2014 (52)
2015 (56)
2016 (50)
2017 (48)
2018 (52)
2019 (52)
2020 (53)
2021 (52)
第53周交易25次共48手,盈利5.9K,0.9% (-2.1,5.4,2.6,0.0,0.0),若无交易10.4K。YTD -$206.2K,-24.1%。现账户资金650.5K,保证金266.1K,杠杆4.4,波动率2.9%,风险极高。
本周股市又创新高,但罗素下跌,账户盈利主要来自于做空罗素与其它指数的背离。亏损来自做空白银与大豆。目前账户持有2手ES/RS,2手HO/RB多仓。与1手SI,1手NQ/YM,1手ES/ZB,2手NQ/ZB,5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 | 5.41 | 0.00 | $105,250 |
NQH21/ESH21 | 4.79 | 0.00 | $70,223 |
NQH21 | 4.61 | 0.02 | $257,660 |
RSH21 | 4.56 | 0.01 | $98,915 |
6BH21/6AH21 | 2.70 | 0.01 | $8,441 |
6CH21/6AH21 | 2.32 | 0.01 | $1,570 |
6BH21 | 2.31 | 0.01 | $85,406 |
6CH21 | 1.93 | 0.01 | $78,535 |
ZSH21 | 1.30 | 0.04 | $65,500 |
ZSH21/ZWH21 | 1.24 | 0.03 | $33,413 |
NGG21 | 1.15 | 0.01 | $25,470 |
ZCH21 | 1.05 | 0.03 | $24,288 |
SIH21 | 0.88 | 0.02 | $132,625 |
SIH21/HGH21 | 0.87 | 0.01 | $44,625 |
RBG21 | 0.79 | 0.01 | $59,266 |
ESH21/YMH21 | 0.60 | 0.03 | $35,028 |
ZBH21/YMH21 | 0.40 | 0.00 | $20,559 |
ZSH21/ZCH21/2 | 0.26 | 0.04 | $16,925 |
CLG21 | 0.22 | 0.01 | $48,420 |
ZBH21/ESH21 | 0.21 | 0.02 | ($14,469) |
NQH21/RSH21/2 | 0.17 | 0.02 | $59,830 |
ZBH21 | 0.04 | 0.02 | $172,969 |
6JH21 | 0.02 | 0.00 | $121,081 |
CLH21/CLG21 | 0.00 | 0.00 | $120 |
HOH21/HOG21 | 0.00 | 0.00 | $46 |
NGH21/NGG21 | 0.00 | 0.00 | ($110) |
RBH21/RBG21 | 0.00 | 0.00 | $218 |
GCG21/HGH21 | 0.24 | 0.02 | $102,160 |
HGH21 | 0.42 | 0.01 | $88,000 |
ZWH21 | 0.60 | 0.01 | $32,088 |
YMH21 | 0.68 | 0.03 | $152,410 |
ZWH21/ZCH21 | 0.83 | 0.00 | $7,800 |
GCG21 | 0.87 | 0.03 | $190,160 |
GCG21/SIH21 | 0.92 | 0.02 | $57,535 |
CLG21/NGG21 | 1.04 | 0.01 | $22,950 |
6EH21 | 1.16 | 0.02 | $152,919 |
HOG21/RBG21 | 1.36 | 0.01 | $3,091 |
HOG21 | 1.53 | 0.00 | $62,357 |
6JH21/6BH21 | 1.71 | 0.01 | $35,675 |
6AH21 | 2.19 | 0.01 | $76,965 |
ESH21 | 2.82 | 0.02 | $187,438 |
ZBH21/NQH21 | 3.87 | 0.00 | ($84,691) |
ESH21/RSH21/2 | 4.65 | 0.01 | ($10,393) |