第15周交易20次共37手,亏损2.6K(-1.2,-4.9,9.9,-8.0,1.6),-0.4%。原仓-4.1,新仓0.0,交易1.7,手续费$140。YTD -$90.0K,-13.8%。现账户资金592.2K,马金135.4K,杠杆5.5,净仓0,波动率1.6%,风险较高。
本周股市继续大涨,又创新高!账户继续亏损。账户目前仓位: 2 6CM/6AM, -1 6EM/6AM, -2 6EM/6BM, -3 ESM/RSM, -3 ESM/YMM, -1 RBM/HOM, -1 ZSN/ZWN。由于空仓已较重,本周期指完全没有交易。
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 |
NQM21-YMM21 | 2.41 | 0.11 | $110,225 |
NQM21-ESM21 | 2.34 | 0.04 | $71,868 |
RSM21 | 1.92 | 0.24 | $112,885 |
6CM21-6AM21 | 1.71 | 0.30 | $2,590 |
ZCN21 | 1.57 | 0.04 | $28,738 |
NQM21 | 1.54 | 0.14 | $280,480 |
6CM21 | 1.48 | 0.49 | $79,945 |
RBM21-HOM21 | 1.30 | 0.10 | $6,203 |
6BM21-6AM21 | 1.20 | 0.02 | $9,214 |
ZSN21-ZWN21 | 1.20 | 0.06 | $38,338 |
RBM21 | 1.02 | 0.01 | $85,709 |
RBM21-CLM21 | 0.97 | 0.05 | $22,599 |
ZSN21 | 0.95 | 0.04 | $71,100 |
ZSN21-ZCN21 | 0.93 | 0.04 | $42,363 |
ESM21-YMM21 | 0.84 | 0.05 | $38,358 |
6BM21 | 0.71 | 0.12 | $86,569 |
6EM21-6AM21 | 0.46 | 0.12 | $72,595 |
HGN21 | 0.46 | 0.28 | $104,275 |
NQM21-RSM21 | 0.38 | 0.00 | $167,595 |
NGM21 | 0.36 | 0.08 | $27,590 |
6JM21 | 0.33 | 0.20 | $114,963 |
GCM21-SIN21 | 0.16 | 0.03 | $47,455 |
6EM21 | 0.12 | 0.05 | $149,950 |
CLM21 | 0.14 | 0.33 | $63,110 |
ZBM21 | 0.25 | 0.13 | $157,875 |
6EM21-6BM21 | 0.26 | 0.06 | $63,381 |
SIN21 | 0.27 | 0.03 | $130,275 |
ESM21 | 0.37 | 0.16 | $208,613 |
ZBM21-6JM21 | 0.41 | 0.05 | $42,913 |
6EM21-6CM21 | 0.51 | 0.09 | $70,005 |
GCM21 | 0.54 | 0.00 | $177,730 |
6CM21-HGN21 | 0.66 | 0.23 | ($24,330) |
YMM21 | 0.75 | 0.06 | $170,255 |
HOM21-CLM21 | 0.95 | 0.22 | $16,396 |
HOM21 | 0.98 | 0.22 | $79,506 |
ZWN21 | 1.25 | 0.08 | $32,763 |
ZWN21-ZCN21 | 1.57 | 0.08 | $4,025 |
6AM21 | 1.58 | 0.21 | $77,355 |
ESM21-RSM21 | 1.76 | 0.26 | $95,728 |
YMM21-RSM21 | 1.82 | 0.15 | $57,370 |