第四周交易43次共81手,盈利48.7K,8.4% (-0.6,2.9,24.5,15.9,6.0)。原持仓应赚36.2K,新开仓成本0K。YTD -$19.6K,-3.0%。现账户资金630.9K,保证金151.7K,杠杆3.5,波动率2.2%,风险很高。
本周股市大跌,账户因此而大赚。已卖掉做空股市的仓位,仍然维持对罗素背离所建的空仓。目前账户持有1手NG,4手ES/RS,1手NQ/RS,2手HO/RB多仓。1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 | 6.22 | 0.30 | $108,285 |
RSH21 | 5.95 | 0.74 | $103,060 |
NQH21/ESH21 | 4.97 | 0.02 | $72,585 |
NQH21 | 4.88 | 0.11 | $257,410 |
6BH21/6AH21 | 2.68 | 0.02 | $9,215 |
6CH21/6AH21 | 2.60 | 0.19 | $1,860 |
6BH21 | 2.13 | 0.06 | $85,650 |
6CH21 | 2.08 | 0.16 | $78,295 |
ZCH21 | 1.97 | 0.04 | $27,363 |
ESH21/YMH21 | 1.18 | 0.52 | $35,700 |
NGH21 | 0.89 | 0.29 | $25,570 |
SIH21/HGH21 | 0.85 | 0.79 | $46,788 |
RBH21 | 0.81 | 0.62 | $65,218 |
ZBH21/YMH21 | 0.67 | 0.07 | $20,094 |
SIH21 | 0.61 | 0.90 | $135,300 |
ZSH21/ZWH21 | 0.50 | 0.68 | $35,263 |
ZSK21/ZWK21 | 0.50 | 0.68 | $35,100 |
ZSH21 | 0.41 | 0.61 | $68,388 |
CLH21 | 0.37 | 0.21 | $52,140 |
ZBH21/ESH21 | 0.26 | 0.22 | ($15,606) |
ZBH21 | 0.08 | 0.22 | $169,219 |
GCJ21/HGH21 | 0.02 | 0.12 | $96,468 |
CLH21/CLJ21 | 0.00 | 0.00 | $120 |
NGH21/NGJ21 | 0.00 | 0.00 | ($280) |
ZWH21/ZWK21 | 0.00 | 0.00 | $38 |
6JH21 | 0.03 | 0.81 | $119,438 |
ZWH21 | 0.51 | 0.54 | $33,125 |
GCJ21/SIH21 | 0.69 | 0.88 | $49,680 |
CLH21/NGH21 | 0.75 | 0.34 | $26,570 |
NQH21/RSH21/2 | 0.76 | 0.67 | $51,290 |
HGH21 | 0.80 | 0.23 | $88,513 |
ZSH21/ZCH21/2 | 0.81 | 0.36 | $13,663 |
GCJ21 | 0.90 | 0.47 | $184,980 |
6EH21 | 1.03 | 0.02 | $151,856 |
ZWH21/ZCH21 | 1.06 | 0.47 | $5,763 |
YMH21 | 1.10 | 0.51 | $149,125 |
HOH21/RBH21 | 1.35 | 0.59 | $1,793 |
HOH21 | 1.47 | 0.18 | $67,011 |
6JH21/6BH21 | 1.62 | 0.66 | $33,788 |
6AH21 | 2.47 | 0.18 | $76,435 |
ESH21 | 3.03 | 0.16 | $184,825 |
ZBH21/NQH21 | 4.15 | 0.10 | ($88,191) |
ESH21/RSH21/2 | 6.07 | 0.70 | ($21,295) |