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第16周交易39次共80手,亏损1.8K(-2.3,-3.6,2.3,7.5,-5.6),-0.3%。原仓-3.4,新仓6.8,交易-4.9,手续费$201。YTD -$91.7K,-14.1%。现账户资金590.9K,马金180.2K,杠杆6.3,净仓0,波动率1.8%,风险非常高。 本周股市上下波动,最终小幅下跌。账户目前持有: 1 6CM/6AM, 1 6CM/HGN, -1 6EM/6AM, -3 6EM/6BM, -2 ESM/RSM, -3 ESM/YMM, -1 HOM/CLM, -1 RBM/CLM, -2 ZSN/ZCN, -3 ZSN/ZWN。持仓太分散,杠杆太高。股市不跌,虽然减少了一手ESM/RSM空仓,期指仓位仍然过重,没有什么交易空间。 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 | ZCN21 | 2.28 | 0.80 | $31,750 | NQM21-YMM21 | 2.10 | 0.24 | $108,580 | RSM21 | 2.10 | 0.24 | $113,345 | NQM21-ESM21 | 1.86 | 0.41 | $69,828 | 6CM21-6AM21 | 1.86 | 0.21 | $2,665 | ESM21-YMM21 | 1.59 | 0.79 | $38,753 | RBM21-HOM21 | 1.55 | 0.29 | $5,460 | 6CM21 | 1.25 | 0.19 | $80,160 | RBM21 | 1.21 | 0.23 | $84,113 | RBM21-CLM21 | 1.19 | 0.24 | $22,073 | 6BM21-6AM21 | 1.14 | 0.01 | $9,280 | ZSN21-ZWN21 | 1.04 | 0.10 | $40,113 | 6JM21 | 1.02 | 0.71 | $115,938 | HGN21 | 0.94 | 0.53 | $108,475 | GCM21-SIN21 | 0.91 | 0.77 | $47,195 | 6EM21-6AM21 | 0.88 | 0.44 | $73,874 | ZSN21 | 0.82 | 0.08 | $75,838 | ZSN21-ZCN21 | 0.80 | 0.09 | $44,088 | NQM21 | 0.67 | 0.83 | $278,115 | NGM21 | 0.55 | 0.21 | $28,060 | 6BM21 | 0.52 | 0.15 | $86,775 | ESM21 | 0.46 | 0.83 | $208,288 | 6EM21 | 0.24 | 0.36 | $151,369 | 6EM21-6BM21 | 0.09 | 0.34 | $64,594 | 6EM21-6CM21 | 0.10 | 0.39 | $71,209 | GCM21 | 0.23 | 0.30 | $177,670 | CLM21 | 0.35 | 0.22 | $62,040 | NQM21-RSM21 | 0.50 | 0.87 | $164,770 | ZBM21 | 0.50 | 0.28 | $158,469 | SIN21 | 1.05 | 0.81 | $130,475 | ZBM21-6JM21 | 1.07 | 0.69 | $42,531 | ZWN21 | 1.10 | 0.09 | $35,725 | HOM21-CLM21 | 1.13 | 0.22 | $16,613 | 6CM21-HGN21 | 1.15 | 0.53 | ($28,315) | HOM21 | 1.17 | 0.23 | $78,653 | YMM21 | 1.52 | 0.80 | $169,535 | ESM21-RSM21 | 1.58 | 0.14 | $94,943 | ZWN21-ZCN21 | 1.68 | 0.19 | $3,975 | 6AM21 | 1.83 | 0.31 | $77,495 | YMM21-RSM21 | 2.34 | 0.58 | $56,190 | | | | | |
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