第六周交易42次共78手,亏损-15.1K,-2.5% (-16.1,-5.9,17.2,-5.2,-5.0)。其中原持仓亏损-23.3K,新开仓成本0K,交易盈利8.2K。YTD -$70.9.8K,-10.9%。现账户资金579.6K,保证金247.2K,杠杆5.3,波动率3.1%,风险超高。
本周股市继续上涨!罗素与其它指数的背离也继续扩大,账户因此亏损。持仓仅减少了1手HO/RB多仓。目前账户仍持有1手NG,一手GC,4手ES/RS,1手ZB/ES,1手ZB/NQ多仓与1手NQ/YM,3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 |
RSH21 | 7.27 | 1.71 | $111,650 |
NQH21/YMH21 | 7.02 | 1.21 | $116,690 |
NQH21/ESH21 | 5.37 | 0.75 | $77,833 |
NQH21 | 5.14 | 0.63 | $272,070 |
6CH21/6AH21 | 2.83 | 0.45 | $1,585 |
6BH21/6AH21 | 2.80 | 0.33 | $9,075 |
ZCH21 | 2.40 | 0.58 | $27,450 |
6CH21 | 2.29 | 0.40 | $78,385 |
6BH21 | 2.17 | 0.22 | $85,875 |
ESH21/YMH21 | 1.80 | 0.65 | $38,858 |
RBH21/HOH21 | 1.57 | 0.31 | ($2,675) |
ZBH21/YMH21 | 1.03 | 0.42 | $11,433 |
RBH21 | 0.94 | 0.19 | $69,409 |
NGH21 | 0.92 | 0.10 | $28,820 |
SIH21/HGH21 | 0.84 | 0.08 | $44,175 |
CLH21 | 0.65 | 0.32 | $57,070 |
6JH21 | 0.51 | 0.54 | $118,688 |
SIH21 | 0.44 | 0.11 | $135,175 |
ZBH21/ESH21 | 0.33 | 0.10 | ($27,425) |
ZBH21 | 0.15 | 0.08 | $166,813 |
ZSH21/ZWH21 | 0.10 | 0.35 | $36,325 |
ZSK21/ZWK21 | 0.10 | 0.35 | $36,013 |
GCJ21/HGH21 | 0.06 | 0.03 | $90,520 |
CLH21/CLJ21 | 0.00 | 0.00 | $150 |
NGH21/NGJ21 | 0.00 | 0.00 | $340 |
ZWH21/ZWK21 | 0.00 | 0.00 | ($238) |
ZSH21 | 0.06 | 0.42 | $68,375 |
ZWH21 | 0.42 | 0.03 | $32,050 |
GCJ21/SIH21 | 0.57 | 0.04 | $46,345 |
CLH21/NGH21 | 0.71 | 0.01 | $28,250 |
HGH21 | 1.05 | 0.33 | $91,000 |
ZWH21/ZCH21 | 1.12 | 0.17 | $4,600 |
GCJ21 | 1.13 | 0.33 | $181,520 |
6EH21 | 1.19 | 0.25 | $150,725 |
6JH21/6BH21 | 1.19 | 0.30 | $32,813 |
ZSH21/ZCH21/2 | 1.34 | 0.58 | $13,475 |
NQH21/RSH21/2 | 1.59 | 0.84 | $48,770 |
YMH21 | 1.65 | 0.63 | $155,380 |
HOH21 | 1.70 | 0.34 | $72,085 |
6AH21 | 2.68 | 0.41 | $76,800 |
ESH21 | 3.09 | 0.31 | $194,238 |
ZBH21/NQH21 | 4.35 | 0.48 | ($105,258) |
ESH21/RSH21/2 | 7.37 | 1.69 | ($29,063) |