TCT
记录股民匹诺曹(Pinocchio)期货交易从亏损走向盈利的曲折过程。
正文
第18周交易37次共70手，亏损13.4K（-0.7，1.5，4.0，-4.1，-13.4），-2.3%。原仓-10.8，新仓0.5，交易-2.9，手续费$327。YTD -$105.8K，-16.3%。现账户资金576.8K，马金229.0K，杠杆6.9，净仓0，波动率1.7%，风险非常高。
本周股市又创新高。亏损主要原因还是做空HG，并且还增加了一手。不过数周前决定将波动率控制在2%以下也避免了更大的亏损。现在虽然仅做配对交易，但由配对产生的对冲效应并非100%，杠杆达到7仍然非常危险。
以下是目前所交易期货概况。
| SID | Contract/Pair | RV | WV | WM | PE | MV | ATR | V% | WN | DateTime | Pos |
| 0 | 6AM21 | -2.46 | 2.6 | -4.05 | 0.00% | $78,430 | $705 | 0.90% | 15 | 03/25/21 11:53 | 1 |
| 1 | 6BM21 | 0.46 | 2.2 | 3.67 | 0.00% | $87,456 | $578 | 0.66% | 12 | 04/19/21 23:10 | 2 |
| 2 | 6CM21 | 1.61 | 6.51 | 6.51 | 0.00% | $82,455 | $520 | 0.63% | 12 | 05/07/21 16:58 | 2 |
| 3 | 6EM21 | 0.6 | 2.8 | 5.68 | 0.00% | $152,150 | $819 | 0.54% | 13 | 04/20/21 03:45 | -3 |
| 4 | 6JM21 | 1.19 | 1.98 | -4.4 | 0.00% | $115,156 | $602 | 0.52% | 17 | 03/30/21 23:08 | 0 |
| 5 | CLM21 | -0.59 | -1.3 | -3.53 | 0.00% | $64,820 | $2,126 | 3.28% | 20 | 03/18/21 15:46 | 5 |
| 6 | ESM21 | 1.52 | 2.45 | 7.55 | 0.00% | $211,338 | $2,233 | 1.06% | 15 | 04/16/21 15:50 | -5 |
| 7 | GCM21 | 0.55 | 3.05 | 3.37 | 0.00% | $183,200 | $2,413 | 1.32% | 17 | 04/08/21 10:45 | 0 |
| 8 | HGN21 | 1.32 | 3.33 | 5.62 | 0.00% | $118,725 | $2,344 | 1.97% | 17 | 04/27/21 02:37 | -2 |
| 9 | HOM21 | -1.5 | -1.09 | -4.19 | 0.00% | $84,445 | $2,204 | 2.61% | 20 | 03/18/21 15:37 | -3 |
| 10 | NGM21 | 0.87 | 1.07 | -3.78 | 0.00% | $29,700 | $748 | 2.52% | 21 | 03/18/21 09:42 | 0 |
| 11 | NQM21 | -0.82 | 1.68 | 5.77 | 0.00% | $274,310 | $4,951 | 1.80% | 19 | 04/16/21 08:15 | 0 |
| 12 | RBM21 | 1.48 | -1.63 | -4.1 | 0.00% | $89,531 | $2,434 | 2.72% | 20 | 03/18/21 15:37 | -2 |
| 13 | RSM21 | 1.06 | 1.43 | 4.13 | 0.00% | $113,365 | $2,527 | 2.23% | 17 | 03/15/21 05:49 | 3 |
| 14 | SIN21 | -1.79 | 2.33 | -3.34 | 0.00% | $137,825 | $3,373 | 2.45% | 15 | 03/25/21 09:09 | 0 |
| 15 | YMM21 | -1.67 | 3.07 | 6.37 | 0.00% | $173,565 | $1,709 | 0.98% | 17 | 04/16/21 15:50 | 2 |
| 16 | ZBM21 | -1.04 | -2.06 | -4.43 | 0.00% | $158,000 | $1,261 | 0.80% | 17 | 03/18/21 07:34 | 0 |
| 17 | ZCN21 | 3.53 | 1.8 | 8.14 | 0.00% | $36,550 | $804 | 2.20% | 17 | 04/27/21 06:15 | -2 |
| 18 | ZSN21 | 0.8 | 2.97 | 7.15 | 0.00% | $79,488 | $1,393 | 1.75% | 13 | 04/27/21 06:39 | -2 |
| 19 | ZWN21 | -1.95 | 1.06 | 4.66 | 0.00% | $38,150 | $912 | 2.39% | 23 | 04/26/21 09:35 | 4 |
| 20 | 6BM21-6AM21 | 1.34 | -1.95 | -2.94 | 27.24% | $9,026 | $513 | 0.65% | 21 | 04/16/21 03:03 | 0 |
| 21 | 6CM21-6AM21 | 2.48 | -1.49 | 4.18 | 29.90% | $4,025 | $494 | 0.63% | 19 | 04/30/21 14:58 | 0 |
| 22 | 6CM21-HGN21 | -1.6 | -3.26 | -4 | 10.77% | ($36,270) | $2,092 | 1.76% | 21 | 04/27/21 02:37 | 2 |
| 23 | 6EM21-6AM21 | 1.44 | 2.02 | 3.42 | 29.09% | $73,720 | $581 | 0.38% | 19 | 04/07/21 10:44 | -1 |
| 24 | 6EM21-6BM21 | 0.41 | 2.55 | 4.83 | 23.09% | $64,694 | $630 | 0.41% | 17 | 04/09/21 03:05 | -2 |
| 25 | 6EM21-6CM21 | 0.15 | 2.01 | -4.05 | 16.12% | $69,695 | $687 | 0.45% | 15 | 05/05/21 12:09 | 0 |
| 26 | ESM21-RSM21 | -0.28 | 2.95 | 5.17 | 27.90% | $97,973 | $1,822 | 1.61% | 13 | 04/13/21 12:48 | -3 |
| 27 | ESM21-YMM21 | 1.65 | 1.49 | 5.66 | 45.13% | $37,773 | $1,225 | 0.58% | 19 | 04/14/21 07:05 | -2 |
| 28 | GCM21-SIN21 | 1.7 | 1.75 | 4.86 | 43.08% | $45,375 | $1,920 | 1.39% | 27 | 03/25/21 09:07 | 0 |
| 29 | HOM21-CLM21 | -1.46 | 3.75 | 3.75 | 68.22% | $19,625 | $700 | 0.83% | 21 | 05/07/21 16:55 | -3 |
| 30 | NQM21-ESM21 | 0.54 | -1.04 | 4.78 | 35.07% | $62,973 | $3,214 | 1.17% | 18 | 04/14/21 08:45 | 0 |
| 31 | NQM21-RSM21 | -1.3 | -1.03 | 5.21 | 15.85% | $160,945 | $4,166 | 1.52% | 18 | 04/14/21 07:55 | 0 |
| 32 | NQM21-YMM21 | 0.53 | 1.56 | 5.19 | 12.83% | $100,745 | $4,315 | 1.57% | 17 | 04/14/21 07:55 | 0 |
| 33 | RBM21-CLM21 | 1.47 | 1.34 | 3.92 | 60.39% | $24,711 | $964 | 1.08% | 16 | 05/05/21 09:51 | -2 |
| 34 | RBM21-HOM21 | 1.93 | -2.44 | -3.19 | 60.24% | $5,086 | $968 | 1.08% | 18 | 04/27/21 06:42 | 0 |
| 35 | YMM21-RSM21 | -1.64 | 3.84 | 4.46 | 21.37% | $60,200 | $1,987 | 1.75% | 10 | 04/20/21 11:27 | 0 |
| 36 | ZBM21-6JM21 | -1.57 | -2.36 | 3.17 | 11.97% | $42,844 | $1,110 | 0.70% | 23 | 03/25/21 09:39 | 0 |
| 37 | ZSN21-ZCN21 | 0.79 | 1.93 | 3.97 | 30.87% | $42,938 | $963 | 1.21% | 21 | 04/22/21 12:24 | 0 |
| 38 | ZSN21-ZWN21 | 1.32 | 1.74 | -3.94 | 20.04% | $41,338 | $1,114 | 1.40% | 19 | 04/14/21 09:39 | -2 |
| 39 | ZWN21-ZCN21 | -2.82 | 1.16 | -4.62 | 25.54% | $1,600 | $679 | 1.78% | 22 | 05/04/21 13:09 | 2 |
| 40 | PTF | 0 | -5.82 | -7.48 | 0.00% | $576,833 | $9,888 | 1.71% | 15 | 04/22/21 09:01 | 1 |
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