第14周交易38次共69手,亏损16.7K(-6.4,0.0,-3.5,-3.3,-3.5),-2.7%。原仓-10.8,新仓-1.3,交易-5.0,手续费$287。YTD -$87.4K,-13.4%。现账户资金695.2K,马金162.3K,杠杆5.8,净仓1,波动率1.6%,风险较高。
本周股市继续大涨,又创新高!账户因此亏损。账户目前仓位:1 NG, -1 6C/6A, -1 6E/6A, -2 6E/6B, -3 ES/RS, -3 ES/YM, -1 HO/CL, -2 RB/CL, 1 ZS/ZW。与上周相比主要是增加了ES/RS, ES/YM空仓各一手,期待下周股市跌。
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 |
NQM21-YMM21 | 2.63 | 0.06 | $108,015 |
NQM21-ESM21 | 2.51 | 0.65 | $70,520 |
RSM21 | 2.21 | 1.41 | $111,990 |
6CM21-6AM21 | 2.09 | 0.44 | $3,630 |
6CM21 | 2.05 | 0.11 | $79,815 |
NQM21 | 1.75 | 0.34 | $276,220 |
ZCN21 | 1.67 | 0.01 | $28,038 |
ZSN21-ZWN21 | 1.32 | 0.02 | $37,913 |
6BM21-6AM21 | 1.22 | 1.02 | $9,465 |
RBM21-HOM21 | 1.21 | 0.38 | $6,439 |
ZSN21 | 1.04 | 0.04 | $69,900 |
RBM21 | 1.03 | 0.03 | $82,509 |
RBM21-CLM21 | 1.03 | 0.06 | $23,129 |
ZSN21-ZCN21 | 1.02 | 0.04 | $41,863 |
ESM21-YMM21 | 0.82 | 0.47 | $37,495 |
6EM21-6AM21 | 0.62 | 0.70 | $72,778 |
6BM21 | 0.61 | 1.00 | $85,650 |
NQM21-RSM21 | 0.42 | 0.43 | $164,230 |
NGK21 | 0.20 | 0.56 | $25,210 |
HGK21 | 0.18 | 0.26 | $101,125 |
6JM21 | 0.12 | 0.36 | $114,056 |
GCM21-SIK21 | 0.11 | 0.16 | $47,785 |
6EM21 | 0.06 | 0.98 | $148,963 |
6EM21-6BM21 | 0.18 | 1.06 | $63,313 |
SIK21 | 0.23 | 0.08 | $126,625 |
ZBM21-6JM21 | 0.34 | 0.38 | $42,569 |
ZBM21 | 0.36 | 0.18 | $156,625 |
6CM21-HGK21 | 0.44 | 0.26 | ($21,310) |
CLM21 | 0.47 | 0.64 | $59,380 |
ESM21 | 0.54 | 0.96 | $205,700 |
6EM21-6CM21 | 0.59 | 0.95 | $69,148 |
GCM21 | 0.61 | 0.54 | $174,410 |
YMM21 | 0.73 | 0.52 | $168,205 |
HOM21-CLM21 | 0.73 | 0.74 | $16,690 |
HOM21 | 0.77 | 0.74 | $76,070 |
ZWN21 | 1.40 | 0.02 | $31,988 |
ZWN21-ZCN21 | 1.73 | 0.02 | $3,950 |
6AM21 | 1.85 | 0.49 | $76,185 |
YMM21-RSM21 | 2.02 | 0.80 | $56,215 |
ESM21-RSM21 | 2.07 | 1.58 | $93,710 |