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第48周交易47次共55手,盈利0.1K(-9.1,8.2,-5.6, 2.9,3.7),0.0%。原仓5.8,新仓-7.9,交易2.9。YTD -$66.4K,-10.2%。现账户资金627.7K,杠杆2.53,净仓1,波动率1.44%(1.02%~1.80%),风险极高。
本周股市继续下跌。盈利主要来自ES-YM背离的减少,亏损主要来自天然气的暴跌。账户减少了3手ES-YM空仓,新开了2手NG多仓与1手债卷空仓。目前账户持有2手NG多仓和2手ES/RS,1手ES-YM,1手ZB/6J,1手ZB空仓。账户净仓虽然是1,但实为2手NG多仓与1手ZB空仓合成。1.44%的波动率几乎是半年以来的最大值。而且整周都没能降至1%以下,风险极高。目前市场的波动率也非常高。
以下是目前账户的持仓情况,
SID |
Contract/Pair |
RV |
WV |
WM |
PE |
MV |
ATR |
SR |
V% |
WN |
DateTime |
Pos |
0 |
6AZ21 |
1.29 |
-3.25 |
5.58 |
0.00 |
$69,990 |
$591 |
1 |
0.84% |
70 |
10/20/2021 23:03 |
0 |
1 |
6BZ21 |
-3.39 |
-2.31 |
-6.29 |
0.00 |
$82,756 |
$541 |
1 |
0.65% |
64 |
11/5/2021 6:49 |
0 |
2 |
6CZ21 |
-0.94 |
-2.76 |
-5.78 |
0.00 |
$77,825 |
$478 |
1 |
0.61% |
68 |
11/12/2021 4:18 |
0 |
3 |
6EZ21 |
0.49 |
1.86 |
-9.62 |
0.00 |
$141,413 |
$788 |
1 |
0.56% |
60 |
11/16/2021 22:42 |
0 |
4 |
6JZ21 |
1.59 |
2.82 |
-5.46 |
0.00 |
$110,844 |
$715 |
1 |
0.64% |
61 |
10/11/2021 20:29 |
1 |
5 |
CLF22 |
-1.55 |
-2.64 |
-4.71 |
0.00 |
$66,220 |
$2,708 |
1 |
4.09% |
65 |
11/26/2021 4:35 |
0 |
6 |
ESZ21 |
5.86 |
1.84 |
5.61 |
0.00 |
$226,663 |
$2,622 |
1 |
1.16% |
73 |
10/17/2021 18:01 |
-3 |
7 |
GCG22 |
-1.2 |
2.14 |
-7.41 |
0.00 |
$178,390 |
$2,315 |
1 |
1.30% |
59 |
11/23/2021 11:58 |
0 |
8 |
HGH22 |
0.42 |
-1.55 |
7.53 |
0.00 |
$106,738 |
$2,928 |
1 |
2.74% |
61 |
10/15/2021 9:22 |
0 |
9 |
HOF22 |
3.03 |
-2.19 |
-8.57 |
0.00 |
$88,078 |
$3,083 |
1 |
3.50% |
65 |
11/26/2021 13:44 |
0 |
10 |
NGF22 |
-2.69 |
-1.16 |
-5.64 |
0.00 |
$40,940 |
$3,671 |
1 |
8.97% |
59 |
10/7/2021 4:31 |
2 |
11 |
NQZ21 |
-2.48 |
1.58 |
7.06 |
0.00 |
$313,750 |
$4,842 |
1 |
1.54% |
55 |
10/20/2021 10:34 |
0 |
12 |
RBF22 |
-0.95 |
-2.29 |
-4.93 |
0.00 |
$82,253 |
$3,085 |
1 |
3.75% |
69 |
11/26/2021 13:41 |
0 |
13 |
RSZ21 |
-3.77 |
-1.41 |
8.02 |
0.00 |
$107,810 |
$2,178 |
1 |
2.02% |
70 |
11/4/2021 10:16 |
2 |
14 |
SIH22 |
-1.21 |
1.82 |
-5.93 |
0.00 |
$112,825 |
$2,832 |
1 |
2.51% |
69 |
11/23/2021 11:30 |
0 |
15 |
YMZ21 |
-6.09 |
1.8 |
6.14 |
0.00 |
$172,795 |
$1,988 |
1 |
1.15% |
77 |
10/17/2021 18:07 |
1 |
16 |
ZBH22 |
-2.36 |
-1.15 |
5.98 |
0.00 |
$164,188 |
$1,253 |
1 |
0.76% |
50 |
10/27/2021 14:30 |
-2 |
17 |
ZCH22 |
0.87 |
1.93 |
4.89 |
0.00 |
$29,250 |
$583 |
1 |
1.99% |
56 |
10/19/2021 10:42 |
0 |
18 |
ZSF22 |
-0.39 |
4.34 |
-6.99 |
0.00 |
$63,475 |
$1,112 |
1 |
1.75% |
58 |
11/9/2021 11:43 |
0 |
19 |
ZWH22 |
0.82 |
-2.58 |
6.16 |
0.00 |
$40,250 |
$958 |
1 |
2.38% |
59 |
11/11/2021 10:38 |
0 |
20 |
6BZ21-6AZ21 |
-3.5 |
2.08 |
6.65 |
0.19 |
$12,766 |
$478 |
1 |
0.68% |
66 |
11/17/2021 20:54 |
0 |
21 |
6CZ21-6AZ21 |
-1.31 |
-1.21 |
5.95 |
0.31 |
$7,835 |
$406 |
1 |
0.58% |
73 |
12/3/2021 11:01 |
0 |
22 |
6CZ21-HGH22 |
-0.54 |
1.59 |
-5.1 |
0.07 |
($28,913) |
$2,733 |
1 |
2.56% |
63 |
11/23/2021 9:46 |
0 |
23 |
6EZ21-6AZ21 |
0.1 |
2.89 |
-8.66 |
0.12 |
$71,423 |
$690 |
1 |
0.49% |
56 |
11/16/2021 22:42 |
0 |
24 |
6EZ21-6BZ21 |
1.6 |
2.06 |
-6.46 |
0.24 |
$58,656 |
$602 |
1 |
0.43% |
70 |
11/16/2021 4:38 |
0 |
25 |
6EZ21-6CZ21 |
0.89 |
2.72 |
-7.13 |
0.08 |
$63,588 |
$723 |
1 |
0.51% |
60 |
11/16/2021 22:42 |
0 |
26 |
ESZ21-RSZ21 |
4.53 |
1.62 |
8.94 |
0.34 |
$118,853 |
$1,724 |
1 |
0.76% |
55 |
10/20/2021 9:51 |
-2 |
27 |
ESZ21-YMZ21 |
5.28 |
1.14 |
-5.26 |
0.57 |
$53,868 |
$1,132 |
1 |
0.50% |
65 |
12/3/2021 15:02 |
-1 |
28 |
GCG22-SIH22 |
1.04 |
-1.05 |
-4.5 |
0.31 |
$65,565 |
$1,946 |
1 |
1.72% |
81 |
10/19/2021 10:19 |
0 |
29 |
HOF22-CLF22 |
2.82 |
1.84 |
4.81 |
0.59 |
$21,858 |
$1,277 |
1 |
1.45% |
92 |
10/6/2021 5:02 |
0 |
30 |
NQZ21-ESZ21 |
2.58 |
1.2 |
6.1 |
0.45 |
$87,088 |
$2,669 |
1 |
0.85% |
59 |
11/4/2021 14:46 |
0 |
31 |
NQZ21-RSZ21 |
-0.31 |
1.47 |
7.57 |
0.20 |
$205,940 |
$3,876 |
1 |
1.24% |
55 |
10/20/2021 9:40 |
0 |
32 |
NQZ21-YMZ21 |
3.16 |
1.19 |
6.25 |
0.24 |
$140,955 |
$3,672 |
1 |
1.17% |
57 |
11/5/2021 6:10 |
0 |
33 |
RBF22-CLF22 |
-0.43 |
-1.03 |
3.8 |
0.57 |
$16,033 |
$1,328 |
1 |
1.61% |
92 |
11/3/2021 1:40 |
0 |
34 |
RBF22-HOF22 |
-2.15 |
1.03 |
4.74 |
0.63 |
($5,825) |
$1,146 |
1 |
1.39% |
135 |
11/15/2021 8:04 |
0 |
35 |
YMZ21-RSZ21 |
-1.3 |
3.36 |
-4.59 |
0.33 |
$64,985 |
$1,459 |
1 |
1.35% |
64 |
10/13/2021 11:26 |
0 |
36 |
ZBH22-6JZ21 |
-2.71 |
3.16 |
7.95 |
0.06 |
$53,344 |
$1,175 |
1 |
0.72% |
59 |
10/15/2021 9:00 |
-1 |
37 |
ZSF22-ZCH22 |
-0.43 |
4.33 |
-6.84 |
0.27 |
$34,225 |
$808 |
1 |
1.27% |
65 |
11/9/2021 8:00 |
0 |
38 |
ZSF22-ZWH22 |
-0.66 |
2 |
5.76 |
0.13 |
$23,225 |
$964 |
1 |
1.52% |
69 |
11/9/2021 12:00 |
0 |
39 |
ZWH22-ZCH22 |
0.35 |
-3.35 |
4.36 |
0.33 |
$11,000 |
$642 |
1 |
1.60% |
99 |
12/2/2021 20:00 |
0 |
40 |
PTF |
41.38 |
-1.43 |
-6.52 |
0.00 |
$627,660 |
$9,044 |
1 |
1.44% |
65 |
10/7/2021 8:00 |
1 |
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