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) |