第42周交易71次共110手,盈利7.7K(-3.5,7.7,1.5, 2.5,-0.5),1.2%。原仓-3.4,新仓-2.2,交易13.4。YTD -$57.3K,-8.8%。现账户资金636.8K,马金75.3K,杠杆2.39,净仓0,波动率0.66%(0.41%~1.20%),风险正常。
本周股市大涨,标普又创新高!但期指配对组合无一突破前期的顶,账户仅重建了一手ES-RS空仓。ZB-6J空仓已脱手。现账户持有1手6E-6A,2手HO-CL,1手ZS-ZC多仓。1手ES-RS,2手RB-HO,2手ZW-ZC空仓。风险正常。
账户的交易情况自从5月份开始杜绝重仓,严格控制波动率后似乎在好转。波动率已从年初的2%~3%降到了目前的1%以下。波动率小风险小,大赚大亏的可能性也小。年初每周动辄盈亏数万,马金直逼账户总资金的情况再也没出现。
降低波动率的真正原因是大赚大亏的不对称性,大亏一次可能需要大赚几次才能弥补,赚再多大亏一次就有可能都还回去。波动率降低后胜率似乎在上升,过去11周仅有1周出现亏损。胜率与市场情况,交易情况等种种偶然因素有关,需要经过长期的考验。而我眼前的目标就是争取做到每周不亏。
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 | 6AZ21 | 0.92 | -1.77 | 5.59 | 0.00% | $74,720 | $626 | 5.32 | 0.84% | 63 | 9/3/2021 8:33 | -1 |
1 | 6BZ21 | -2.94 | -2.18 | -5.24 | 0.00% | $85,981 | $532 | 1.6 | 0.62% | 51 | 9/29/2021 3:08 | 0 |
2 | 6CZ21 | -0.8 | -1.5 | -5.4 | 0.00% | $80,830 | $574 | 5.09 | 0.71% | 59 | 9/20/2021 8:34 | 0 |
3 | 6EZ21 | 0.15 | -1.33 | -5.5 | 0.00% | $145,706 | $602 | -1.42 | 0.41% | 67 | 9/30/2021 6:40 | 1 |
4 | 6JZ21 | 1.46 | 2.65 | -9.13 | 0.00% | $110,175 | $567 | -6.59 | 0.51% | 53 | 9/28/2021 8:48 | 0 |
5 | CLZ21 | -0.71 | 1.6 | 7.23 | 0.00% | $83,980 | $1,973 | 11.5 | 2.35% | 54 | 9/28/2021 2:28 | -2 |
6 | ESZ21 | 4.1 | 1.05 | 5.53 | 0.00% | $226,463 | $2,660 | 1.94 | 1.17% | 66 | 10/17/2021 18:01 | -1 |
7 | GCZ21 | -0.65 | 1.31 | -5.44 | 0.00% | $179,310 | $2,271 | 0.46 | 1.27% | 60 | 9/16/2021 9:50 | 0 |
8 | HGZ21 | 0.2 | -2.55 | 8.07 | 0.00% | $112,550 | $2,930 | 3.18 | 2.60% | 45 | 10/15/2021 9:22 | 0 |
9 | HOZ21 | 1.92 | -1.36 | 7.06 | 0.00% | $106,592 | $2,352 | 11.4 | 2.21% | 71 | 8/25/2021 8:57 | 4 |
10 | NGZ21 | -0.84 | -1.33 | 9.46 | 0.00% | $54,920 | $3,260 | 4.47 | 5.94% | 55 | 9/27/2021 23:30 | 0 |
11 | NQZ21 | -1.51 | -1.83 | -6.8 | 0.00% | $306,480 | $4,224 | 1.17 | 1.38% | 71 | 9/20/2021 15:18 | 0 |
12 | RBZ21 | -0.06 | 1.07 | 8.28 | 0.00% | $101,682 | $2,364 | 11.14 | 2.32% | 58 | 8/25/2021 14:38 | -2 |
13 | RSZ21 | -1.67 | -1.61 | 4.21 | 0.00% | $114,185 | $1,993 | 2.94 | 1.75% | 65 | 10/15/2021 9:31 | 1 |
14 | SIZ21 | -0.87 | -2.09 | -4.62 | 0.00% | $121,950 | $2,996 | 2.27 | 2.46% | 61 | 9/16/2021 10:47 | 0 |
15 | YMZ21 | -4.82 | 1.02 | 5.91 | 0.00% | $177,465 | $2,066 | 1.43 | 1.16% | 68 | 10/17/2021 18:07 | 0 |
16 | ZBZ21 | -1.56 | 2.42 | -5.19 | 0.00% | $158,594 | $1,215 | -4.68 | 0.77% | 63 | 9/23/2021 23:56 | 0 |
17 | ZCZ21 | 0.35 | 1.52 | 4.93 | 0.00% | $26,913 | $593 | 0.29 | 2.20% | 62 | 9/16/2021 7:59 | 1 |
18 | ZSF22 | -1.69 | -2.95 | -4.68 | 0.00% | $61,488 | $1,058 | -3.01 | 1.72% | 63 | 9/21/2021 10:09 | 1 |
19 | ZWZ21 | 1.87 | 2.56 | 5.09 | 0.00% | $37,913 | $820 | 1.95 | 2.16% | 56 | 9/26/2021 21:55 | -2 |
20 | 6BZ21-6AZ21 | -2.91 | -1.09 | -4.39 | 30.81% | $11,261 | $433 | -5.73 | 0.58% | 82 | 9/2/2021 9:29 | 0 |
21 | 6CZ21-6AZ21 | -0.96 | 1.25 | -4.93 | 33.59% | $6,110 | $416 | -0.99 | 0.56% | 74 | 10/20/2021 22:03 | 0 |
22 | 6CZ21-HGZ21 | -0.29 | 2.71 | -5.31 | 10.62% | ($31,720) | $2,619 | -2.45 | 2.33% | 55 | 10/13/2021 23:23 | 0 |
23 | 6EZ21-6AZ21 | -0.1 | 2.13 | -5.22 | 19.35% | $70,986 | $505 | -8.29 | 0.68% | 90 | 9/30/2021 20:14 | 1 |
24 | 6EZ21-6BZ21 | 1.12 | 1.08 | -5.15 | 18.98% | $59,725 | $488 | -3.5 | 0.33% | 84 | 9/9/2021 10:44 | 0 |
25 | 6EZ21-6CZ21 | 0.5 | 1.85 | -4.71 | 9.74% | $64,876 | $544 | -6.95 | 0.37% | 91 | 9/30/2021 7:16 | 0 |
26 | ESZ21-RSZ21 | 2.14 | 2.06 | 8.98 | 35.51% | $112,278 | $1,715 | -0.4 | 0.76% | 64 | 10/20/2021 9:51 | -1 |
27 | ESZ21-YMZ21 | 4.64 | -2.01 | -5.67 | 62.14% | $48,998 | $1,007 | 2.19 | 0.44% | 88 | 9/20/2021 15:18 | 0 |
28 | GCZ21-SIZ21 | 0.75 | -1.44 | -5.14 | 36.36% | $57,360 | $1,907 | -3.02 | 1.56% | 56 | 10/18/2021 4:15 | 0 |
29 | HOZ21-CLZ21 | 1.72 | -4.78 | 5.5 | 57.89% | $22,612 | $990 | 4.16 | 0.93% | 95 | 10/6/2021 4:42 | 2 |
30 | NQZ21-ESZ21 | 2.02 | -2.54 | 4.36 | 48.23% | $80,018 | $2,187 | -0.1 | 0.71% | 71 | 8/31/2021 2:42 | 0 |
31 | NQZ21-RSZ21 | -0.52 | -1.58 | -6.16 | 21.54% | $192,295 | $3,314 | -0.27 | 1.08% | 73 | 9/20/2021 15:18 | 0 |
32 | NQZ21-YMZ21 | 2.9 | -2.44 | -5.62 | 28.93% | $129,015 | $3,002 | 0.66 | 0.98% | 59 | 9/20/2021 15:18 | 0 |
33 | RBZ21-CLZ21 | 0.13 | -3.67 | 3.86 | 56.52% | $17,702 | $1,028 | 3.55 | 1.01% | 107 | 8/25/2021 22:25 | 0 |
34 | RBZ21-HOZ21 | -0.94 | 1.45 | 4.44 | 60.99% | ($4,910) | $922 | -0.52 | 0.91% | 118 | 10/18/2021 3:08 | -2 |
35 | YMZ21-RSZ21 | -1.98 | 2.67 | -4.91 | 33.89% | $63,280 | $1,366 | -2.12 | 0.77% | 75 | 10/13/2021 11:26 | 0 |
36 | ZBZ21-6JZ21 | -2.07 | -1.18 | 5.61 | 16.00% | $48,419 | $1,021 | -1.91 | 0.64% | 67 | 10/12/2021 16:10 | 0 |
37 | ZSF22-ZCZ21 | -1.68 | -4.48 | -7.3 | 31.42% | $34,575 | $726 | -4.63 | 1.18% | 69 | 10/4/2021 22:24 | 1 |
38 | ZSF22-ZWZ21 | -2.06 | -4.43 | -10.01 | 7.78% | $23,575 | $976 | -4.9 | 1.59% | 56 | 10/4/2021 9:32 | 0 |
39 | ZWZ21-ZCZ21 | 1.37 | -1.05 | -5.78 | 21.88% | $11,000 | $641 | 2.22 | 1.69% | 69 | 9/10/2021 11:49 | -2 |
40 | PTF | 29.1 | -4.11 | -4.47 | 0.00% | $636,814 | $4,230 | -0.02 | 0.66% | 81 | 10/17/2021 22:50 | 0 |