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第17周交易36次共66手,亏损0.7K(-0.4,1.8,-2.5,-2.5,2.8),-0.1%。原仓-2.9,新仓-0.8,交易3.2,手续费$132。YTD -$92.4K,-14.2%。现账户资金590.2K,马金152.2K,杠杆5.8,净仓0,波动率1.5%,风险很高。
本周股市小幅下跌。连续三周,账户陷于拉锯战之中。亏损主要是因为做空铜,与之配对的加元对冲效果PE太差。与上周相比风险稍有降低,但重仓的期指仍然没有任何交易。
以下是目前所交易期货概况
SID |
Contract/Pair |
RV |
WV |
PE |
MV |
ATR |
V% |
WN |
wMax |
DateTime |
Pos |
0 |
6AM21 |
-2.39 |
-1.69 |
0.00% |
$77,125 |
$721 |
0.93% |
17 |
-3.96 |
03/25/21 11:53 |
2 |
1 |
6BM21 |
0.11 |
-1.87 |
0.00% |
$86,331 |
$584 |
0.68% |
14 |
3.63 |
04/19/21 23:10 |
2 |
2 |
6CM21 |
1.87 |
4.65 |
0.00% |
$81,355 |
$525 |
0.65% |
12 |
4.65 |
04/30/21 08:20 |
0 |
3 |
6EM21 |
0.69 |
-2.01 |
0.00% |
$150,375 |
$837 |
0.56% |
14 |
5.56 |
04/20/21 03:45 |
-3 |
4 |
6JM21 |
1.19 |
-1.6 |
0.00% |
$114,363 |
$610 |
0.53% |
14 |
-4.94 |
03/08/21 21:02 |
0 |
5 |
CLM21 |
-0.57 |
-1.01 |
0.00% |
$63,490 |
$2,244 |
3.54% |
18 |
3.82 |
03/07/21 21:15 |
2 |
6 |
ESM21 |
1.3 |
1.83 |
0.00% |
$209,025 |
$2,529 |
1.21% |
18 |
6.67 |
04/16/21 15:50 |
-5 |
7 |
GCM21 |
0.1 |
-1.28 |
0.00% |
$176,880 |
$2,498 |
1.41% |
18 |
3.26 |
04/08/21 10:45 |
0 |
8 |
HGN21 |
0.97 |
1.26 |
0.00% |
$111,400 |
$2,603 |
2.34% |
21 |
5.07 |
04/27/21 02:37 |
-1 |
9 |
HOM21 |
-1.46 |
-1.16 |
0.00% |
$80,590 |
$2,338 |
2.90% |
20 |
-3.95 |
03/18/21 15:37 |
1 |
10 |
NGM21 |
0.73 |
1.01 |
0.00% |
$29,410 |
$760 |
2.59% |
16 |
3.88 |
04/20/21 02:16 |
0 |
11 |
NQM21 |
0.05 |
1.3 |
0.00% |
$277,305 |
$5,400 |
1.95% |
20 |
5.29 |
04/16/21 08:15 |
0 |
12 |
RBM21 |
1.71 |
-1.04 |
0.00% |
$87,007 |
$2,500 |
2.87% |
20 |
-3.99 |
03/18/21 15:37 |
-3 |
13 |
RSM21 |
2.29 |
-1.21 |
0.00% |
$113,310 |
$2,773 |
2.45% |
17 |
-4.43 |
03/25/21 10:54 |
2 |
14 |
SIN21 |
-1.76 |
-1.38 |
0.00% |
$129,950 |
$3,372 |
2.59% |
16 |
-3.34 |
03/25/21 09:09 |
0 |
15 |
YMM21 |
-2.39 |
-1.08 |
0.00% |
$169,035 |
$1,876 |
1.11% |
19 |
5.8 |
04/16/21 15:50 |
3 |
16 |
ZBM21 |
-0.74 |
-2.01 |
0.00% |
$157,313 |
$1,339 |
0.85% |
12 |
-4.18 |
03/18/21 07:34 |
0 |
17 |
ZCN21 |
3.4 |
2.36 |
0.00% |
$33,663 |
$748 |
2.22% |
19 |
5.48 |
04/22/21 20:00 |
-1 |
18 |
ZSN21 |
0.44 |
1.65 |
0.00% |
$76,788 |
$1,357 |
1.77% |
17 |
7.34 |
04/27/21 06:39 |
-2 |
19 |
ZWN21 |
-1.41 |
1.19 |
0.00% |
$36,738 |
$849 |
2.31% |
19 |
5.01 |
04/26/21 09:35 |
3 |
20 |
6BM21-6AM21 |
1.01 |
-1.14 |
27.26% |
$9,206 |
$524 |
0.68% |
22 |
-2.88 |
04/16/21 03:03 |
0 |
21 |
6CM21-6AM21 |
2.48 |
4.05 |
29.31% |
$4,230 |
$510 |
0.66% |
18 |
4.05 |
04/30/21 14:58 |
-1 |
22 |
6CM21-HGN21 |
-1.25 |
1.12 |
9.88% |
($30,045) |
$2,346 |
2.11% |
24 |
-3.57 |
04/27/21 02:37 |
1 |
23 |
6EM21-6AM21 |
1.48 |
-1.27 |
28.52% |
$73,250 |
$598 |
0.40% |
20 |
-3.42 |
03/16/21 12:10 |
-1 |
24 |
6EM21-6BM21 |
0.56 |
-1.07 |
22.75% |
$64,044 |
$646 |
0.43% |
18 |
4.71 |
04/09/21 03:05 |
-2 |
25 |
6EM21-6CM21 |
0.15 |
-3.29 |
14.69% |
$69,020 |
$714 |
0.47% |
16 |
-4.25 |
03/08/21 20:27 |
0 |
26 |
ESM21-RSM21 |
-1.39 |
1.25 |
30.16% |
$95,715 |
$1,937 |
1.71% |
16 |
4.87 |
04/13/21 12:48 |
-2 |
27 |
ESM21-YMM21 |
2.45 |
2.87 |
48.04% |
$39,990 |
$1,314 |
0.63% |
24 |
5.28 |
04/14/21 07:05 |
-3 |
28 |
GCM21-SIN21 |
1.6 |
0.99 |
41.66% |
$46,930 |
$1,967 |
1.51% |
27 |
4.74 |
03/25/21 09:07 |
0 |
29 |
HOM21-CLM21 |
-1.41 |
-1.06 |
68.96% |
$17,100 |
$726 |
0.90% |
24 |
3.55 |
04/12/21 06:54 |
0 |
30 |
NQM21-ESM21 |
1.84 |
-1.74 |
37.17% |
$68,280 |
$3,392 |
1.22% |
15 |
4.53 |
04/14/21 08:45 |
0 |
31 |
NQM21-RSM21 |
-1.16 |
-1.3 |
19.48% |
$163,995 |
$4,348 |
1.57% |
19 |
5.78 |
04/14/21 07:55 |
0 |
32 |
NQM21-YMM21 |
2.15 |
1.38 |
15.32% |
$108,270 |
$4,572 |
1.65% |
16 |
4.9 |
04/14/21 07:55 |
0 |
33 |
RBM21-CLM21 |
1.68 |
2.44 |
60.70% |
$23,517 |
$983 |
1.13% |
16 |
4.24 |
03/14/21 19:44 |
-2 |
34 |
RBM21-HOM21 |
2.09 |
2.6 |
61.74% |
$6,418 |
$956 |
1.10% |
22 |
-3.22 |
04/27/21 06:42 |
-1 |
35 |
YMM21-RSM21 |
-2.91 |
1.29 |
26.37% |
$55,725 |
$2,042 |
1.80% |
12 |
4.34 |
04/20/21 11:27 |
0 |
36 |
ZBM21-6JM21 |
-1.36 |
1.18 |
12.85% |
$42,950 |
$1,167 |
0.74% |
25 |
3.01 |
03/25/21 09:39 |
0 |
37 |
ZSN21-ZCN21 |
0.4 |
1.4 |
31.09% |
$43,125 |
$935 |
1.22% |
21 |
4.09 |
04/22/21 12:24 |
0 |
38 |
ZSN21-ZWN21 |
0.84 |
1.64 |
20.11% |
$40,050 |
$1,084 |
1.41% |
21 |
-4.05 |
04/14/21 09:39 |
-2 |
39 |
ZWN21-ZCN21 |
-2.3 |
-2.24 |
27.78% |
$3,075 |
$613 |
1.67% |
25 |
-3.51 |
03/21/21 21:15 |
1 |
40 |
PTF |
0 |
-2.45 |
0.00% |
$590,314 |
$8,717 |
1.48% |
20 |
-4.97 |
04/13/21 13:17 |
1 |
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