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第一周交易27次共41手,亏损-49.1K,-7.5% (11.7,-17.1,-28.4,-11.1,-4.1),若无交易-59.7K。YTD -$49.1K,-7.5%。现账户资金601.5K,保证金231.1K,杠杆4.7,波动率3.5%,风险超高。
本周股市连创新高。账户因做空股市与空罗素与其它指数的背离而严重亏损。目前账户持有4手ES/RS,1手NQ/RS,2手HO/RB多仓。与1手HG,1手ES/ZB,1手NQ/ZB,5手ZS/ZW空仓。
美国股市简直就是疯了,疫情恶化,政治动荡,经济萧条,但股市却连创新高!相信泡沫最终还是会破的。只不过我是第二次掉入这个陷阱,账户资金创下新低。调整交易策略势在必行。
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 |
6.21 |
1.07 |
$107,360 |
RSH21 |
5.75 |
1.46 |
$104,605 |
NQH21/ESH21 |
5.20 |
0.63 |
$71,365 |
NQH21 |
4.97 |
0.57 |
$262,465 |
6BH21/6AH21 |
2.77 |
0.22 |
$7,190 |
6CH21/6AH21 |
2.58 |
0.40 |
$1,135 |
6BH21 |
2.27 |
0.09 |
$84,875 |
6CH21 |
2.07 |
0.24 |
$78,820 |
ZCH21 |
1.45 |
0.49 |
$24,850 |
ZSH21 |
1.37 |
0.11 |
$68,838 |
ZSH21/ZWH21 |
1.31 |
0.11 |
$36,938 |
NGG21 |
1.30 |
0.25 |
$27,000 |
RBG21 |
1.20 |
0.48 |
$65,016 |
ESH21/YMH21 |
1.12 |
0.57 |
$35,995 |
ZBH21/YMH21 |
0.62 |
0.22 |
$13,364 |
6JH21 |
0.58 |
0.58 |
$120,325 |
SIH21 |
0.23 |
0.63 |
$127,500 |
SIH21/HGH21 |
0.17 |
0.67 |
$35,163 |
ZBH21/ESH21 |
0.16 |
0.08 |
($22,631) |
CLG21 |
0.10 |
0.11 |
$52,730 |
ZSH21/ZCH21/2 |
0.08 |
0.20 |
$19,138 |
HGH21 |
0.01 |
0.40 |
$92,338 |
CLH21/CLG21 |
0.00 |
0.00 |
($20) |
HOH21/HOG21 |
0.00 |
0.00 |
$17 |
NGH21/NGG21 |
0.00 |
0.00 |
($450) |
RBH21/RBG21 |
0.00 |
0.00 |
($80) |
ZBH21 |
0.02 |
0.10 |
$168,469 |
GCG21/SIH21 |
0.37 |
0.54 |
$57,490 |
NQH21/RSH21/2 |
0.50 |
0.72 |
$53,255 |
GCG21/HGH21 |
0.63 |
0.37 |
$92,653 |
ZWH21 |
0.64 |
0.07 |
$31,900 |
ZWH21/ZCH21 |
1.00 |
0.21 |
$7,050 |
GCG21 |
1.01 |
0.14 |
$184,990 |
YMH21 |
1.18 |
0.58 |
$155,105 |
6JH21/6BH21 |
1.21 |
0.43 |
$35,450 |
CLG21/NGG21 |
1.21 |
0.27 |
$25,730 |
6EH21 |
1.30 |
0.20 |
$153,019 |
HOG21 |
1.68 |
0.27 |
$66,612 |
HOG21/RBG21 |
1.77 |
0.52 |
$1,596 |
6AH21 |
2.45 |
0.40 |
$77,685 |
ESH21 |
3.00 |
0.32 |
$191,100 |
ZBH21/NQH21 |
4.24 |
0.58 |
($93,996) |
ESH21/RSH21/2 |
5.83 |
1.45 |
($18,110) |
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