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第53周交易25次共48手,盈利5.9K,0.9% (-2.1,5.4,2.6,0.0,0.0),若无交易10.4K。YTD -$206.2K,-24.1%。现账户资金650.5K,保证金266.1K,杠杆4.4,波动率2.9%,风险极高。 本周股市又创新高,但罗素下跌,账户盈利主要来自于做空罗素与其它指数的背离。亏损来自做空白银与大豆。目前账户持有2手ES/RS,2手HO/RB多仓。与1手SI,1手NQ/YM,1手ES/ZB,2手NQ/ZB,5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 | 5.41 | 0.00 | $105,250 | NQH21/ESH21 | 4.79 | 0.00 | $70,223 | NQH21 | 4.61 | 0.02 | $257,660 | RSH21 | 4.56 | 0.01 | $98,915 | 6BH21/6AH21 | 2.70 | 0.01 | $8,441 | 6CH21/6AH21 | 2.32 | 0.01 | $1,570 | 6BH21 | 2.31 | 0.01 | $85,406 | 6CH21 | 1.93 | 0.01 | $78,535 | ZSH21 | 1.30 | 0.04 | $65,500 | ZSH21/ZWH21 | 1.24 | 0.03 | $33,413 | NGG21 | 1.15 | 0.01 | $25,470 | ZCH21 | 1.05 | 0.03 | $24,288 | SIH21 | 0.88 | 0.02 | $132,625 | SIH21/HGH21 | 0.87 | 0.01 | $44,625 | RBG21 | 0.79 | 0.01 | $59,266 | ESH21/YMH21 | 0.60 | 0.03 | $35,028 | ZBH21/YMH21 | 0.40 | 0.00 | $20,559 | ZSH21/ZCH21/2 | 0.26 | 0.04 | $16,925 | CLG21 | 0.22 | 0.01 | $48,420 | ZBH21/ESH21 | 0.21 | 0.02 | ($14,469) | NQH21/RSH21/2 | 0.17 | 0.02 | $59,830 | ZBH21 | 0.04 | 0.02 | $172,969 | 6JH21 | 0.02 | 0.00 | $121,081 | CLH21/CLG21 | 0.00 | 0.00 | $120 | HOH21/HOG21 | 0.00 | 0.00 | $46 | NGH21/NGG21 | 0.00 | 0.00 | ($110) | RBH21/RBG21 | 0.00 | 0.00 | $218 | GCG21/HGH21 | 0.24 | 0.02 | $102,160 | HGH21 | 0.42 | 0.01 | $88,000 | ZWH21 | 0.60 | 0.01 | $32,088 | YMH21 | 0.68 | 0.03 | $152,410 | ZWH21/ZCH21 | 0.83 | 0.00 | $7,800 | GCG21 | 0.87 | 0.03 | $190,160 | GCG21/SIH21 | 0.92 | 0.02 | $57,535 | CLG21/NGG21 | 1.04 | 0.01 | $22,950 | 6EH21 | 1.16 | 0.02 | $152,919 | HOG21/RBG21 | 1.36 | 0.01 | $3,091 | HOG21 | 1.53 | 0.00 | $62,357 | 6JH21/6BH21 | 1.71 | 0.01 | $35,675 | 6AH21 | 2.19 | 0.01 | $76,965 | ESH21 | 2.82 | 0.02 | $187,438 | ZBH21/NQH21 | 3.87 | 0.00 | ($84,691) | ESH21/RSH21/2 | 4.65 | 0.01 | ($10,393) | | | | | |
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