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第四周交易43次共81手,盈利48.7K,8.4% (-0.6,2.9,24.5,15.9,6.0)。原持仓应赚36.2K,新开仓成本0K。YTD -$19.6K,-3.0%。现账户资金630.9K,保证金151.7K,杠杆3.5,波动率2.2%,风险很高。
本周股市大跌,账户因此而大赚。已卖掉做空股市的仓位,仍然维持对罗素背离所建的空仓。目前账户持有1手NG,4手ES/RS,1手NQ/RS,2手HO/RB多仓。1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 |
6.22 |
0.30 |
$108,285 |
RSH21 |
5.95 |
0.74 |
$103,060 |
NQH21/ESH21 |
4.97 |
0.02 |
$72,585 |
NQH21 |
4.88 |
0.11 |
$257,410 |
6BH21/6AH21 |
2.68 |
0.02 |
$9,215 |
6CH21/6AH21 |
2.60 |
0.19 |
$1,860 |
6BH21 |
2.13 |
0.06 |
$85,650 |
6CH21 |
2.08 |
0.16 |
$78,295 |
ZCH21 |
1.97 |
0.04 |
$27,363 |
ESH21/YMH21 |
1.18 |
0.52 |
$35,700 |
NGH21 |
0.89 |
0.29 |
$25,570 |
SIH21/HGH21 |
0.85 |
0.79 |
$46,788 |
RBH21 |
0.81 |
0.62 |
$65,218 |
ZBH21/YMH21 |
0.67 |
0.07 |
$20,094 |
SIH21 |
0.61 |
0.90 |
$135,300 |
ZSH21/ZWH21 |
0.50 |
0.68 |
$35,263 |
ZSK21/ZWK21 |
0.50 |
0.68 |
$35,100 |
ZSH21 |
0.41 |
0.61 |
$68,388 |
CLH21 |
0.37 |
0.21 |
$52,140 |
ZBH21/ESH21 |
0.26 |
0.22 |
($15,606) |
ZBH21 |
0.08 |
0.22 |
$169,219 |
GCJ21/HGH21 |
0.02 |
0.12 |
$96,468 |
CLH21/CLJ21 |
0.00 |
0.00 |
$120 |
NGH21/NGJ21 |
0.00 |
0.00 |
($280) |
ZWH21/ZWK21 |
0.00 |
0.00 |
$38 |
6JH21 |
0.03 |
0.81 |
$119,438 |
ZWH21 |
0.51 |
0.54 |
$33,125 |
GCJ21/SIH21 |
0.69 |
0.88 |
$49,680 |
CLH21/NGH21 |
0.75 |
0.34 |
$26,570 |
NQH21/RSH21/2 |
0.76 |
0.67 |
$51,290 |
HGH21 |
0.80 |
0.23 |
$88,513 |
ZSH21/ZCH21/2 |
0.81 |
0.36 |
$13,663 |
GCJ21 |
0.90 |
0.47 |
$184,980 |
6EH21 |
1.03 |
0.02 |
$151,856 |
ZWH21/ZCH21 |
1.06 |
0.47 |
$5,763 |
YMH21 |
1.10 |
0.51 |
$149,125 |
HOH21/RBH21 |
1.35 |
0.59 |
$1,793 |
HOH21 |
1.47 |
0.18 |
$67,011 |
6JH21/6BH21 |
1.62 |
0.66 |
$33,788 |
6AH21 |
2.47 |
0.18 |
$76,435 |
ESH21 |
3.03 |
0.16 |
$184,825 |
ZBH21/NQH21 |
4.15 |
0.10 |
($88,191) |
ESH21/RSH21/2 |
6.07 |
0.70 |
($21,295) |
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