|
第12周交易54次共88手,盈利7.9K(8.2,-3.2,-7.7,5.8,4.9),1.3%。原仓12.9,新仓2.0,交易-6.9,手续费$339。YTD -$70.8K,-10.9%。现账户资金611.8K,保证金178.3K,杠杆3.7,波动率1.4%,风险正常。
本周股市罗素下跌,其它期指上涨,罗素与其它指数的背离终于获得纠正。可惜的是账户刚好在一周前停止了一对多形式的配对组合交易,拿掉了不少罗素空仓,不然本周可以爆赚。目前账户持有一手GC,2手NG,1手6E/6C多仓和1手6C/6A,2手ES/RS,2手RB/HO,1手YM/RS,1手ZB/6J,2手ZS/ZW空仓。风险降低了许多。
以下是本周期货及配对组合相对值及变化情况,RS的相对值大大降低。
期货/组合 |
RV |
变化 |
市值 |
RSM21 |
2.78 |
1.59 |
$111,025 |
6CM21-6AM21 |
2.39 |
0.11 |
$3,085 |
6BM21-6AM21 |
2.31 |
0.41 |
$9,793 |
6CM21 |
1.90 |
0.03 |
$79,530 |
NQM21-YMM21 |
1.90 |
0.72 |
$94,465 |
ZSK21-ZWK21 |
1.86 |
0.46 |
$39,325 |
NQM21 |
1.77 |
0.78 |
$259,210 |
ZCK21 |
1.73 |
0.11 |
$27,600 |
6BM21 |
1.73 |
0.43 |
$86,238 |
ZSK21 |
1.53 |
0.35 |
$70,075 |
NQM21-ESM21 |
1.49 |
0.14 |
$61,060 |
ZSK21-ZCK21 |
1.48 |
0.34 |
$42,475 |
RBK21-HOK21 |
1.48 |
0.06 |
$6,800 |
RBK21 |
0.83 |
0.18 |
$82,774 |
NGJ21 |
0.75 |
0.20 |
$25,600 |
RBK21-CLK21 |
0.74 |
0.20 |
$22,044 |
6JM21 |
0.49 |
0.03 |
$114,056 |
HGK21 |
0.41 |
0.54 |
$101,975 |
GCM21-SIK21 |
0.30 |
0.31 |
$47,885 |
CLK21 |
0.30 |
0.26 |
$60,730 |
NQM21-RSM21 |
0.13 |
0.14 |
$148,185 |
YMM21 |
0.12 |
0.19 |
$164,745 |
ESM21-YMM21 |
0.02 |
0.12 |
$33,405 |
GCM21 |
0.03 |
0.07 |
$173,410 |
6EM21-6AM21 |
0.18 |
0.38 |
$71,218 |
SIK21 |
0.34 |
0.35 |
$125,525 |
6CM21-HGK21 |
0.66 |
0.56 |
($22,445) |
ZBM21 |
0.69 |
0.20 |
$155,594 |
ZBM21-6JM21 |
0.83 |
0.12 |
$41,538 |
6EM21 |
1.11 |
0.47 |
$147,663 |
ESM21 |
1.32 |
0.98 |
$198,150 |
6EM21-6BM21 |
1.33 |
0.49 |
$61,425 |
6EM21-6CM21 |
1.55 |
0.45 |
$68,133 |
HOK21-CLK21 |
1.64 |
0.19 |
$15,244 |
HOK21 |
1.68 |
0.18 |
$75,974 |
ZWK21 |
1.84 |
0.51 |
$30,750 |
YMM21-RSM21 |
2.03 |
1.10 |
$53,720 |
ZWK21-ZCK21 |
2.10 |
0.47 |
$3,150 |
6AM21 |
2.27 |
0.12 |
$76,445 |
ESM21-RSM21 |
2.87 |
1.74 |
$87,125 |
|
|
|
|
|
|