第50周交易52次共102手,盈利22.2K,3.4% (-0.9,-4.8,11.8,3.5,12.7),若无交易19.3K。YTD -$171.4K,-20.0%。现账户资金685.3K,保证金142.4K,杠杆2.4,波动率1.7%,风险较高。
本周股市在创新高后回落,但下跌不多。债卷反弹,罗素仍然坚挺。账户主要因做空股市而盈利。已卖掉部分期指空仓,继续做空罗素与标普的背离,变化为20年来少见。目前账户持有3手ES/RS,1手NG多仓。与1手HG,1手ES/ZB,1手NQ/ZB空仓。与上周相比,风险降低了30%。
程序方面本周有一点改进。只想交易,已很长时间没有修改程序了。
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 | 5.44 | 0.54 | $97,630 |
NQH21/ESH21 | 4.92 | 0.26 | $64,743 |
NQH21 | 4.65 | 0.31 | $247,380 |
RSH21 | 4.25 | 0.68 | $95,545 |
6BH21/6AH21 | 1.94 | 0.51 | $7,335 |
6CH21/6AH21 | 1.88 | 0.39 | $2,960 |
6BH21/HOF21 | 1.79 | 0.32 | $22,472 |
6CH21 | 1.65 | 0.24 | $78,375 |
6BH21 | 1.59 | 0.45 | $82,750 |
RBF21 | 1.33 | 0.63 | $54,932 |
NGF21 | 1.18 | 0.29 | $25,950 |
ZBH21/YMH21 | 1.07 | 0.49 | $23,875 |
ZBH21/ESH21 | 0.82 | 0.36 | ($9,013) |
ZSH21 | 0.75 | 0.69 | $58,350 |
ZBH21 | 0.68 | 0.35 | $173,625 |
ESH21/YMH21 | 0.67 | 0.27 | $32,888 |
ZSH21/ZWH21 | 0.55 | 0.93 | $27,513 |
SIH21 | 0.55 | 0.27 | $120,375 |
NQH21/RSH21/2 | 0.46 | 0.31 | $56,290 |
ZCH21 | 0.46 | 0.26 | $21,188 |
ZBH21/6JH21 | 0.36 | 0.11 | $53,313 |
HGH21 | 0.33 | 0.12 | $88,363 |
SIH21/HGH21 | 0.25 | 0.27 | $32,013 |
ZSH21/ZCH21/2 | 0.23 | 0.29 | $15,975 |
6JH21 | 0.17 | 0.20 | $120,313 |
ZWH21 | 0.14 | 1.10 | $30,838 |
CLG21/CLF21 | 0.00 | 0.00 | $160 |
NGG21/NGF21 | 0.00 | 0.00 | $140 |
ZWH21/ZCH21 | 0.03 | 1.01 | $9,650 |
CLF21 | 0.20 | 0.30 | $46,560 |
GCG21/SIH21 | 0.67 | 0.22 | $63,975 |
YMH21 | 0.79 | 0.29 | $149,750 |
6EH21 | 0.82 | 0.11 | $151,781 |
GCG21/HGH21 | 0.94 | 0.18 | $95,988 |
GCG21/6JH21 | 1.02 | 0.26 | $64,038 |
6JH21/6BH21 | 1.05 | 0.51 | $37,563 |
HOF21/NGF21/2 | 1.06 | 0.31 | $8,378 |
GCG21 | 1.14 | 0.15 | $184,350 |
CLF21/NGF21 | 1.18 | 0.36 | $20,610 |
HOF21 | 1.20 | 0.06 | $60,278 |
HOF21/RBF21 | 1.64 | 0.48 | $5,347 |
6AH21 | 1.75 | 0.39 | $75,415 |
ESH21 | 2.79 | 0.23 | $182,638 |
ZBH21/NQH21 | 3.29 | 0.05 | ($73,755) |
ESH21/RSH21/2 | 4.31 | 0.68 | ($8,453) |