第11周交易59次共78手,盈利11.1K,2.1%(5.0,4.2,5.7,-3.0,-0.9),原仓1.7,新仓(换约)9.8,交易-0.8。YTD -80.9K,-12.9%。现账户资金547.2K,杠杆0.27,净仓0,波动率0.50%(0.12%~1.99%),风险正常。
本周股市强劲反弹,商品期货出现暴跌。盈利主要来自做空原油期货的溢价。目前账户持有1手6B-6A多仓。4手CLK-CLM空仓。风险正常。CLK-CLM目前的溢价为$2.55美元,在CLK22到期时必将下跌,除非原油又暴涨。原油不同合约之间的配对效应(PE)超过85%,因此拿6手CLK-CLM的风险还不比拿一手原油的风险高。
以下是目前账户的持仓情况,
SID | Contract/Pair | RV | WV | WM | PE | MV | ATR | SR | V% | WN | DateTime | Pos |
46 | PTF | 32.39 | 2.28 | 6.44 | 0.00% | $547,207 | $2,722 | 0.50% | 0.50% | 93.8 | 03/18 17:18 | 0 |
45 | ZWK22-ZCK22 | 2.54 | (1.62) | 8.06 | 6.82% | $15,938 | $2,099 | 0.38% | 3.96% | 89 | 03/08 13:43 | -2 |
44 | ZSK22-ZWK22 | (0.79) | 1.34 | 8.42 | -18.71% | $30,313 | $2,674 | 0.49% | 5.05% | 79 | 02/03 10:54 | -2 |
43 | ZSK22-ZCK22 | 0.39 | 1.21 | 6.73 | 33.20% | $46,250 | $1,338 | 0.24% | 1.61% | 83 | 02/02 08:15 | 2 |
42 | ZBM22-6JM22 | (1.78) | 2.97 | 4.26 | 12.63% | $47,131 | $1,532 | 0.28% | 1.01% | 84 | 02/27 18:00 | 0 |
41 | YMM22-RSM22 | 0.55 | 1.67 | 4.09 | 38.37% | $69,195 | $2,154 | 0.39% | 1.24% | 137 | 03/16 08:24 | 0 |
40 | RBJ22-HOJ22 | (0.95) | (2.56) | 8.73 | 53.93% | ($14,612) | $3,744 | 0.68% | 2.48% | 85 | 03/09 05:04 | 0 |
39 | RBJ22-CLJ22 | 1.22 | 2.29 | 4.82 | 65.81% | $31,068 | $2,023 | 0.37% | 1.49% | 162 | 03/02 21:34 | 0 |
38 | NQM22-YMM22 | 1.74 | 3.63 | 4.75 | 29.11% | $115,185 | $6,786 | 1.24% | 2.35% | 77 | 02/25 08:36 | 0 |
37 | NQM22-RSM22 | 0.39 | 3.67 | (6.57) | 23.03% | $184,380 | $7,368 | 1.35% | 2.55% | 75 | 01/24 12:17 | 0 |
36 | NQM22-ESM22 | 1.78 | 3.50 | 4.65 | 50.26% | $65,455 | $4,761 | 0.87% | 1.65% | 69 | 02/25 08:33 | 0 |
35 | NGJ22-NGK22 | 0.00 | 1.03 | 3.24 | 84.69% | ($340) | $407 | 0.07% | 0.83% | 531 | 02/18 02:49 | 0 |
34 | HOJ22-CLJ22 | 3.03 | 2.72 | (7.40) | 46.97% | $45,680 | $4,310 | 0.79% | 2.86% | 88 | 03/09 05:04 | 0 |
33 | HGK22-SIK22 | 0.53 | 3.12 | (5.36) | -5.55% | ($7,775) | $3,723 | 0.68% | 2.96% | 79 | 03/08 07:50 | 0 |
32 | GCJ22-SIK22 | 0.19 | (1.11) | (4.37) | 37.93% | $66,475 | $2,190 | 0.40% | 1.74% | 90 | 01/19 05:59 | 0 |
31 | ESM22-YMM22 | 2.96 | 3.13 | (3.71) | 52.87% | $49,730 | $2,576 | 0.47% | 1.15% | 139 | 03/15 05:08 | 0 |
30 | ESM22-RSM22 | 4.04 | 3.24 | (4.02) | 40.64% | $118,925 | $3,245 | 0.59% | 1.45% | 113 | 02/24 02:18 | 0 |
29 | CLK22-CLM22 | 0.00 | 1.71 | (10.09) | 87.26% | $2,550 | $656 | 0.12% | 0.64% | 190 | 03/14 01:38 | -4 |
28 | CLJ22-CLK22 | 0.00 | 1.83 | 8.01 | 90.25% | $1,820 | $524 | 0.10% | 0.50% | 173 | 03/01 12:04 | 0 |
27 | 6EM22-6CM22 | 0.49 | 1.52 | (6.77) | 6.89% | $59,171 | $1,054 | 0.19% | 0.76% | 73 | 03/06 20:51 | 0 |
26 | 6EM22-6AM22 | (0.70) | (2.86) | (10.37) | 7.81% | $64,286 | $1,043 | 0.19% | 0.75% | 70 | 03/06 20:52 | 0 |
25 | 6CM22-6AM22 | (1.44) | (1.86) | 5.77 | 21.46% | $5,115 | $571 | 0.10% | 0.77% | 85 | 03/14 22:58 | 0 |
24 | 6BM22-6CM22 | (1.89) | 1.90 | (5.04) | -0.34% | $2,971 | $553 | 0.10% | 0.70% | 81 | 02/24 10:55 | 0 |
23 | 6BM22-6AM22 | (2.62) | (4.17) | (8.97) | 11.99% | $8,086 | $639 | 0.12% | 0.86% | 74 | 03/06 20:52 | 1 |
22 | ZWK22 | 2.55 | (2.12) | 11.60 | 1,060.00 | $53,000 | $2,253 | 0.41% | 4.25% | 79 | 03/07 20:00 | 0 |
21 | ZSK22 | 0.39 | (1.81) | 5.69 | 1,666.25 | $83,313 | $2,003 | 0.37% | 2.40% | 65 | 02/23 23:01 | 0 |
20 | ZCK22 | (1.23) | (1.92) | 5.54 | 741.25 | $37,063 | $1,052 | 0.19% | 2.84% | 75 | 02/23 23:25 | 0 |
19 | ZBM22 | (2.85) | 2.03 | (6.49) | 152'100 | $152,313 | $1,754 | 0.32% | 1.15% | 75 | 03/10 10:24 | 0 |
18 | YMM22 | (3.18) | 3.90 | (6.48) | 34,704.00 | $173,520 | $3,496 | 0.64% | 2.01% | 79 | 01/24 12:17 | 0 |
17 | SIK22 | (0.18) | (2.14) | 5.51 | 25.14 | $125,675 | $3,528 | 0.64% | 2.81% | 49 | 02/24 05:42 | 0 |
16 | RSM22 | (3.19) | 3.52 | 5.00 | 2,086.50 | $104,325 | $3,193 | 0.58% | 3.06% | 55 | 02/02 05:35 | 0 |
15 | RBJ22 | 0.78 | 1.35 | 9.04 | 3.24 | $136,168 | $5,918 | 1.08% | 4.35% | 78 | 03/06 18:03 | 0 |
14 | NQM22 | (1.21) | 3.98 | 5.91 | 14,435.25 | $288,705 | $9,573 | 1.75% | 3.32% | 63 | 02/02 07:31 | 0 |
13 | NGK22 | (0.97) | 1.04 | (5.07) | 4.94 | $49,390 | $2,550 | 0.47% | 5.16% | 77 | 03/08 08:03 | 0 |
12 | NGJ22 | (0.97) | 1.02 | 5.06 | 4.91 | $49,050 | $2,659 | 0.49% | 5.42% | 75 | 01/28 09:20 | 0 |
11 | HOJ22 | 2.82 | 1.90 | 8.09 | 3.59 | $150,780 | $8,128 | 1.49% | 5.39% | 64 | 03/06 18:02 | 0 |
10 | HGK22 | 0.85 | 4.71 | (5.78) | 4.72 | $117,900 | $3,042 | 0.56% | 2.58% | 63 | 03/07 11:37 | 0 |
9 | GCJ22 | 0.18 | (2.02) | (5.79) | 1,921.50 | $192,150 | $3,201 | 0.58% | 1.67% | 64 | 02/24 15:07 | 0 |
8 | ESM22 | 3.26 | 3.95 | 5.77 | 4,465.00 | $223,250 | $5,466 | 1.00% | 2.45% | 71 | 02/02 15:20 | 0 |
7 | CLM22 | (2.21) | 1.07 | 7.45 | 100.73 | $100,730 | $4,778 | 0.87% | 4.74% | 88 | 03/06 18:03 | 4 |
6 | CLK22 | (2.21) | 1.17 | 7.45 | 103.28 | $103,280 | $5,150 | 0.94% | 4.99% | 84 | 03/06 18:02 | -4 |
5 | CLJ22 | (2.21) | 1.24 | 7.45 | 105.10 | $105,100 | $5,378 | 0.98% | 5.12% | 80 | 03/06 18:01 | 0 |
4 | 6JM22 | (0.32) | (3.13) | (8.38) | 0.01 | $105,181 | $571 | 0.10% | 0.54% | 54 | 03/14 21:27 | 0 |
3 | 6EM22 | (0.54) | 1.47 | (5.30) | 1.11 | $138,531 | $1,132 | 0.21% | 0.82% | 75 | 03/04 08:52 | 0 |
2 | 6CM22 | (2.26) | 1.20 | (5.65) | 0.79 | $79,360 | $551 | 0.10% | 0.69% | 54 | 01/24 11:49 | 0 |
1 | 6BM22 | (2.50) | 1.97 | (7.98) | 1.32 | $82,331 | $534 | 0.10% | 0.65% | 73 | 02/24 11:01 | 1 |
0 | 6AM22 | 0.89 | 1.53 | 5.71 | 0.74 | $74,245 | $727 | 0.13% | 0.98% | 49 | 03/03 10:02 | -1 |