1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - The container shipping index (European Line) showed weak performance, with the main 2510 contract closing at 1285.0 points, a decline of 3.31%, and an increase of 523 lots in positions; the second - main 2512 contract closed at 1571.0 points, a decline of 3.85%, and an increase of 1880 lots in positions [8]. - In the short - term, the futures price is oscillating downward due to the expected decline in spot prices. In the medium - term, if the loading rate further drops and FAK freight approaches the shipping companies' cash - flow cost line of 1300 - 1600 dollars/FEU, some shipping companies may increase the suspension of voyages, and the further downward space of freight may be limited [11]. - The strategy is to stop profit on short positions of 2510 at low prices, and pay attention to the opportunity of 12 - 04 positive spread entry in the next 1 - 2 weeks [13]. 3. Summary by Relevant Catalogs 3.1 Fundamental Tracking 3.1.1 Futures Data | Contract | Yesterday's Closing Price | Daily Change | Yesterday's Trading Volume | Yesterday's Open Interest | Change in Open Interest | Yesterday's Trading Volume/Open Interest | Previous Day's Trading Volume/Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | | EC2510 | 1285.0 | - 3.31% | 25330 | 54248 | 523 | 0.47 | 0.34 | | EC2512 | 1571.0 | - 3.85% | 8009 | 16197 | 1880 | 0.49 | 0.38 | | EC2602 | 1400.0 | - 3.79% | 1273 | 4668 | 110 | 0.27 | 0.17 | | EC2510 - EC2512 | - 286.0 | | | | | | | | EC2512 - EC2604 | | | | 355.0 | | | | [1] 3.1.2 Freight Rate Index - SCFIS: The European route was at 1990.20 points, a weekly decline of 8.7%; the US - West route was at 1041.38 points, a weekly decline of 5.9% [1]. - SCFI: The European route was at 1668 dollars/TEU, a bi - weekly decline of 8.4%; the US - West route was at 1644 dollars/FEU, a bi - weekly decline of 6.5% [1]. 3.1.3 Spot European Line Prices - Maersk: Departing from Shanghai on September 11, 2025, arriving in Rotterdam on October 20, 2025, with a voyage of 38 days, the price was 1930 dollars/40'GP and 1155 dollars/20'GP [1]. - MSC: Departing from Shanghai on September 14, 2025, arriving in Rotterdam on October 31, 2025, with a voyage of 47 days, the price was 2352 dollars/40'GP and 1406 dollars/20'GP [1]. - Other shipping companies also have corresponding price and schedule information [1]. 3.1.4 Exchange Rate - The US dollar index was 97.88, and the US dollar against the offshore RMB was 7.15 [1]. 3.2 Supply - Side Situation - In September, there were no undetermined voyages, and the number of empty voyages was 6. The PA Alliance transferred 2 ships from the US line to the European line. The weekly average capacity in September reached 298,000 TEU/week, a decline of about 5% compared with August, still significantly lower than the capacity decline in the same period in 2024 [10]. - In October, the number of undetermined voyages was 4, and the number of empty voyages was 5. Without considering undetermined voyages, the weekly average capacity was 296,000 TEU/week [10]. 3.3 Demand - Side and Market Situation - In late August, the overall market loading rate was close to 95%. Since the loading rate was still above the warning line and shipping companies' profit levels were still considerable, shipping companies had no action to increase the number of empty voyages [11]. - In September, the freight rate was in a downward trend. Considering the capacity distribution, the downward pressure on freight rates was still large due to the increase in capacity in the second half of the month and shipping companies' need to stock up for the National Day holiday [11]. 3.4 Historical Market Review - In 2024, the weighted index of the European line stopped falling on September 10. There was a short - term speculation on the US - West port strike in late September. After the strike was resolved during the National Day, the premium was given back. Then, shipping companies announced price increases, with Maersk announcing a price increase to 4500 dollars/FEU effective from November 4, and the actual price in early November was around 4000 dollars/FEU [12]. - In years when the Spring Festival was late, the December contract still had a certain premium over the October contract, but the February contract was not necessarily a weak contract [12].

Report Summary 1. Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views - Nickel is expected to trade in a narrow range [2][4]. - Stainless steel is likely to experience short - term low - level fluctuations [2][4]. - For lithium carbonate, inventory reduction is limited, and it will trade in a range [2][10]. - Industrial silicon investors should focus on the upside potential [2][13]. - For polysilicon, upstream inventory is being reduced, and market information should be closely monitored [2][14]. 3. Summary by Commodity Nickel and Stainless Steel - **Fundamentals**: Data on futures prices, trading volumes, and various industry - related prices such as nickel imports, nickel bean premiums, and stainless - steel product prices are presented. For example, the closing price of the Shanghai nickel main contract is 120,990, down 770 from the previous day [4]. - **News**: Multiple events including potential export restrictions from Canada, new project production in Indonesia, environmental violations in an Indonesian industrial park, and production cuts in an Indonesian nickel - iron smelting park are reported [4][5][6]. - **Trend Intensity**: Both nickel and stainless steel have a trend intensity of 0, indicating a neutral outlook [9]. Lithium Carbonate - **Fundamentals**: Data on futures contracts (2509 and 2511), including closing prices, trading volumes, and open interest, as well as various price differentials and raw material prices are provided. For instance, the closing price of the 2509 contract is 78,140, down 900 from the previous day [10]. - **News**: The SMM battery - grade lithium carbonate index price decreased, and inventory and production also declined slightly [11]. - **Trend Intensity**: The trend intensity is - 1, suggesting a slightly bearish outlook [12]. Industrial Silicon and Polysilicon - **Fundamentals**: Data on futures prices, trading volumes, open interest, price differentials, spot premiums, factory profits, and inventory levels for both industrial silicon and polysilicon are given. For example, the Si2511 closing price is 8,570, up 45 from the previous day [14]. - **News**: A large - scale photovoltaic component procurement project in Ningxia is announced [14]. - **Trend Intensity**: Both industrial silicon and polysilicon have a trend intensity of - 1, indicating a slightly bearish outlook [16].

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report - The US Q2 real GDP annualized quarterly-on-quarter was revised up to 3.3%, with business investment as the main driving force, and the PCE price index remained flat [7]. - The container shipping index (European line) is expected to be under pressure in the short - term, with potential for limited downward movement in freight rates in the medium - term [8][9]. - Cotton futures are expected to be oscillating strongly in the short - term, but attention should be paid to the downward pressure after the new cotton is launched [10]. 3. Summary by Relevant Catalogs 3.1 US Economic Data - The US Q2 real GDP annualized quarterly - on - quarter was revised up to 3.3%, with business investment growing by 5.7%, and net exports contributing nearly 5 percentage points to GDP growth. Consumer spending growth was revised up to 1.6%. The core PCE price index rose 2.5%, unchanged from the initial value [7]. - The number of initial jobless claims in the US last week decreased slightly to 229,000, and the number of continued claims decreased to 1.954 million, both lower than expected [17]. 3.2 Commodity Market Analysis 3.2.1 Precious Metals - Gold: After the JH meeting, Powell's dovish remarks influenced the market. The trend strength is 1. The prices of Shanghai gold and Comex gold showed certain increases [12][16][17]. - Silver: It is approaching the previous high. The trend strength is 1. The prices of Shanghai silver and Comex silver also increased [12][16][17]. 3.2.2 Base Metals - Copper: With the decline of the US dollar, the price rose. Codelco lowered its copper output target for this year. The trend strength is 1 [12][23]. - Zinc: It is oscillating weakly. The trend strength is 0 [12][26]. - Lead: The decrease in inventory supports the price. The trend strength is 0 [12][29]. - Tin: It is oscillating within a range. The trend strength is 1 [12][32]. - Aluminum: It is oscillating within a range. Alumina has an obvious supply surplus. Cast aluminum alloy is oscillating within a range. The trend strengths are 0, - 1, and 0 respectively [12][36]. - Nickel: It is operating in a narrow - range oscillation. Stainless steel is oscillating at a low level in the short - term. The trend strengths are both 0 [12][39]. 3.2.3 Energy and Chemicals - Carbonate Lithium: Inventory reduction is limited, and it is oscillating within a range. The trend strength is - 1 [12][45]. - Industrial Silicon: Attention should be paid to the upward space. The trend strength is - 1 [12][48]. - Polysilicon: The upstream inventory is being reduced, and market information should be monitored. The trend strength is - 1 [12][49]. 3.2.4 Building Materials and Metals - Iron Ore: Due to the repeated macro - expectations, it is oscillating widely. The trend strength is 0 [12][52]. - Rebar: It is oscillating widely. The trend strength is 0 [12][54]. - Hot - Rolled Coil: It is oscillating widely. The trend strength is 0 [12][55]. - Ferrosilicon: Disturbed by market information, it is oscillating widely within a day. The trend strength is 0 [12][58]. - Silicomanganese: Disturbed by market information, it is oscillating widely within a day. The trend strength is 0 [12][58]. - Coke: It is oscillating widely. The trend strength is 0 [12][61]. - Coking Coal: It is oscillating widely. The trend strength is 0 [12][61]. 3.2.5 Others - Container Shipping Index (European Line): It is under pressure in the short - term, and the freight rate may have limited downward movement in the medium - term. The 2510 short position should take profit on dips, and attention should be paid to the 12 - 04 positive spread entry opportunity in the next 1 - 2 weeks [8][9]. - Cotton: Concerns about short - term supply shortages and high basis support the price. It is expected to be oscillating strongly in the short - term, but attention should be paid to the downward pressure after the new cotton is launched [10][71].

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating. 2. Core Views of the Report - Palm oil: No new fundamental drivers, waiting for a pullback [2][4] - Soybean oil: The trading of soybean shortage in the fourth quarter has paused, undergoing a corrective consolidation [2][4] - Soybean meal: U.S. soybeans are stable, and Dalian soybean meal is oscillating [2][13] - Soybean: Oscillating [2][15] - Corn: Moving in an oscillatory manner [2][17] - Sugar: Trading in a narrow range [2][21] - Cotton: Pay attention to the new crop situation, with the futures price oscillating strongly [2][25] - Eggs: Weak sentiment in the distant end [2][29] - Hogs: New delivery warehouses are announced, leading to a near - month basis market [2][31] - Peanuts: Focus on the listing of new peanuts [2][35] 3. Summary by Related Catalogs 3.1 Palm Oil and Soybean Oil - **Fundamental Tracking**: Palm oil futures had a daytime closing price of 9,344 yuan/ton (-0.87%) and a night - time closing price of 9,354 yuan/ton (0.11%); soybean oil futures had a daytime closing price of 8,442 yuan/ton (-0.26%) and a night - time closing price of 8,352 yuan/ton (-1.07%) [5] - **Macro and Industry News**: As of the week of August 26, about 11% of U.S. soybean planting areas were affected by drought, compared with 9% the previous week and 11% last year. The estimated U.S. soybean crush in July 2025 is 621.8 million short tons or 2072 million bushels, a 5.1% increase from June and a 7.2% increase from July 2024. Brazilian state of Paraná is expected to increase its 2025/26 soybean planting area by 1% and production by 4% [6][9] - **Trend Intensity**: Palm oil and soybean oil trend intensities are both 0 [12] 3.2 Soybean Meal and Soybean - **Fundamental Tracking**: DCE soybean meal 2601 closed at 3039 yuan/ton (-0.20%) during the day and 3037 yuan/ton (-0.30%) at night; CBOT soybean 11 was at 1048.25 cents/bushel (+0.00%) [14] - **Macro and Industry News**: On August 28, CBOT soybean futures closed with mixed results. As of the week of August 21, 2024/25 U.S. soybean net sales decreased by 189,200 tons, while 2025/26 net sales were 1,372,600 tons, a new high for the year [14][16] - **Trend Intensity**: Soybean meal and soybean trend intensities are both 0 [16] 3.3 Corn - **Fundamental Tracking**: Jinzhou's closing price was 2,260 yuan/ton (+10); C2509 closed at 2,245 yuan/ton (1.45%) during the day and 2,240 yuan/ton (-0.22%) at night [18] - **Macro and Industry News**: Northern corn collection port prices increased slightly, while North China's corn prices decreased. New - season corn in Xinjiang is priced at 1800 - 1900 yuan/ton [19] - **Trend Intensity**: Corn trend intensity is 0 [20] 3.4 Sugar - **Fundamental Tracking**: The original sugar price was 16.5 cents/pound (+0.06), the mainstream spot price was 5950 yuan/ton (-10), and the futures main contract price was 5602 yuan/ton (-18) [21] - **Macro and Industry News**: Brazil's sugar production needs to be re - evaluated, and India's monsoon precipitation has decreased. China imported 740,000 tons of sugar in July (+320,000 tons). CAOC estimates domestic sugar production and consumption for 24/25 and 25/26 seasons. ISO estimates a 24/25 global sugar supply shortage of 547 million tons [21][22][23] - **Trend Intensity**: Sugar trend intensity is 0 [24] 3.5 Cotton - **Fundamental Tracking**: CF2601 closed at 14,070 yuan/ton (-0.04%) during the day and 14270 yuan/ton (1.42%) at night; ICE cotton futures rose slightly [25] - **Macro and Industry News**: Cotton spot trading was generally quiet, and the cotton yarn market's trading slowed down. U.S. cotton's weekly export sales data was average, with a net increase of 179,300 bales in the 25/26 year as of August 21 [25][26] - **Trend Intensity**: Cotton trend intensity is 0 [28] 3.6 Eggs - **Fundamental Tracking**: Egg 2509 closed at 2,843 yuan/500 kilograms (-2.27%), and Egg 2601 closed at 3,310 yuan/500 kilograms (-1.66%) [29] - **Trend Intensity**: Egg trend intensity is 0 [29] 3.7 Hogs - **Fundamental Tracking**: Henan's spot price was 13,780 yuan/ton (0); Hog 2509 closed at 13,300 yuan/ton (-145) [31] - **Market Logic**: In August, the planned slaughter volume of group farms increased, supply pressure is difficult to reverse in the near term. The 11 - 1 reverse spread can be considered. The storage policy has been implemented, and the 9 - month contract is still at a premium to the warehouse - receipt cost [33] - **Trend Intensity**: Hog trend intensity is - 1 [32] 3.8 Peanuts - **Fundamental Tracking**: Liaoning 308 common peanuts were priced at 7,700 yuan/ton (-200); PK510 closed at 8,016 yuan/ton (-0.47%) [35] - **Spot Market Focus**: In some peanut - producing areas in Henan, the trading improved, and most areas' prices were stable or slightly stronger. New peanuts are expected to be listed around September 20 [36] - **Trend Intensity**: Peanut trend intensity is 0 [37]

Report Industry Investment Rating No information provided in the report. Core Viewpoints - The report provides daily research and analysis on various commodities in the black series, including iron ore, rebar, hot-rolled coil, ferrosilicon, silicomanganese, coke, coking coal, and logs. The overall view is that most commodities are expected to experience wide - range fluctuations, and logs are expected to fluctuate repeatedly [2]. Summary by Commodity Iron Ore - **Market Outlook**: Due to the repeated macro - expectations, it will experience wide - range fluctuations. The trend strength is 0, indicating a neutral view [2][4]. - **Fundamentals**: The closing price of the I2601 futures contract was 790.5 yuan/ton, up 15 yuan/ton with a 1.93% increase. The position increased by 17,754 hands. Spot prices of imported and domestic ores remained unchanged. Some basis and spread values changed, such as the basis (I2601 to Super Special) decreasing by 15 yuan/ton [4]. - **News**: On August 27, the Shanghai Municipal People's Government Office issued an implementation opinion on accelerating the renovation of urban villages in the city [4]. Rebar and Hot - Rolled Coil - **Market Outlook**: Both are expected to experience wide - range fluctuations. The trend strength for both is 0, showing a neutral view [2][6][7]. - **Fundamentals**: For rebar (RB2510), the closing price was 3,129 yuan/ton, up 17 yuan/ton with a 0.55% increase. For hot - rolled coil (HC2510), the closing price was 3,385 yuan/ton, up 28 yuan/ton with a 0.83% increase. There were changes in trading volume, position, and spot prices in different regions [7]. - **News**: On August 28, steel union weekly data showed changes in production, inventory, and apparent demand. In mid - August 2025, key steel enterprises' production and inventory data also had corresponding changes [8][9]. Ferrosilicon and Silicomanganese - **Market Outlook**: Affected by market information disturbances, they will experience wide - range fluctuations within the day. The trend strength for both is 0, indicating a neutral view [2][10]. - **Fundamentals**: Futures prices of different contracts changed slightly. Spot prices of ferrosilicon in Inner Mongolia remained stable, while the price of silicomanganese in Inner Mongolia decreased by 30 yuan/ton. Various spreads also had corresponding changes [10]. - **News**: Multiple price quotes from the ferroalloy industry were released, and Ningbo Iron and Steel set a bid price for silicomanganese [11][13]. Coke and Coking Coal - **Market Outlook**: Both are expected to experience wide - range fluctuations. The trend strength for both is 0, showing a neutral view [2][14]. - **Fundamentals**: The closing price of the JM2601 coking coal futures contract was 1,175 yuan/ton, up 21 yuan/ton with a 1.8% increase. The closing price of the J2601 coke futures contract was 1,672.5 yuan/ton, up 3 yuan/ton with a 0.2% increase. Spot prices of some varieties remained unchanged, and basis and spread values changed [14]. - **News**: On August 27, the Shanghai Municipal People's Government Office issued an implementation opinion on accelerating the renovation of urban villages in the city [14]. Logs - **Market Outlook**: It will fluctuate repeatedly. The trend strength is 0, indicating a neutral view [2][16]. - **Fundamentals**: Different contract prices, trading volumes, and positions on the log futures market had various changes. Spot prices of most log varieties remained stable [17]. - **News**: On August 27, the Shanghai Municipal People's Government Office issued an implementation opinion on accelerating the renovation of urban villages in the city [19].

1. Report Industry Investment Rating - No information provided in the report. 2. Core Viewpoints of the Report - The recent A - share market in China has shown good performance. From a capital perspective, there are several characteristics: the number of retail investor accounts has increased moderately, and there is still a large potential for market entry based on excess savings; new fund issuance, especially for actively managed funds, remains stable compared to historical bull markets, while ETF funds have seen some growth with a preference for theme - style rather than broad - based funds; long - term funds have a continuous increasing trend in stock market allocation under policy encouragement and a low - interest - rate environment; leveraged funds, represented by margin trading, have a more significant marginal increase; foreign capital inflows have accelerated in the past two months, and trading has become more active [2]. 3. Summary by Relevant Catalogs 3.1 A - share Performance Review: Growth Excess Returns are Obvious - Since August, major A - share market indices have performed strongly. As of August 27, the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index have risen by 14.67%, 20.7%, and 32% respectively this year. The trading volume of the Shanghai and Shenzhen stock markets has frequently exceeded 2 trillion yuan, and the margin trading balance has remained at a historical high. In terms of sectors, the growth style has performed better, with the Beixin 50 Index rising by 53.4% this year; the CSI 500 Index and CSI 1000 Index in stock index futures have risen by 21.63% and 25.49% respectively this year [6]. 3.2 Market Trading and Turnover: Activity Continues to Increase - On August 25 and 27, 2025, the A - share trading volume exceeded 3 trillion yuan, the second - highest in history. The highest record was on October 8, 2024, when the trading volume reached 3.45 trillion yuan. The current A - share turnover rate is relatively high. Historically, there is a certain correlation between the phased high of the turnover rate and the phased peak of the market, but it is not strongly correlated with the trend peak [8]. 3.3 Capital Flow Observations of Various Types of Investors 3.3.1 Individual Investors are Still Stable - Due to the suspension of the release of the number of new investors in the Shanghai and Shenzhen stock markets since August 2023, the A - share new account opening data of the Shanghai Stock Exchange is used as a measure. In July 2025, the number of new A - share accounts opened on the Shanghai Stock Exchange was 1.9636 million, a year - on - year increase of 70.5%. However, compared with 6.85 million new accounts opened in October 2024, it is only about one - third. Currently, there is no abnormal increase in the number of new accounts. In addition, in small bull markets, retail investors' entry into the market does not necessarily strengthen synchronously with the market. As of July this year, there is about 40 trillion yuan of excess deposits, and in July, the "household deposits" decreased by 1.11 trillion yuan, while the new non - bank deposits reached 2.14 trillion yuan, indicating a certain degree of deposit relocation. With the decline in interest rates, some excess savings may be redirected to other wealth management products after maturity, and the recent A - share rally also has an attractive effect on off - market funds [13][18]. 3.3.2 Leveraged Funds Entered the Market Earlier - As of August 25, 2025, the A - share margin trading balance was about 2.17 trillion yuan, reaching a new high since June 2015, close to the historical peak. However, the proportion of margin trading volume in A - shares is at 12%, within the normal range and far lower than the peak of 35% in 2015, indicating relatively rational use of leverage and controllable overall risks [20]. 3.3.3 Newly Issued Funds Perform Steadily - As of August 28, the number of new stock - type funds has increased by 505 compared to the end of last year, and the number of new partial - stock hybrid funds has increased by 114. Overall, compared with the issuance peak from 2020 - 2021, it remains stable. For ETF products, as of August 28, the number of new stock - type ETFs has increased by 179 to 1015 this year, with a total scale of 3.4 trillion yuan, an increase of 510 billion yuan from the beginning of the year. In terms of capital flow, due to the previous market concentration in some growth industries, there has been a net outflow of 217.6 billion yuan from broad - based index ETFs this year, and a net inflow of 87.1 billion yuan into theme ETFs and 8.9 billion yuan into style ETFs [25]. 3.3.4 Long - term Funds Increase Allocations - Since September 24 last year, policies have provided liquidity to the market and promoted the entry of long - term funds. For example, six ministries and commissions jointly issued an implementation plan to promote the entry of five major types of funds into the market, and the cumulative pilot scale of insurance funds for long - term investment has reached 222 billion yuan. In addition to policy promotion, the A - share dividend strategy is also more attractive to long - term funds due to the low - interest - rate environment. In the first half of this year, the dividend yield of the Wind All - A Index exceeded 2.2%. Data shows that in the first half of the year, 64.06 billion yuan of insurance funds entered the market, and since the beginning of this year, long - term funds such as social security, insurance, and annuities have had a net purchase of more than 200 billion yuan of A - shares, and the market value of long - term funds holding Shenzhen stocks has increased by 33% compared to September last year [27][31]. 3.3.5 Foreign Capital Inflows are on the Rise - From the monthly trading volume data of northbound trading, there has been a significant rebound in the past two months. The trading volume of the Shanghai - Hong Kong and Shenzhen - Hong Kong Stock Connect in June was 2.97 trillion yuan, rising to 4.45 trillion yuan in July and further increasing to 5.4 trillion yuan as of August. As of the first half of this year, the amount of RMB - denominated stock assets held by overseas institutions and individuals was 3.07 trillion yuan, ending the downward trend since September last year. Recently, foreign capital inflows through various funds have accelerated, and the trading volume of the iShares FTSE China A50 ETF has also slightly rebounded [33][36].

标:安安期货客户中的专业投资者，请勿闻读、订阅读提任何相关信息。本内容不拘成具体业务的推介，亦不应放视为任何投资、法律、会计或税务建议，且本公司不会跟换人以到 体内容而规具为客户。本内容的信息来源于公开资料，本公司对这些信息的准朝性、完整性及未来变更的可能往不作任何保证。请您根据自身的风险承受微力作出投资决定并自主承担 投资风险、不应凭借本内容进行具体操作、本公司不对目使用本内容而造成的损失承担任何责任、除非劳有说职。本公司拥有本内容的组织和/流英地相关知识产权。 法坚本公司事先 书面许可。任何单位或个人不得以任何方式复制、转载、引用、刊登、发表、发行、修改、翻译此报告的全部或部分内容。 | 有色及贵金属日度数据简报 | 2025/8/28 | 李先飞 | 莫骁雄 | 王荣 | Z0012691 | Z0019413 | Z0002529 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 国泰君安期货研究所有 | jixian ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report innovatively proposes a dual - channel deep - learning model (LSTM and GRU) that integrates daily - frequency and minute - frequency data, which can effectively capture market information on different time scales, significantly improve the prediction accuracy and stability of the strategy outside the sample (especially during market downturns), and provide a new idea with strong generalization ability for reconstructing the quantitative timing system of the bond market [2]. - The dual - channel model shows excellent generalization ability and robustness in out - of - sample tests, and can maintain a high winning rate in bear markets, effectively making up for the shortcoming of traditional factors failing in market downturns [3]. - In the multi - factor timing framework, the weight of deep - learning factors should be controlled at a relatively low proportion, and machine - learning factors should play a supplementary role to achieve the unity of interpretability and performance improvement [43][44]. 3. Summary by Relevant Catalogs 3.1 Deep - Learning Model Introduction - Traditional quantitative factors in the bond market have declined in performance in recent years, and there is a need to reconstruct and re - mine bond - market quantitative factors. Deep - learning methods can be used to find complex relationships in data, and RNN, LSTM, and GRU are considered suitable for the timing task of Treasury bond futures [7][8]. - RNN can process time - series data but has the problem of gradient disappearance when dealing with long time - series [9]. - LSTM solves the gradient - disappearance problem through a cell state and three gating units, enabling it to learn long - range dependencies in sequences [15]. - GRU simplifies the structure of LSTM, reduces the number of learnable parameters, and has high parameter efficiency and fast training speed [19]. - A dual - channel model is designed to process daily - frequency and minute - frequency data simultaneously to extract features on different time scales and predict the daily - frequency returns of Treasury bond futures, which can reduce the over - fitting risk [22]. 3.2 Treasury Bond Futures Timing Test 3.2.1 Back - testing Settings - The target variable is the open - to - open return of 10 - year Treasury bond futures, and the back - testing time interval is from January 2016 to August 2025, with daily rebalancing, 100% margin, 1 - time leverage, and a bilateral handling fee of 0.01% [25][26][27]. 3.2.2 Daily - frequency Channel Model - The single - daily - frequency channel model based on daily - frequency features performs well within the sample but poorly outside the sample, with obvious over - fitting [33]. 3.2.3 Dual - channel Model - The dual - channel model fuses multi - frequency time - series information. The addition of minute - frequency information significantly improves the prediction effect of the model outside the sample, enhances the generalization ability and stability, and maintains a relatively high winning rate in both long and short positions [40][41][42]. 3.3 Deep - Learning Allocation in the Multi - factor Framework - Deep - learning factors in the multi - factor timing framework have high performance but also have over - fitting risks and lack of interpretability. The weight of deep - learning factors should be controlled at a relatively low proportion, and machine - learning factors should play a supplementary role [43][44]. 3.4 Conclusion - The report explores the application of deep - learning models in Treasury bond futures quantitative timing and proposes a dual - channel deep - learning framework based on multi - frequency data fusion, which can effectively improve the performance of multi - factor strategies [45].

2025 年 8 月 28 日 股指期货将震荡整理 黄金、白银、豆粕期货将偏强震荡 多 晶硅、碳酸锂、焦煤期货将偏弱宽幅震荡 螺纹钢、玻 璃、纯碱、PTA、PVC 期货将偏弱震荡 陶金峰 期货投资咨询从业资格号：Z0000372 邮箱：taojinfeng@gtht.com 【正文】 【声明】 本报告的观点和信息仅供风险承受能力合适的投资者参考。本报告难以设置访问权限，若给您造成不 便，敬请谅解。若您并非风险承受能力合适的投资者，请勿阅读、订阅或接收任何相关信息。本报告不构 成具体业务或产品的推介，亦不应被视为相应金融衍生品的投资建议。请您根据自身的风险承受能力自行 作出投资决定并自主承担投资风险，不应凭借本内容进行具体操作。 【期货行情前瞻要点】 通过宏观基本面分析和黄金分割线、水平线、日均线等技术面分析，预期今日期货主力合约行情走势大概率如 下： 股指期货将震荡整理：IF2509 阻力位 4404 和 4449 点，支撑位 4360 和 4330 点；IH2509 阻力位 2930 和 2951 点，支撑位 2903 和 2880 点；IC2509 阻力位 6900 和 6966 点，支撑位 6810 和 ...

| | | | T | T-1 | T-5 | T-22 | T-66 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | 沪铝主力合约收盘价 | 20810 | ઠેર | 275 | -30 | 802 | | | | 沪铝主力合约夜盘收盘价 | 20680 | l | l | l | l | | | | LME铝3M收盘价 | 2604 | -35 | 27 | -37 | 111 | | | | 沪铝主力合约成交量 | 212688 | 109634 | 84520 | -7966 | 71872 | | | | 沪铝主力合约持仓量 | 269866 | 18457 | 41838 | -47041 | 109417 | | | 电解铝 | LME铝3M成交量 | 18591 | -277 | 3335 | -647 | 7519 | | | | LME注销仓单占比 | 2. 60% | -0. 04% | -0. 33% | 0. 86% | -34. 82% | | | | LME 铝cash-3M价差 | 5. 15 | 3.08 ...