-F |
-75.79% |
NG C-F |
-75.07% |
ES-YM |
-62.81% |
ES-NQ |
-53.14% |
CL-HO |
-49.55% |
CL-RB |
-48.19% |
HO-RB |
-47.78% |
NQ-YM |
-41.14% |
RS-YM |
-38.42% |
ES-RS |
-36.76% |
GC-SI |
-36.05% |
ZC-ZW |
-24.71% |
ZC-ZS |
-22.26% |
6A-6C |
-21.88% |
NQ-RS |
-21.73% |
6B-6E |
-15.15% |
6C-6E |
-13.89% |
6A-6E |
-13.37% |
6A-6B |
-11.04% |
6C-HG |
-11.03% |
6J-ZB |
-6.75% |
ZS-ZW |
-6.67% |
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下面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 |
RSM21 |
4.46 |
1.04 |
$114,070 |
6BM21-6AM21 |
2.79 |
0.23 |
$9,205 |
NQM21-YMM21 |
2.73 |
0.83 |
$94,070 |
NQM21 |
2.67 |
0.20 |
$256,620 |
6CM21-6AM21 |
2.59 |
0.25 |
$2,550 |
6BM21 |
2.23 |
0.42 |
$86,650 |
6CM21 |
2.02 |
0.04 |
$79,995 |
NQM21-ESM21 |
1.73 |
0.42 |
$61,770 |
ZCK21 |
1.68 |
0.58 |
$27,838 |
ZSK21-ZWK21 |
1.51 |
0.77 |
$39,500 |
RBJ21-HOJ21 |
1.45 |
0.91 |
$4,872 |
ZSK21 |
1.28 |
0.56 |
$70,825 |
ZSK21-ZCK21 |
1.23 |
0.54 |
$42,988 |
NGJ21 |
0.95 |
0.06 |
$25,450 |
RBJ21 |
0.67 |
1.29 |
$81,480 |
CLK21 |
0.56 |
0.59 |
$61,480 |
RBJ21-CLK21 |
0.55 |
1.29 |
$20,000 |
6JM21 |
0.46 |
0.67 |
$114,894 |
YMM21 |
0.34 |
0.69 |
$162,550 |
NQM21-RSM21 |
0.04 |
0.37 |
$142,550 |
SIK21 |
0.03 |
0.13 |
$131,600 |
CLK21-CLM21 |
0.00 |
0.00 |
$120 |
HOJ21-HOK21 |
0.00 |
0.00 |
($13) |
NGJ21-NGK21 |
0.00 |
0.00 |
($310) |
RBJ21-RBK21 |
0.00 |
0.00 |
$4 |
GCJ21 |
0.01 |
0.47 |
$174,410 |
GCJ21-SIK21 |
0.03 |
0.04 |
$42,810 |
HGK21 |
0.09 |
0.38 |
$102,575 |
6CM21-HGK21 |
0.15 |
0.39 |
($22,580) |
ESM21-YMM21 |
0.16 |
0.73 |
$32,300 |
6EM21-6AM21 |
0.56 |
0.56 |
$71,643 |
ZBM21-ESM21 |
0.72 |
0.86 |
($40,538) |
ZBM21 |
0.89 |
0.88 |
$154,313 |
ZBM21-6JM21 |
0.95 |
0.15 |
$39,419 |
ZBM21-YMM21 |
1.04 |
1.21 |
($8,238) |
ZWK21 |
1.42 |
0.95 |
$31,325 |
6EM21 |
1.62 |
0.49 |
$149,088 |
ZWK21-ZCK21 |
1.74 |
0.99 |
$3,488 |
HOJ21-CLK21 |
1.87 |
0.31 |
$15,128 |
6EM21-6BM21 |
1.88 |
0.51 |
$62,438 |
HOJ21 |
1.91 |
0.29 |
$76,608 |
6EM21-6CM21 |
2.06 |
0.47 |
$69,093 |
ESM21 |
2.37 |
0.03 |
$194,850 |
6AM21 |
2.47 |
0.31 |
$77,445 |
YMM21-RSM21 |
3.17 |
1.12 |
$48,480 |
ESM21-RSM21 |
4.71 |
0.85 |
$80,780 |
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