Report Information - Title: Commodity Quantitative CTA Weekly Tracking [1] - Author: Research Institute of Guotou Futures, Financial Engineering Group - Date: November 11, 2025 Industry Investment Rating - Not provided Core View - This week, the proportion of long positions in commodities has rebounded. The factor strength of the black sector has declined, while those of the precious metal and non - ferrous sectors have increased. Currently, the non - ferrous and precious metal sectors are relatively strong in cross - section, and the black and energy sectors are relatively weak. [3] Summary by Commodity Sector Overall Commodity - The proportion of long positions in commodities has rebounded this week, with the black sector's factor strength decreasing and the precious metal and non - ferrous sectors' increasing. The non - ferrous and precious metal sectors are cross - sectionally strong, while the black and energy sectors are weak. [3] Precious Metals - The time - series momentum of gold has marginally rebounded, and the trading volume of silver has increased significantly. The cross - sectional divergence has narrowed. [3] Non - Ferrous Metals - The position factor of the non - ferrous sector has marginally rebounded, and the long - term momentum continues to rise. Lithium carbonate is strong and nickel is weak in cross - section. There is a divergence between long - and short - cycle momentum. [2][3] Black Metals - The positions of iron ore and rebar have decreased, reflecting poor market demand after the realization of positive news. Coking coal is relatively strong in cross - section. [3] Energy - The short - cycle momentum factor of the energy sector has declined, and the chemical industry sector is in the cross - sectionally short end. [3] Agricultural Products - The cross - sectional divergence of oil and meal has narrowed. The short - cycle momentum of soybean oil has marginally increased, and the momentum of soybean meal has remained unchanged. [3][9] Summary by Commodity Variety Methanol - Last week, the supply factor increased by 0.33%, and the synthetic factor strengthened by 0.21%. This week, the comprehensive signal is short. Fundamentally, the supply side is short, the demand side is long, the inventory side is short, and the spread side is neutral to short. [4] Float Glass - Last week, the inventory factor increased by 0.38%, the spread factor weakened by 0.19%, and the synthetic factor decreased by 0.14%. This week, the comprehensive signal is long. Fundamentally, the supply side is neutral, the demand side is neutral, the inventory side has turned neutral from strong short, the spread side is long, and the profit side is neutral to long. [7] Iron Ore - Last week, the supply factor decreased by 0.99%, and the comprehensive factor weakened by 0.2%. This week, the comprehensive signal has turned neutral. The supply side has turned from long to short, the demand side has turned to short feedback, the inventory side has turned to long, and the spread side has strengthened the long feedback. [7] Lead - Last week, the supply factor decreased by 0.07%, the demand factor weakened by 0.07%, the spread factor decreased by 0.06%, and the synthetic factor weakened by 0.05%. This week, the comprehensive signal remains short. The supply side's short feedback has weakened but remains short, the inventory side has turned to short, and the spread side remains short. [7]
商品量化CTA周度跟踪-20251111
Guo Tou Qi Huo·2025-11-11 11:15