Quantitative Models and Construction 1. Model Name: Short-Cycle Model - **Model Construction Idea**: Focuses on high-frequency financial data, including market style, external factors, and liquidity[16] - **Model Construction Process**: - Selects effective and relatively independent factors from high-dimensional data - Incorporates subjective analysis frameworks to build models with out-of-sample generalization capabilities - Signals are derived from the weighted combination of three independent models, with signal strength ranging from 0 to 1[16][17] - Formula for signal combination: $\text{Comprehensive Signal Strength} = w_1 \cdot \text{Model 1 Signal} + w_2 \cdot \text{Model 2 Signal} + w_3 \cdot \text{Model 3 Signal}$ - Positions are determined based on signal thresholds: - Long positions for signals ≥ 0.6 - Short positions for signals ≤ 0.4[17] - **Model Evaluation**: Focuses on high-frequency data and provides actionable signals for short-term trading[16] 2. Model Name: Long-Cycle Model - **Model Construction Idea**: Focuses on low-frequency macroeconomic data and market expectations[16] - **Model Construction Process**: - Similar to the short-cycle model, selects independent factors from high-dimensional data - Incorporates macroeconomic indicators to capture long-term trends - Signals are combined with weights similar to the short-cycle model[16][17] - **Model Evaluation**: Provides insights into long-term market trends and complements the short-cycle model[16] 3. Model Name: Cross-Asset Arbitrage Strategy (N-S Model) - **Model Construction Idea**: Combines a fundamental three-factor model with a trend regression model to generate trading signals[22] - **Model Construction Process**: - Fundamental model based on Nelson-Siegel instantaneous forward rate function: $\mathbf{R}(t) = \beta_{0} + \beta_{1}\frac{1-e^{-t/\tau}}{t/\tau} + \beta_{2}\left(\frac{1-e^{-t/\tau}}{t/\tau} - e^{-t/\tau}\right)$ - $\beta_0$: Level factor, representing market expectations of forward rates - $\beta_1$: Slope factor, representing bond risk premiums - $\beta_2$: Curvature factor, representing convexity deviations - Principal Component Analysis (PCA) and logistic regression are used to classify signals into three categories: - '1': Large spread likely to decrease - '0': Uncertain or oscillating spread - '-1': Large spread likely to increase - Trend regression model filters signals, and trades are executed when signals resonate - Duration-neutral adjustments are made for 10Y-5Y spreads with a 1:1.8 ratio[22] - **Model Evaluation**: Combines fundamental and trend-based approaches, enhancing signal reliability[22] --- Backtesting Results of Models 1. Short-Cycle Model - **Comprehensive Signal Strength**: - IF: 0.53 - IH: 0.52 - IC: 0.53 - IM: 0.55 - T: 0.53 - TF: 0.54[17] 2. Long-Cycle Model - **Comprehensive Signal Strength**: - IF: 0.52 - IH: 0.51 - IC: 0.53 - IM: 0.54 - T: 0.50 - TF: 0.48[17] 3. Cross-Asset Arbitrage Strategy (N-S Model) - **Trading Signals**: - May 27: -1 (N-S Model), 0 (Trend Regression) - May 28: 0 (N-S Model), 0 (Trend Regression) - May 29: 0 (N-S Model), 0 (Trend Regression) - May 30: 0 (N-S Model), 0 (Trend Regression) - May 31: -1 (N-S Model), 0 (Trend Regression)[25] --- Quantitative Factors and Construction 1. Factor Name: Inflation Indicators - **Factor Construction Idea**: Measures inflationary pressures using commodity prices and indices[3] - **Factor Construction Process**: - Includes metrics such as vegetable basket price index, refined copper prices, and natural gas import prices - Historical percentiles and correlations with stock and bond indices are calculated[3] - **Factor Evaluation**: Captures inflation trends and their impact on financial markets[3] 2. Factor Name: Liquidity Indicators - **Factor Construction Idea**: Tracks short-term liquidity conditions using interbank rates and the USD index[4] - **Factor Construction Process**: - Includes DR007, DR001, SHIBOR, and USD index - Historical percentiles and correlations with stock and bond indices are calculated[4] - **Factor Evaluation**: Reflects the availability of liquidity in the financial system[4] 3. Factor Name: Market Sentiment Indicators - **Factor Construction Idea**: Measures investor sentiment using financing balances and trading volumes[6][7] - **Factor Construction Process**: - Stock market sentiment: Financing balances, margin trading balances, and net purchases via Stock Connect - Bond market sentiment: 10Y government bond yields, credit spreads, and trading volumes[6][7] - **Factor Evaluation**: Provides insights into market risk appetite and sentiment shifts[6][7] --- Backtesting Results of Factors 1. Inflation Indicators - **Historical Percentiles**: - Vegetable Basket Index: 0.05 - Refined Copper Prices: 0.98 - Natural Gas Import Prices: 0.40[3] 2. Liquidity Indicators - **Historical Percentiles**: - DR007: 0.45 - DR001: 0.68 - USD Index: 0.70[4] 3. Market Sentiment Indicators - **Historical Percentiles**: - Stock Market Sentiment: Financing Balance: 0.27, Margin Trading Balance: 0.00 - Bond Market Sentiment: 10Y Government Bond Yield: 0.04, Credit Spread: 0.29[6][7]

国投安信期货 SDIC ESSENCE RITUKS 商品量化CTA周度跟踪 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供給 | 0.00 | 1.01 | | 需求 | 0.31 | 1.82 | | 库存 | 0.00 | -0.11 | | 价差 | 0.00 | 1.49 | | 利润 | -0.39 | -1.05 | | 大类累加 | 0.00 | 1.01 | 策略净值方面,上周需求因子上行 0.31%,利润因子走弱0.39%,本周综 合信号多头。浮法玻璃产量释放空头 信号,该因子贡献权重较高,供给端 空头;中国30大中城市商品房成交较 上周小幅减少,需求端多头强度走 弱;上周中国重点八省份周度企业库 存减少,库存端中性转为多头;上周 玻璃华东市场现货价、主连基差因子 以及上海-沙河区域价差因子均释放多 头信号,价差端中性转为多头;利润 端受管道气制浮法玻璃工艺日度收入 因子影响,持续释放空头信号。 2024/5/20 国投安信期货研究院 金融工程组 商品仓位继续向多头区间移动,板块 截面的强弱变化不大,上周位于多头 区间的贵金属延续上行,有色跟 ...

金融衍生品周度报告 主观多头走强 CTA周报 国投安信期货有限公司 第 1 页 版权所有，转载请注明出处 2024年5月20日 截至2024/05/10当周，权益、债券与商品市场周度涨跌幅分别为 1.59%、-0.13%、-0.40%； 私募基金市场方面，本周主要策略指 数延续上升趋势，权益类策略收益表现最佳。CTA方面，本周CTA 趋势、套利以及复合指数涨跌幅分别为0.15%、-0.05%与0.67%。 策略拥挤方面，本周权益策略走高，债券策略持平，CTA小幅上行。 子策略部分，CTA中量化与主观趋势有所分化，其中主观趋势维持在 较高拥挤水平，权益部分指增与量化多头上升，主观多头走低，市场 中性策略小幅下降。 近一周除周期外其余风格管理均跑赢市场，其中稳定风格管理人表现 最佳，超额收益率为2.64%，拥挤度波动回升，稳定与金融风格升幅 显著。 Barra因子：截止2024/5/17当周，本周分红与ALPHA因子表现较 优，超额收益率为2.63%。结合模型评分变化结果周期与消费风格环 比上升，稳定风格走弱，当前整体偏好消费与成长风格。本周五风格 择时策略收益率为-0.51%，对比基准均衡配置暂无超额。 基金市 ...