期指短周期小幅承压

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending August 1st, index futures rose, with IH2508 changing -1.47%, IF2508 changing -1.96%, IC2508 changing -1.56%, and IM2508 changing -0.76%. The average daily trading volume of the entire market was 1.81 trillion yuan, a decrease of 39.1 billion yuan from the previous week, and market trading activity declined [1]. - In terms of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator scored 8 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 8 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.12% last week. Profits came from going long on IC on Monday, and losses came from IC positions on Wednesday. In the long - term, the PMI data in July was below expectations, putting pressure on index varieties other than IH. In the short - term, the exchange - rate pressure brought by the US dollar increased, and the overall market risk appetite declined slightly [1]. - For bond futures, compared with the beginning of the month, the capital situation rebounded slightly. With the recovery of market risk appetite, the stock - bond seesaw effect was obvious, and the position factor rebounded slightly [1]. Summary by Related Content 1. Macro - fundamental High - frequency Factor Scores - Economic Momentum: The blast furnace operating rate decreased by 0.97%, the PTA operating rate decreased by 0.97%, the Shandong refinery operating rate increased by 7.14%, the automobile tire operating rate decreased by 0.70%, and the polyester filament downstream loom operating rate decreased by 8.37%. The index futures scored 7 points, and the bond futures scored 0 points [2]. - Inflation Indicators: The vegetable basket product wholesale price index increased by 0.67%, the coking coal index decreased by 4.29%, etc. Both index futures and bond futures scored 7 points [3]. - Liquidity: DR007 decreased by 13.80%, DR001 decreased by 13.41%, etc. The index futures scored 8 points [4]. - Index Valuation: The price - earnings ratio (TTM) decreased by 2.13%, the price - sales ratio (TTM) decreased by 1.87%, etc. The index futures scored 10 points [5]. - Market Sentiment - Index Futures: The margin trading balance increased by 1.68%, the short - selling balance decreased by 0.07%, etc. The index futures scored 9 points [6]. - Market Sentiment - Bond Futures: The 10 - year CDB bond yield decreased by 3.30%, the VIX increased by 36.50%, etc. The bond futures scored 8 points [7]. 2. Strategy Introduction - Multi - Strategy Model for Financial Futures: The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital flow, while the long - term model focuses on market expectations and macro - economic data. The position is synthesized based on institutional long and short positions [17]. - Cross - variety Arbitrage Strategy for Treasury Bond Futures: It is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the Nelson - Siegel instantaneous forward - rate function, and signals are divided into three categories: '1', '0', and '- 1'. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. 3. Signal and Performance - Last Week's Prediction Signals: The short - term model, position indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF are provided. The comprehensive signal strength is weighted by three independent models, and trading rules are given [18]. - Last Week's Actual Situation: The position data from July 28th to August 1st for IF, IH, IC, IM, T, and TF are presented [20]. - Treasury Bond Futures Cross - variety Arbitrage Signals: The trading signals of the N - S model and the trend regression model for TF and T from July 28th to August 1st are given [24].