期指短周期小幅回升

Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending October 17, index futures showed differentiation. IH2510 rose by 0.30%, IF2510 fell by 1.64%, IC2510 dropped by 4.41%, and IM2510 declined by 3.85%. Trade issues made market sentiment cautious, and the trade war's uncertainty suppressed market risk appetite. There was also a demand for a post - overbought correction in the short - term technical aspect [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 11 points, and the market sentiment indicator 7 points [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, September's financial and inflation data had a certain boosting effect on IF and IM, indicating that China still faced credit contraction and deflation pressure and was far from full recovery, which required further policy support. In the short - term, the exchange rate was still in a low range, and the capital market remained relatively loose. The overall market risk appetite recovered compared to the beginning of the week, and the overall comprehensive signal was above neutral. For Treasury bond futures, although the capital market was loose, the market risk appetite limited the upward space, and the stock - bond seesaw effect was significant [1]. Summary by Directory Macroeconomic Fundamental High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rate, PTA operating rate, etc., showed different week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. - Inflation indicators including vegetable basket product wholesale price index, coking coal index, etc., also had various week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. - Liquidity indicators like DR007, DR001, etc., had their own week - on - week changes, and the index futures scored 9 points [4]. - Index valuation indicators such as PE, PS, etc., showed different trends, and the index futures scored 10 points [5]. - Market sentiment indicators for stocks (financing balance, margin trading balance, etc.) and bonds (government bond yield, etc.) had corresponding week - on - week changes. The index futures' market sentiment scored 9 points, and the Treasury bond futures' market sentiment scored 7 points [6][7]. Strategy Introduction - The variety pool includes stock index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [16]. Prediction Signals - As of last Friday, the short - term model, position volume indicator, long - term model, and comprehensive signals for different futures contracts (IF, IH, IC, IM, T, TF) were provided. The comprehensive signal strength is a weighted synthesis of three independent models [17]. Last Week's Situation - From October 13 to October 17, the trading signals of different futures contracts showed different states. For example, the IC main contract had a signal of 1 on October 17 [19]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The signals are divided into three types: 1, 0, - 1. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [20]. Market Quotes and Trading Signals - For TF and T main contracts from October 13 to October 17, the N - S model signals and trend regression model signals were provided [23].