商品期货量化周报：诚信融合创新卓越-20250727

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The Wind Commodity Index rose 1.37%. Different sub - indexes showed various trends, with the Wind Coal - Coking - Steel - Ore Index surging 11.3% and the Wind Non - metallic Building Materials Index soaring 19.41%, while the Wind Agricultural and Sideline Products Index dropped 3.22% [4]. - Most commodity varieties rose this week. For example, the coking coal index soared 36.04%, and the glass index jumped 25.51%, while the container shipping European line index tumbled 6.98% [7]. - From the perspective of positions, the total commodity positions decreased slightly this week. Some varieties like stainless steel, Shanghai tin, and live pigs had a relatively high increase in positions. Currently, the position percentiles of coking coal, hot - rolled coil, and soybean meal are above 90% [8]. - In terms of volatility, the volatility percentiles of glass and industrial silicon are above 90%, while those of many other varieties are below 10% [8]. - Regarding the basis, some futures like red dates and polyethylene have a large discount, while glass and manganese silicon have a large premium [8]. - The market is in the stage of incremental capital entry. Capital inflows are prominent in coking coal, lithium carbonate, etc., indicating increased short - term divergence. Capital outflows are significant in iron ore, soda ash, etc., suggesting reduced short - term divergence [9]. - The net positions of some varieties are consistently long, indicating a long - term bullish view; some are consistently short, indicating a long - term bearish view. Some varieties' net position changes turn long or short, reflecting short - term views [10]. 3. Summary According to Relevant Catalogs 3.1 Plate and Variety Price Changes - Plate Changes: The Wind Commodity Index rose 1.37%, the Wind Precious Metals Index rose 0.76%, the Wind Non - ferrous Metals Index fell 1.77%, the Wind Coal - Coking - Steel - Ore Index soared 11.3%, the Wind Energy Index fell 0.3%, the Wind Chemical Index soared 7.14%, the Wind Non - metallic Building Materials Index soared 19.41%, the Wind Oilseeds and Oils Index fell 1.51%, the Wind Soft Commodities Index rose 0.7%, the Wind Grains Index fell 0.55%, and the Wind Agricultural and Sideline Products Index fell 3.22% [4]. - Variety Changes: Most varieties rose. Coking coal, glass, soda ash, polysilicon, and coke indexes had significant increases, while the container shipping European line index, rapeseed meal index, etc. declined [7]. 3.2 Strategy Signals - Different varieties have different operation suggestions based on factors such as volatility percentile, position percentile, and technical analysis. For example, for precious metals, Shanghai silver suggests holding long positions, and Shanghai gold suggests waiting and seeing. Many varieties in different sectors like non - ferrous metals, black metals, energy, chemicals, and agricultural products also have corresponding long - holding, short - holding, or waiting - and - seeing suggestions [8]. 3.3 Capital Tracking - Precipitated Capital: Varieties with more precipitated capital include Shanghai gold, Shanghai silver, Shanghai copper, soybean meal, and iron ore, indicating greater long - term market interest. Those with less precipitated capital include early indica rice, japonica rice, etc., indicating lower long - term market interest [9]. - Capital Flow: Capital inflows are prominent in coking coal, lithium carbonate, Shanghai gold, etc., suggesting increased short - term divergence. Capital outflows are significant in iron ore, soda ash, etc., suggesting reduced short - term divergence [9]. 3.4 Member Positions - Net Positions: Some varieties have consistent long - term net long positions (e.g., Shanghai silver, Shanghai gold), and some have consistent long - term net short positions (e.g., glass, soda ash). - Net Position Changes: Some varieties' net position changes turn long (e.g., Shanghai gold, Shanghai aluminum), and some turn short (e.g., iron ore, coke), reflecting short - term market views [10].