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第七周交易48次共85手,盈利7.5K(原仓9.3,新仓-2.8,交易1.1),1.3%(1.6,0.6,5.0,13.3,-13.0)。YTD -$63.4K,-9.7%。现账户资金587.1K,保证金250.9K,杠杆5.0,波动率3.1%,风险超高。
本周股市下跌,罗素与其它指数的背离也有所减少,账户因此盈利。但由于在债卷,黄金与铜的期货做了几个非常差的交易,利润大大减少。目前账户持有一手GC,2手ZB,3手ES/RS,1手ES/YM,1手NQ/RS,1手ZB/ES,1手ZB/NQ多仓与1手HG,1手RB/HO,2手ZS/ZW空仓。
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 |
NQH21/YMH21 |
6.29 |
0.22 |
$114,330 |
RSH21 |
6.23 |
0.79 |
$113,020 |
NQH21/ESH21 |
4.78 |
0.04 |
$76,498 |
NQH21 |
4.74 |
0.26 |
$271,460 |
6BH21/6AH21 |
2.11 |
0.31 |
$8,846 |
6CH21/6AH21 |
2.04 |
0.51 |
$545 |
RBJ21/HOJ21 |
1.91 |
0.24 |
$2,852 |
RBJ21 |
1.78 |
0.07 |
$78,494 |
6BH21 |
1.63 |
0.16 |
$87,556 |
ESH21/YMH21 |
1.40 |
0.60 |
$37,833 |
6CH21 |
1.37 |
0.47 |
$79,255 |
ZBH21/YMH21 |
1.27 |
0.01 |
$6,058 |
ZCK21 |
1.01 |
0.70 |
$27,100 |
NGJ21 |
0.94 |
0.09 |
$29,800 |
ZBH21/ESH21 |
0.86 |
0.33 |
($31,775) |
HGK21 |
0.72 |
1.22 |
$101,750 |
6JH21 |
0.69 |
0.19 |
$118,594 |
ZBH21 |
0.69 |
0.32 |
$163,188 |
ZSK21 |
0.36 |
0.66 |
$69,063 |
ZSK21/ZWK21 |
0.26 |
0.53 |
$36,163 |
SIK21 |
0.22 |
0.04 |
$137,075 |
ZWK21 |
0.10 |
0.01 |
$32,900 |
CLJ21/CLK21 |
0.00 |
0.00 |
$260 |
NGJ21/NGK21 |
0.00 |
0.00 |
($100) |
SIK21/HGK21 |
0.19 |
0.57 |
$35,325 |
ZWK21/ZCK21 |
0.25 |
0.22 |
$5,800 |
ZSK21/ZCK21/2 |
0.32 |
0.80 |
$14,863 |
CLJ21 |
0.35 |
0.63 |
$59,040 |
GCJ21/SIK21 |
0.41 |
0.11 |
$41,235 |
6JH21/6BH21 |
0.63 |
0.05 |
$31,038 |
HOJ21 |
0.96 |
0.62 |
$75,642 |
6EH21 |
0.97 |
0.15 |
$151,538 |
NQH21/RSH21/2 |
1.12 |
0.81 |
$45,420 |
YMH21 |
1.14 |
0.59 |
$157,130 |
GCJ21 |
1.39 |
0.47 |
$178,310 |
6AH21 |
2.02 |
0.47 |
$78,710 |
ESH21 |
2.96 |
0.32 |
$194,963 |
ZBH21/NQH21 |
3.56 |
0.06 |
($108,273) |
ESH21/RSH21/2 |
6.37 |
0.73 |
($31,078) |
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