Report Information - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institute: Guotou Futures Research Institute, Financial Engineering Group [2] - Date: July 22, 2025 [2] Industry Investment Rating - Not provided in the report Core Viewpoints - This week, the proportion of long positions in commodities rebounded slightly, with the signal strength of the black and non - ferrous sectors rising, and local long signals appearing in the chemical and precious metals sectors. The cross - sectionally strong sectors are black and chemical, while the energy sector is weak. [3] - The comprehensive signal of the strategy is different for each commodity: methanol is neutral, float glass is long, iron ore is neutral, and Shanghai aluminum remains short. [5][8][11] Summary by Related Content Commodity Market Overall Situation - The proportion of long positions in commodities increased slightly this week, with the black and non - ferrous sectors seeing an increase in signal strength, and local long signals emerging in the chemical and precious metals sectors. The cross - sectionally strong sectors are black and chemical, and the weak one is the energy sector. [3] Factor Performance and Signal Analysis Methanol - Last week, the supply factor weakened by 0.12%, the demand factor decreased by 0.06%, the inventory factor increased by 0.12%, and the spread factor increased by 0.19%. This week, the comprehensive signal remains neutral. On the fundamental side, the supply is neutral, the demand is bearish, the inventory is neutral to bearish, and the spread is bullish. [4][5] Float Glass - Last week, the supply factor weakened by 0.07%, the demand factor decreased by 0.07%, the inventory factor increased by 1.21%, and the composite factor increased by 0.88%. This week, the comprehensive signal is bullish. The supply is neutral, the demand is neutral to bearish, the inventory is bullish, the spread is neutral to bearish, and the profit is neutral to bullish. [8] Iron Ore - Last week, the supply factor weakened by 0.29%, the inventory and spread factors remained unchanged, and the composite factor weakened by 0.06%. This week, the comprehensive signal turns neutral. The supply signal turns neutral, the demand signal turns bearish, the inventory remains neutral, and the spread signal turns bullish. [11] Shanghai Aluminum - Last week, the supply factor increased by 0.60%, the demand factor decreased by 0.41%, the inventory factor increased by 0.65%, the spread factor increased by 0.54%, and the composite factor increased by 0.37%. This week, the comprehensive signal remains bearish. The supply signal remains bearish, the demand signal remains bullish, the inventory turns neutral, and the spread signal remains bearish. [11] Sector - Specific Analysis - Non - ferrous sector: The cross - sectional momentum rebounded, the position increased, and the cross - sectional differentiation narrowed, but zinc and nickel were still relatively weak. [3] - Black sector: The overall position factor increased marginally, the term structure differentiation expanded, and iron ore was relatively strong in the cross - section. [3] - Energy and chemical sector: The cross - sectional momentum was differentiated, with ethylene glycol being relatively strong and energy varieties being relatively weak. [3] - Agricultural products: The position of oils and fats decreased slightly. [3] - Precious metals: The time - series momentum of gold stabilized, and the differentiation within the sector narrowed. [3]
商品量化CTA周度跟踪-20250722
Guo Tou Qi Huo·2025-07-22 12:49