2014 (52)
2015 (56)
2016 (50)
2017 (48)
2018 (52)
2019 (52)
2020 (53)
2021 (52)
第九周交易41次共87手,亏损-9.4K(-22.2,17.8,-5.9,6.3,-5.4),-1.5%。原仓-21.7,新仓0.3,交易12.2。YTD -$54.7K,-8.4%。现账户资金628.0K,保证金257.1K,杠杆5.4,波动率2.2%,风险很高。
本周股市依然是大起大落,最终收盘变化不大。盈利主要来自于做空期指,亏损来自做多黄金,债卷。目前账户持有一手GC,2手NG,2手ZB,1手6C/6A,2手ES/RS,2手ES/YM,1手NQ/RS,1手ZB/ES,1手NG掉期组合多仓与3手RB/HO,2手ZS/ZW空仓。与上周相比,主要是减少了1手ES/RS空仓。仍在做空股市,但险有所降低。
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 | 3.92 | 0.90 | $109,485 |
NQH21/YMH21 | 3.52 | 1.17 | $95,540 |
NQH21/ESH21 | 2.68 | 0.82 | $61,025 |
NQH21 | 2.61 | 0.75 | $253,050 |
6CH21/6AH21 | 2.16 | 0.15 | $2,145 |
6BH21/6AH21 | 2.01 | 0.09 | $9,570 |
RBJ21/HOJ21 | 1.70 | 0.02 | $5,414 |
6BH21 | 1.42 | 0.06 | $86,425 |
ZSK21 | 1.39 | 0.58 | $71,663 |
ZSK21/ZWK21 | 1.38 | 0.65 | $38,938 |
RBJ21 | 1.28 | 0.24 | $87,234 |
6CH21 | 1.19 | 0.24 | $79,000 |
HGK21 | 1.07 | 0.03 | $102,500 |
ZCK21 | 0.99 | 0.13 | $27,363 |
6JH21 | 0.95 | 0.08 | $115,375 |
ESH21/YMH21 | 0.82 | 0.42 | $34,515 |
ZBM21/YMH21 | 0.63 | 0.49 | ($604) |
NGJ21 | 0.54 | 0.09 | $26,960 |
ZBM21/ESH21 | 0.38 | 0.32 | ($35,119) |
ZSK21/ZCK21/2 | 0.33 | 0.29 | $16,938 |
CLJ21 | 0.30 | 0.39 | $66,280 |
ZBM21 | 0.29 | 0.30 | $156,906 |
SIK21 | 0.04 | 0.19 | $126,475 |
CLJ21/CLK21 | 0.00 | 0.00 | $200 |
NGJ21/NGK21 | 0.00 | 0.00 | ($380) |
GCJ21/SIK21 | 0.20 | 0.20 | $43,345 |
6JH21/6BH21 | 0.25 | 0.03 | $28,950 |
SIK21/HGK21 | 0.49 | 0.13 | $23,975 |
YMH21 | 0.65 | 0.36 | $157,510 |
ZWK21 | 0.78 | 0.55 | $32,725 |
6EH21 | 0.90 | 0.28 | $148,900 |
ZWK21/ZCK21 | 0.98 | 0.50 | $5,363 |
NQH21/RSH21/2 | 1.00 | 0.11 | $34,080 |
GCJ21 | 1.04 | 0.18 | $169,820 |
HOJ21 | 1.39 | 0.37 | $81,820 |
ESH21 | 1.59 | 0.43 | $192,025 |
ZBM21/NQH21 | 2.05 | 0.40 | ($96,144) |
6AH21 | 2.22 | 0.11 | $76,855 |
YMH21/RSH21 | 3.24 | 0.85 | $48,025 |
ESH21/RSH21/2 | 3.98 | 0.92 | ($26,945) |