金工策略周报-20251019

Report Overview - The report is a weekly quantitative strategy report on stock index futures, Treasury bond futures, and commodity CTA strategies, covering market reviews, strategy performance tracking, and future strategy recommendations [4][56][71] 1. Stock Index Futures 1.1 Market Review - The market declined significantly last week. Electronics and power equipment contributed to the main decline in each index, while banks contributed to the main increase. The trading volume of each contract increased month - on - month, and the basis of each variety weakened significantly [4] 1.2 Basis Strategy - The basis weakened due to market sentiment. IH remained at a premium, IF at a shallow discount, and IC and IM at a deep discount. The current hedging demand in stock index futures is still mainly short - side. It is expected that the deep discount pattern of IC and IM will continue. It is recommended to pay attention to the opportunity to build a long - short spread arbitrage position when the discount narrows driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4] 1.3 Arbitrage Strategy - Inter - period Arbitrage: Last week, the performance of each strategy was differentiated. The annualized basis rate factor lost 0.6%, the long - short spread strategy gained 0.4%, and the momentum factor gained 0.8% (6 - times leverage). The annualized basis rate factor turned to a long - short spread signal [5] - Inter - variety Arbitrage: The market style shifted to large - cap stocks. The net value of the inter - variety time - series synthetic strategy lost 0.6% last week. The latest signal of the inter - variety strategy recommends holding an empty position in IC/IF and a 50% long - IM and short - IC position [5] 1.4 Timing Strategy - The daily timing strategy was generally profitable last week. The Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 gained 2.2%, lost 1.0%, gained 0.4%, and gained 2.0% respectively. The latest signal of the timing model is bullish on each index [6] 2. Treasury Bond Futures 2.1 This Week's Strategy Focus - Basis and Inter - period: The IRR of Treasury bond futures declined this week, and the inter - period spread fluctuated strongly. Since the continuous decline of IRR has realized the long - short spread profit to a certain extent, the subsequent long - short spread space is relatively limited, and it is expected to maintain a volatile operation [56] - Interest Rate Timing and Hedging Signal: The interest rate timing signal predicts a decline in interest rates, with strong bearish signals from the macro, production, inventory, and price factors. It is recommended to choose high - duration varieties for hedging [56] - Futures Timing Strategy: The multi - factor timing strategy signal is neutral. The main bullish factors are the basis factor and the high - frequency factor, while the main bearish factors are the spread factor and the volume - price factor [56] - Futures Inter - variety Arbitrage Strategy: The latest signal of the Treasury bond futures inter - variety arbitrage strategy TS - T is neutral, and the T - TL signal is also neutral [56] 3. Commodity CTA 3.1 Commodity Factor Performance - Most commodity varieties in the market declined last week, with only a few varieties such as gold, silver, and polysilicon rising. Among the commodity factors, the volume - price trend factors and value factors performed prominently, while the spot - futures basis factors and warehouse receipt factors declined by more than 0.5%. The overall commodity trend may still be highly volatile due to external macro - factor disturbances. Compared with short - cycle strategies, medium - and long - cycle trend - following CTA strategies may face certain risks [71] 3.2 Tracking Strategy Performance - Different strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.58, and a maximum drawdown of - 8.81% [71]