招商期货-“套利盈”示范账户-100601

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敬请阅读末页的免责条款招商期货研究所招商期货研究所招商期货研究所招商期货研究所0755075507550755----82766967827669678276696782766967zzzzrrrrlc@cmschina.com.cnlc@cmschina.com.cnlc@cmschina.com.cnlc@cmschina.com.cn2010201020102010年年年年00006666月月月月00001111日日日日产品经理:谢磊,王应玺投资决策小组:黄耀民,刘晓娜,侯书峰,王惠家,罗俊江,李鑫,李志阳,樊文““““套利盈套利盈套利盈套利盈””””示范账户示范账户示范账户示范账户盘中盘中盘中盘中操作操作操作操作仅对公司高端客户提供仅对公司高端客户提供仅对公司高端客户提供仅对公司高端客户提供,,,,其他投资者其他投资者其他投资者其他投资者如想获取如想获取如想获取如想获取““““套利盈套利盈套利盈套利盈””””产品产品产品产品,,,,请致电请致电请致电请致电0755075507550755----82766967827669678276696782766967或发邮件至或发邮件至或发邮件至或发邮件至zrlc@cmschina.com.cnzrlc@cmschina.com.cnzrlc@cmschina.com.cnzrlc@cmschina.com.cn本期本期本期本期要点要点要点要点明日明日明日明日关注及操作计划关注及操作计划关注及操作计划关注及操作计划::::持仓观望持仓观望持仓观望持仓观望示范账户最新权益合计示范账户最新权益合计示范账户最新权益合计示范账户最新权益合计::::10,104,05110,104,05110,104,05110,104,051元元元元累计收益率累计收益率累计收益率累计收益率::::1111....04040404%%%%今日今日今日今日操作操作操作操作::::无无无无““““套利寅套利寅套利寅套利寅””””示范示范示范示范账户账户账户账户收益率曲线及仓位图收益率曲线及仓位图收益率曲线及仓位图收益率曲线及仓位图模拟操作示意模拟操作示意模拟操作示意模拟操作示意图图图图“套利盈”示范账户是以股指期货及现货套利策略研究为基础的示范操作,该示范操作并不保证实战中能取得较好效果,模拟交易中的内容和意见仅供参考,并不构成对所述品种买卖的出价或征价。套利交易虽然风险较低,但仍然有风险,资金管理和止损操作也是非常重要的。一般情况下建议每次操作仓位期货为一手,现货为对应市值。敬请阅读末页的免责条款Page2““““套利盈套利盈套利盈套利盈””””示范账户收益率曲线及仓位图示范账户收益率曲线及仓位图示范账户收益率曲线及仓位图示范账户收益率曲线及仓位图资料来源:招商期货研究所““““套利盈套利盈套利盈套利盈””””示范帐户持仓表示范帐户持仓表示范帐户持仓表示范帐户持仓表起始权益起始日期最新权益合计收益率10,000,00010,000,00010,000,00010,000,0002010201020102010----4444----1616161610,104,05110,104,05110,104,05110,104,0511.04%1.04%1.04%1.04%截昨日手续费合计截昨日平仓盈亏合计截当日手续费合计截当日平仓盈亏合计38815.4738815.4738815.4738815.4718198518198518198518198538815.4738815.4738815.4738815.47181985181985181985181985已平仓总次数其中盈利次数其中亏损次数胜率2222222221212121111195.45%95.45%95.45%95.45%序序序序号号号号合约合约合约合约////现货现货现货现货建仓日期建仓日期建仓日期建仓日期买买买买1/1/1/1/卖卖卖卖----1111建仓建仓建仓建仓价位价位价位价位手数手数手数手数市值市值市值市值((((万万万万))))收盘收盘收盘收盘////平平平平仓价仓价仓价仓价浮动盈亏浮动盈亏浮动盈亏浮动盈亏平仓日期平仓日期平仓日期平仓日期平仓盈亏平仓盈亏平仓盈亏平仓盈亏手续手续手续手续费费费费总仓总仓总仓总仓位位位位1150007同庆B2010-5-1010.83611155930.752-93702933IF10062010-5-18-12724.41822762-11280从IF1005移仓至IF1006,移仓盈利为50280123期现价差7517.84-104982105511%2IF10122010-5-12129311882858.4-21780132IF10062010-5-12-12866.4186276231320129价差64.696.495402613%3IF10122010-5-1712759.41832858.429700124IF10062010-5-17-127211822762-12300122价差38.496.4174002473%4IF10072010-5-2412850.821712781-41880257IF10062010-5-24-12831.82170276241880255价差19.01905117%0%10%20%30%40%50%60%70%80%90%100%0.00%0.20%0.40%0.60%0.80%1.00%1.20%1.40%1.60%2010-4-162010-4-182010-4-202010-4-222010-4-242010-4-262010-4-282010-4-302010-5-22010-5-42010-5-62010-5-82010-5-102010-5-122010-5-142010-5-162010-5-182010-5-202010-5-222010-5-242010-5-262010-5-282010-5-30仓位(右轴)收益率(左轴)敬请阅读末页的免责条款Page35IF10072010-5-2612889.81872781-32640130IF10062010-5-26-12874.4186276233720129价差15.41910802593%6IF10072010-5-28128831862781-30600130IF10062010-5-28-12869.4186276232220129价差13.61916202593%合计1200-75342259231%历史平仓记录历史平仓记录历史平仓记录历史平仓记录序序序序号号号号合约合约合约合约////现货现货现货现货建仓日期建仓日期建仓日期建仓日期买买买买1/1/1/1/卖卖卖卖----1111建仓建仓建仓建仓价位价位价位价位手数手数手数手数市值市值市值市值((((万万万万))))平仓价平仓价平仓价平仓价平仓日期平仓日期平仓日期平仓日期平仓盈亏平仓盈亏平仓盈亏平仓盈亏手续费手续费手续费手续费盈利率盈利率盈利率盈利率1深100ETF2010-4-1613.9761181473.7862010-4-19-224399171.41%50ETF2010-4-1612.3441408332.2152010-4-19-18163.2642红利ETF2010-4-1612.594804212.4772010-4-19-9406.8408IF10052010-4-16-1344211033211.62010-4-1969120299期现价差78.481911122660.17%2150007同庆B2010-4-1610.937110111030.8982010-4-19-42942.920212.02%IF10052010-4-16-13439.211033206.22010-4-1969900299期现价差82.182695723200.25%3IF10052010-4-2213219.819732302010-4-263060290-1.21%IF10122010-4-22-13370.2110133942010-4-26-7140304价差150.4164-4080595-0.05%4150007同庆B2010-4-2210.88511115980.8582010-4-27-3001119370.34%IF10062010-4-22-132791983158.22010-4-2736240290期现价差70.575.3623022270.04%5深100ETF2010-4-2313.791042393.6822010-4-27-112547790.17%50ETF2010-4-2312.161736162.1062010-4-27-4048314180ETF2010-4-2310.6776101410.6582010-4-27-11592814IF10052010-4-23-132301973126.42010-4-2731080286期现价差55.126.5418621930.02%6深100ETF2010-4-2713.7151042393.7272010-4-2812507750.85%50ETF2010-4-2712.13736162.1082010-4-28-1619312180ETF2010-4-2710.6656101410.6612010-4-28-2440809IF10052010-4-27-13183.21953134.82010-4-2814520284期现价差60.2171171121810.10%7深100ETF2010-4-2913.69941353.5552010-4-30-127046820.23%50ETF2010-4-2912.113601132.1072010-4-30-361254180ETF2010-4-2910.6575150340.6492010-4-30-4120673红利ETF2010-4-2912.358604142.3262010-4-30-1933283敬请阅读末页的免责条款Page4IF10062010-4-29-131841963104.42010-4-3023880283期现价差90.164.7476321740.03%8IF10052010-4-3013077.61923078.82010-4-303602770.78%IF10062010-4-30-131281943118.62010-4-302820281价差50.439.831805580.03%9深100ETF2010-4-3013.573964343.5822010-5-58686900.48%50ETF2010-4-3012.099614132.1082010-5-5553258180ETF2010-4-3010.6485034330.6512010-5-51510654红利ETF2010-4-3012.323594142.3362010-5-5772277IF10062010-4-30-13131.81943119.22010-5-53780281期现价差109.882.4748321600.05%10深100ETF2010-5-513.508983343.3882010-5-7-117966780.53%50ETF2010-5-512.069606132.0012010-5-7-4121247180ETF2010-5-510.6374944310.6172010-5-7-9888620红利ETF2010-5-512.294574132.2092010-5-7-4879258IF10052010-5-5-13047.219129192010-5-738460268期现价差83.443.7777620710.06%11IF10052010-5-612990.219029422010-5-7-144602671.67%IF10062010-5-6-13

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