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第27周交易28次共51手,亏损-0.4K(0.0,-2.0,-1.2,3.0,-0.1),-0.1%。原仓1.1,新仓0.0,交易-1.2。YTD -$84.9K,-13.1%。现账户资金597.7K,马金138.6K,杠杆3.9,净仓-1,波动率1.4%,风险很高。
本周股市标普与納指继续上涨,但势头已减弱。原仓位本应盈利1.1K,但黄金与白银的配对仓位仅赚0.4K就抛掉了,原本能盈利4K以上。标普与罗素的背离创历史新高,因此账户增加了一手ES-RS空仓。净仓-1实为为一手YM空仓,最近股市实在是上涨太多,但做空一个RV为-3.52的期指实为失策。
以下是目前账户的持仓情况
SID |
Contract/Pair |
RV |
WV |
WM |
PE |
MV |
ATR |
SR |
V% |
WN |
DateTime |
Pos |
0 |
6AU21 |
0.15 |
1.39 |
-4.93 |
0.00% |
$74,945 |
$602 |
-6.01 |
0.80% |
15 |
6/18/2021 16:56 |
0 |
1 |
6BU21 |
-1.74 |
1.89 |
-3.94 |
0.00% |
$86,938 |
$549 |
-1.03 |
0.63% |
18 |
6/20/2021 23:48 |
0 |
2 |
6CU21 |
0.18 |
1.65 |
-5.66 |
0.00% |
$80,355 |
$559 |
-3.86 |
0.70% |
11 |
6/21/2021 3:23 |
0 |
3 |
6EU21 |
0.05 |
1.51 |
-5.83 |
0.00% |
$148,644 |
$799 |
-4.78 |
0.54% |
17 |
6/20/2021 23:48 |
0 |
4 |
6JU21 |
1.88 |
-1.36 |
3.98 |
0.00% |
$113,563 |
$545 |
-2.96 |
0.48% |
16 |
7/8/2021 10:40 |
0 |
5 |
CLQ21 |
-0.75 |
2.1 |
6.17 |
0.00% |
$74,630 |
$1,838 |
5.24 |
2.46% |
13 |
6/16/2021 11:32 |
0 |
6 |
ESU21 |
3.07 |
1.9 |
5.23 |
0.00% |
$218,100 |
$2,154 |
3.32 |
0.99% |
11 |
7/7/2021 14:04 |
-4 |
7 |
GCQ21 |
-2.32 |
2.75 |
-4.12 |
0.00% |
$180,860 |
$2,466 |
-1.07 |
1.36% |
19 |
6/17/2021 11:31 |
0 |
8 |
HGU21 |
0.53 |
1.27 |
-4.74 |
0.00% |
$108,550 |
$2,638 |
-4.02 |
2.43% |
20 |
6/21/2021 3:25 |
0 |
9 |
HOQ21 |
1.76 |
2.2 |
4.15 |
0.00% |
$90,413 |
$2,120 |
2.39 |
2.35% |
12 |
6/10/2021 9:42 |
3 |
10 |
NGQ21 |
-1.59 |
2.06 |
6.06 |
0.00% |
$36,750 |
$1,057 |
6.21 |
2.88% |
16 |
6/29/2021 10:55 |
0 |
11 |
NQU21 |
-0.3 |
1.4 |
4.65 |
0.00% |
$296,285 |
$3,932 |
5.65 |
1.33% |
19 |
7/7/2021 9:30 |
-1 |
12 |
RBQ21 |
0.24 |
2.39 |
3.67 |
0.00% |
$96,016 |
$2,255 |
2.46 |
2.35% |
17 |
6/4/2021 9:22 |
-3 |
13 |
RSU21 |
-1.78 |
2.13 |
-3.56 |
0.00% |
$113,790 |
$2,022 |
0.17 |
1.78% |
19 |
7/8/2021 9:48 |
2 |
14 |
SIU21 |
-0.06 |
-1.71 |
-4.14 |
0.00% |
$130,925 |
$3,136 |
-2.38 |
2.40% |
18 |
6/17/2021 12:26 |
0 |
15 |
YMU21 |
-3.52 |
2.03 |
-4.82 |
0.00% |
$173,800 |
$1,861 |
0.42 |
1.07% |
11 |
6/20/2021 23:38 |
2 |
16 |
ZBU21 |
-0.3 |
-2.14 |
5.42 |
0.00% |
$162,500 |
$1,170 |
5.34 |
0.72% |
12 |
7/8/2021 6:56 |
0 |
17 |
ZCU21 |
-0.06 |
-3.98 |
-3.98 |
0.00% |
$26,313 |
$1,309 |
-4.7 |
4.98% |
14 |
7/9/2021 12:32 |
0 |
18 |
ZSU21 |
0.42 |
1.12 |
-6.28 |
0.00% |
$66,825 |
$2,044 |
-3.12 |
3.06% |
14 |
6/17/2021 14:18 |
0 |
19 |
ZWU21 |
-0.4 |
-3.75 |
-3.75 |
0.00% |
$30,750 |
$1,122 |
-6.43 |
3.65% |
16 |
7/9/2021 12:39 |
0 |
20 |
6BU21-6AU21 |
-1.52 |
2.8 |
4.04 |
23.00% |
$11,993 |
$463 |
6.6 |
0.62% |
18 |
5/12/2021 11:32 |
0 |
21 |
6CU21-6AU21 |
-0.06 |
1.28 |
4.03 |
24.06% |
$5,410 |
$457 |
3.19 |
0.61% |
21 |
5/13/2021 7:28 |
0 |
22 |
6CU21-HGU21 |
-0.5 |
-1.4 |
4.22 |
9.31% |
($28,195) |
$2,393 |
3.53 |
2.20% |
18 |
6/21/2021 3:25 |
0 |
23 |
6EU21-6AU21 |
0 |
-1.1 |
3.53 |
31.10% |
$73,699 |
$550 |
-0.36 |
0.37% |
21 |
5/19/2021 9:51 |
0 |
24 |
6EU21-6BU21 |
0.57 |
-1.12 |
-3.2 |
21.44% |
$61,706 |
$627 |
-5.19 |
0.42% |
16 |
6/23/2021 3:18 |
0 |
25 |
6EU21-6CU21 |
-0.03 |
-1.06 |
3.53 |
21.08% |
$68,289 |
$630 |
-2.63 |
0.42% |
18 |
5/19/2021 10:29 |
0 |
26 |
ESU21-RSU21 |
1.79 |
-1.15 |
6.08 |
19.33% |
$104,310 |
$1,738 |
3.92 |
0.80% |
21 |
7/7/2021 14:51 |
-2 |
27 |
ESU21-YMU21 |
3.38 |
-1.18 |
5.5 |
48.58% |
$44,300 |
$1,108 |
5.74 |
0.51% |
24 |
6/18/2021 10:42 |
-2 |
28 |
GCQ21-SIU21 |
-0.31 |
3.12 |
4.31 |
41.88% |
$49,935 |
$1,823 |
2.65 |
1.39% |
22 |
5/21/2021 12:18 |
0 |
29 |
HOQ21-CLQ21 |
1.6 |
1.29 |
-3.21 |
52.84% |
$15,783 |
$1,000 |
-4.57 |
1.11% |
24 |
6/16/2021 9:02 |
0 |
30 |
NQU21-ESU21 |
2.5 |
-1.39 |
3.77 |
34.56% |
$78,185 |
$2,573 |
5.85 |
0.87% |
22 |
6/14/2021 21:19 |
0 |
31 |
NQU21-RSU21 |
0.7 |
-1.12 |
6.46 |
12.14% |
$182,495 |
$3,454 |
6.33 |
1.17% |
18 |
7/7/2021 10:23 |
0 |
32 |
NQU21-YMU21 |
2.88 |
-1.39 |
4.2 |
13.26% |
$122,485 |
$3,410 |
6.28 |
1.15% |
22 |
6/15/2021 9:54 |
-1 |
33 |
RBQ21-CLQ21 |
0.39 |
2.23 |
3.25 |
49.63% |
$21,386 |
$1,136 |
-3.6 |
1.18% |
19 |
6/25/2021 9:18 |
0 |
34 |
RBQ21-HOQ21 |
-0.63 |
2.12 |
3.96 |
62.79% |
$5,603 |
$839 |
0.58 |
0.87% |
25 |
6/24/2021 13:49 |
-3 |
35 |
YMU21-RSU21 |
-0.95 |
-1.27 |
4.83 |
20.91% |
$60,010 |
$1,599 |
0.28 |
1.41% |
21 |
7/8/2021 9:53 |
0 |
36 |
ZBU21-6JU21 |
-1.49 |
-2.05 |
4.26 |
9.79% |
$48,938 |
$1,056 |
7.45 |
0.65% |
16 |
6/11/2021 4:59 |
0 |
37 |
ZSU21-ZCU21 |
0.42 |
2.18 |
-6.81 |
37.02% |
$40,513 |
$1,287 |
-0.17 |
1.93% |
14 |
6/17/2021 14:18 |
0 |
38 |
ZSU21-ZWU21 |
0.48 |
1.35 |
-6.63 |
28.64% |
$36,075 |
$1,459 |
0.57 |
2.18% |
12 |
6/17/2021 14:18 |
0 |
39 |
ZWU21-ZCU21 |
-0.3 |
2.31 |
-4.02 |
41.62% |
$4,438 |
$764 |
-1.39 |
2.91% |
23 |
7/1/2021 6:55 |
0 |
40 |
PTF |
0 |
-1.23 |
-6.73 |
0.00% |
$597,694 |
$8,299 |
0.32 |
1.39% |
17 |
7/7/2021 15:04 |
-1 |
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