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第18周交易37次共70手,虧損13.4K(-0.7,1.5,4.0,-4.1,-13.4),-2.3%。原倉-10.8,新倉0.5,交易-2.9,手續費$327。YTD -$105.8K,-16.3%。現賬戶資金576.8K,馬金229.0K,杠杆6.9,淨倉0,波動率1.7%,風險非常高。
本周股市又創新高。虧損主要原因還是做空HG,並且還增加了一手。不過數周前決定將波動率控製在2%以下也避免了更大的虧損。現在雖然僅做配對交易,但由配對產生的對衝效應並非100%,杠杆達到7仍然非常危險。
以下是目前所交易期貨概況。
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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