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第50周交易52次共102手,盈利22.2K,3.4% (-0.9,-4.8,11.8,3.5,12.7),若无交易19.3K。YTD -$171.4K,-20.0%。现账户资金685.3K,保证金142.4K,杠杆2.4,波动率1.7%,风险较高。
本周股市在创新高后回落,但下跌不多。债卷反弹,罗素仍然坚挺。账户主要因做空股市而盈利。已卖掉部分期指空仓,继续做空罗素与标普的背离,变化为20年来少见。目前账户持有3手ES/RS,1手NG多仓。与1手HG,1手ES/ZB,1手NQ/ZB空仓。与上周相比,风险降低了30%。
程序方面本周有一点改进。只想交易,已很长时间没有修改程序了。
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 |
5.44 |
0.54 |
$97,630 |
NQH21/ESH21 |
4.92 |
0.26 |
$64,743 |
NQH21 |
4.65 |
0.31 |
$247,380 |
RSH21 |
4.25 |
0.68 |
$95,545 |
6BH21/6AH21 |
1.94 |
0.51 |
$7,335 |
6CH21/6AH21 |
1.88 |
0.39 |
$2,960 |
6BH21/HOF21 |
1.79 |
0.32 |
$22,472 |
6CH21 |
1.65 |
0.24 |
$78,375 |
6BH21 |
1.59 |
0.45 |
$82,750 |
RBF21 |
1.33 |
0.63 |
$54,932 |
NGF21 |
1.18 |
0.29 |
$25,950 |
ZBH21/YMH21 |
1.07 |
0.49 |
$23,875 |
ZBH21/ESH21 |
0.82 |
0.36 |
($9,013) |
ZSH21 |
0.75 |
0.69 |
$58,350 |
ZBH21 |
0.68 |
0.35 |
$173,625 |
ESH21/YMH21 |
0.67 |
0.27 |
$32,888 |
ZSH21/ZWH21 |
0.55 |
0.93 |
$27,513 |
SIH21 |
0.55 |
0.27 |
$120,375 |
NQH21/RSH21/2 |
0.46 |
0.31 |
$56,290 |
ZCH21 |
0.46 |
0.26 |
$21,188 |
ZBH21/6JH21 |
0.36 |
0.11 |
$53,313 |
HGH21 |
0.33 |
0.12 |
$88,363 |
SIH21/HGH21 |
0.25 |
0.27 |
$32,013 |
ZSH21/ZCH21/2 |
0.23 |
0.29 |
$15,975 |
6JH21 |
0.17 |
0.20 |
$120,313 |
ZWH21 |
0.14 |
1.10 |
$30,838 |
CLG21/CLF21 |
0.00 |
0.00 |
$160 |
NGG21/NGF21 |
0.00 |
0.00 |
$140 |
ZWH21/ZCH21 |
0.03 |
1.01 |
$9,650 |
CLF21 |
0.20 |
0.30 |
$46,560 |
GCG21/SIH21 |
0.67 |
0.22 |
$63,975 |
YMH21 |
0.79 |
0.29 |
$149,750 |
6EH21 |
0.82 |
0.11 |
$151,781 |
GCG21/HGH21 |
0.94 |
0.18 |
$95,988 |
GCG21/6JH21 |
1.02 |
0.26 |
$64,038 |
6JH21/6BH21 |
1.05 |
0.51 |
$37,563 |
HOF21/NGF21/2 |
1.06 |
0.31 |
$8,378 |
GCG21 |
1.14 |
0.15 |
$184,350 |
CLF21/NGF21 |
1.18 |
0.36 |
$20,610 |
HOF21 |
1.20 |
0.06 |
$60,278 |
HOF21/RBF21 |
1.64 |
0.48 |
$5,347 |
6AH21 |
1.75 |
0.39 |
$75,415 |
ESH21 |
2.79 |
0.23 |
$182,638 |
ZBH21/NQH21 |
3.29 |
0.05 |
($73,755) |
ESH21/RSH21/2 |
4.31 |
0.68 |
($8,453) |
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