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第九周交易39次共72手,亏损64.1K,-10.7%(-2.2,-3.3,-25.9,-10.6,-22.2),原仓-56.8,新仓1.7,交易-8.7。YTD -90.4K,-14.4%。现账户资金537.8K,杠杆2.49,净仓0,波动率1.43%(1.01%~1.72%),风险非常高。
本周市场变化的情况对我采用的配对交易方法直接打脸!与大豆配对的小麦连续出现3次涨停,直到收盘都未解封,给账户造成了巨大损失。期货市场因乌克兰危机而产生了许多极端情况,表明用不同的期货进行配对交易风险很大,对冲并不能降低风险。因配对对冲效应(PE)值太低(< 30%),已决定停止谷物,外汇期货类之间的配对交易。目前账户持有2手6B-6A,1手6C-6A,1手RB-HO,4手ZS-ZW多仓。2手CLJ-CLK空仓。风险非常高。
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 |
42 |
PTF |
42.58 |
1.99 |
6.46 |
0.00 |
$537,785 |
$7,688 |
1.43% |
1.43% |
79 |
03/04 18:08 |
0 |
41 |
ZWK22-ZCK22 |
5.92 |
(1.05) |
7.08 |
0.20 |
$22,850 |
$1,191 |
0.22% |
1.97% |
72 |
03/03 20:07 |
-2 |
40 |
ZSK22-ZWK22 |
(3.57) |
1.51 |
11.81 |
0.03 |
$22,388 |
$1,771 |
0.33% |
2.14% |
66 |
02/02 08:15 |
2 |
39 |
ZSK22-ZCK22 |
(1.28) |
1.49 |
5.25 |
0.30 |
$45,238 |
$1,276 |
0.24% |
1.54% |
74 |
02/01 12:19 |
2 |
38 |
ZBM22-6JH22 |
(1.94) |
(1.41) |
(5.56) |
0.05 |
$50,269 |
$1,514 |
0.28% |
0.95% |
72 |
01/10 10:50 |
0 |
37 |
YMH22-RSH22 |
(0.24) |
2.27 |
5.87 |
0.46 |
$67,830 |
$1,803 |
0.34% |
1.07% |
57 |
01/27 12:05 |
0 |
36 |
RBJ22-HOJ22 |
1.30 |
1.46 |
5.99 |
0.63 |
($9,912) |
$1,518 |
0.28% |
0.96% |
153 |
03/03 03:31 |
1 |
35 |
RBJ22-CLJ22 |
2.49 |
(1.38) |
6.27 |
0.63 |
$32,630 |
$1,294 |
0.24% |
0.88% |
157 |
03/02 18:00 |
0 |
34 |
NQH22-YMH22 |
1.15 |
(1.43) |
(5.19) |
0.30 |
$108,300 |
$6,461 |
1.20% |
2.34% |
71 |
01/06 07:45 |
0 |
33 |
NQH22-RSH22 |
(0.72) |
(1.29) |
(5.23) |
0.29 |
$176,130 |
$6,469 |
1.20% |
2.34% |
68 |
01/24 12:18 |
0 |
32 |
NQH22-ESH22 |
0.33 |
(1.61) |
(5.39) |
0.51 |
$59,963 |
$4,464 |
0.83% |
1.62% |
67 |
01/06 07:48 |
0 |
31 |
HOJ22-CLJ22 |
1.26 |
(1.60) |
(7.78) |
0.60 |
$42,542 |
$1,634 |
0.30% |
1.04% |
115 |
03/03 03:31 |
0 |
30 |
HGK22-SIK22 |
1.56 |
(1.03) |
(4.92) |
(0.06) |
($6,463) |
$3,154 |
0.59% |
2.44% |
87 |
02/24 05:24 |
0 |
29 |
GCJ22-SIK22 |
0.59 |
1.47 |
(5.09) |
0.32 |
$68,065 |
$2,022 |
0.38% |
1.56% |
94 |
01/19 05:59 |
0 |
28 |
ESH22-YMH22 |
3.62 |
(1.32) |
6.52 |
0.58 |
$48,338 |
$2,121 |
0.39% |
0.98% |
68 |
02/02 07:56 |
0 |
27 |
ESH22-RSH22 |
3.55 |
1.33 |
7.23 |
0.49 |
$116,168 |
$2,546 |
0.47% |
1.18% |
75 |
02/02 15:56 |
0 |
26 |
CLJ22-CLK22 |
0.00 |
(1.18) |
6.73 |
0.87 |
$3,410 |
$440 |
0.08% |
0.38% |
262 |
03/01 12:04 |
-2 |
25 |
6EH22-6CH22 |
0.86 |
(3.76) |
6.67 |
0.18 |
$58,210 |
$829 |
0.15% |
0.61% |
65 |
02/04 06:58 |
0 |
24 |
6EH22-6AH22 |
(1.01) |
(1.44) |
(9.28) |
0.24 |
$62,945 |
$764 |
0.14% |
0.56% |
54 |
03/04 08:53 |
0 |
23 |
6CH22-6AH22 |
(1.51) |
(1.75) |
(6.76) |
0.37 |
$4,735 |
$447 |
0.08% |
0.61% |
79 |
03/04 07:01 |
1 |
22 |
6BH22-6CH22 |
(1.80) |
(2.65) |
5.99 |
0.19 |
$4,160 |
$454 |
0.08% |
0.58% |
75 |
02/03 07:00 |
0 |
21 |
6BH22-6AH22 |
(2.65) |
(7.85) |
(7.85) |
0.30 |
$8,895 |
$496 |
0.09% |
0.67% |
65 |
03/04 14:59 |
2 |
20 |
ZWK22 |
6.24 |
6.59 |
8.80 |
1,209.00 |
$60,450 |
$1,479 |
0.28% |
2.45% |
53 |
03/02 20:05 |
-4 |
19 |
ZSK22 |
(1.26) |
1.47 |
6.26 |
1,656.75 |
$82,838 |
$1,821 |
0.34% |
2.20% |
68 |
02/23 23:01 |
4 |
18 |
ZCK22 |
(2.17) |
1.54 |
7.09 |
752.00 |
$37,600 |
$811 |
0.15% |
2.16% |
81 |
02/23 23:02 |
0 |
17 |
ZBM22 |
(2.41) |
(1.33) |
(7.01) |
159'000 |
$159,000 |
$1,597 |
0.30% |
1.00% |
74 |
01/10 03:33 |
0 |
16 |
YMH22 |
(3.80) |
1.15 |
(4.88) |
33,535.00 |
$167,675 |
$3,329 |
0.62% |
1.99% |
76 |
02/24 02:30 |
0 |
15 |
SIK22 |
(0.50) |
1.34 |
6.42 |
25.89 |
$129,425 |
$2,990 |
0.56% |
2.31% |
53 |
01/20 12:47 |
0 |
14 |
RSH22 |
(2.59) |
(2.79) |
4.96 |
1,996.90 |
$99,845 |
$3,114 |
0.58% |
3.12% |
65 |
02/25 16:32 |
0 |
13 |
RBJ22 |
2.56 |
3.72 |
8.75 |
3.52 |
$147,630 |
$3,542 |
0.66% |
2.40% |
77 |
03/03 02:50 |
1 |
12 |
NQH22 |
(2.16) |
(1.38) |
6.17 |
13,798.75 |
$275,975 |
$9,165 |
1.70% |
3.32% |
61 |
02/02 07:26 |
0 |
11 |
NGJ22 |
0.21 |
(1.09) |
3.90 |
4.92 |
$49,170 |
$2,470 |
0.46% |
5.02% |
79 |
02/02 08:13 |
0 |
10 |
HOJ22 |
1.23 |
(0.95) |
6.45 |
3.75 |
$157,542 |
$4,051 |
0.75% |
2.57% |
72 |
01/18 21:19 |
-1 |
9 |
HGK22 |
2.70 |
(0.98) |
5.11 |
4.92 |
$122,963 |
$2,586 |
0.48% |
2.10% |
66 |
01/12 11:41 |
0 |
8 |
GCJ22 |
1.35 |
2.02 |
(6.81) |
1,974.90 |
$197,490 |
$2,504 |
0.47% |
1.27% |
65 |
02/24 15:07 |
0 |
7 |
ESH22 |
3.46 |
1.05 |
6.31 |
4,320.25 |
$216,013 |
$4,993 |
0.93% |
2.31% |
68 |
02/02 15:56 |
0 |
6 |
CLK22 |
(1.04) |
3.35 |
5.74 |
111.59 |
$111,590 |
$3,170 |
0.59% |
2.84% |
79 |
03/01 10:52 |
2 |
5 |
CLJ22 |
(1.04) |
3.28 |
7.12 |
115.00 |
$115,000 |
$3,391 |
0.63% |
2.95% |
77 |
03/01 12:03 |
-2 |
4 |
6JH22 |
0.34 |
3.73 |
(5.64) |
0.01 |
$108,731 |
$640 |
0.12% |
0.59% |
60 |
01/28 03:03 |
0 |
3 |
6EH22 |
(1.05) |
1.14 |
(5.97) |
1.09 |
$136,725 |
$1,005 |
0.19% |
0.74% |
71 |
03/04 08:53 |
0 |
2 |
6CH22 |
(4.37) |
1.62 |
(5.48) |
0.79 |
$78,515 |
$562 |
0.10% |
0.72% |
67 |
01/24 11:49 |
1 |
1 |
6BH22 |
(2.98) |
1.00 |
(7.84) |
1.32 |
$82,675 |
$548 |
0.10% |
0.66% |
57 |
02/24 11:00 |
2 |
0 |
6AH22 |
0.15 |
1.77 |
(5.99) |
0.74 |
$73,780 |
$711 |
0.13% |
0.96% |
51 |
01/28 08:09 |
-3 |
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