金工策略周报-20251207

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The stock index futures market rebounded significantly last week, with the non - ferrous metals sector contributing to the major gains of the SSE 50 and CSI 300, and the machinery and non - ferrous metals sectors contributing to the major gains of the CSI 500 and CSI 1000. The trading volume of IF, IC, and IM decreased month - on - month, while that of IH increased. The basis of each variety weakened, and it is recommended to pay attention to the trading opportunities of inter - period positive arbitrage and adopt the strategy of going long on the near - term contract and shorting the far - term contract. [3][4] - In the bond futures market, the IRR of bond futures decreased this week, the basis strengthened, and the inter - period spread fluctuated weakly. Attention can be paid to the positive arbitrage space caused by the slight expansion of the inter - period spread. The daily - frequency timing strategy signals for bond futures were mostly long last week. [40] - In the commodity market, the overall performance of the commodity market was mixed last week. The precious metals and non - ferrous metals sectors performed well, while the energy metals, caustic soda, alumina, and glass sectors declined the most. The term - structure factors of commodities rose slightly, but their profitability was significantly lower than that of the price - volume trend and value factors. [55] Summary by Relevant Catalogs Stock Index Futures Quantitative Strategy Stock Index Futures Market Review - The market showed a significant rebound last week. By industry, non - ferrous metals contributed the main gains to the SSE 50 and CSI 300, while machinery and non - ferrous metals contributed the main gains to the CSI 500 and CSI 1000. The trading volume of IF, IC, and IM decreased month - on - month, while that of IH increased. The basis of each variety weakened. [3][4] Stock Index Futures Basis Strategy - The basis of each variety weakened, with IH in contango, IF maintaining a shallow backwardation, and IC and IM maintaining a deep backwardation. The hedging demand in the stock index futures market is still mainly short - side. It is expected that the deep backwardation pattern of IC and IM will continue. It is recommended to pay attention to the trading opportunities of inter - period positive arbitrage, and the roll - over strategy recommends going long on the near - term contract and shorting the far - term contract. [4] Stock Index Futures Arbitrage Strategy Tracking - In terms of inter - period arbitrage strategies, the net value of each strategy was generally profitable last week. The annualized basis rate, positive arbitrage, and momentum factors had a loss of - 0.1%, a profit of 0.1%, and a profit of 0.3% (6 - times leverage) respectively. The annualized basis rate factor mainly gave positive arbitrage signals. [5] - The cross - variety arbitrage time - series synthetic strategy's net value lost last week as the market style shifted towards large - cap stocks. The latest cross - variety signal recommends a 50% position of going long on IF and shorting IC, IM, and keeping IC short - side positions empty. [6] Stock Index Futures Timing Strategy Tracking - Recently, the market has been in a sideways shock with low trading volume, and the overall position of the timing model is bearish. The daily - timing strategy for the SSE 50 and CSI 300 lost last week, while that for the CSI 500 and CSI 1000 made a profit, with losses of 0.4% and 0.8% for the SSE 50 and CSI 300 respectively, and profits of 0.3% and 0.8% for the CSI 500 and CSI 1000 respectively. The position of the timing model is low, and the latest signal is bearish on the CSI 300, with no signals for other indices. [7] Bond Futures Quantitative Strategy Basis and Inter - period Spread - The IRR of bond futures decreased this week, the basis strengthened, and the inter - period spread fluctuated weakly. Attention can be paid to the positive arbitrage space caused by the slight expansion of the inter - period spread. [40] Unilateral Strategy - The bond futures market was in a sideways trend last week. The daily - frequency timing strategy signals were mostly long, with the main long - looking factors including the basis, intraday price - volume, and high - frequency capital flow, and the main short - looking factors including the daily technical indicators and member positions. [41] Interest Rate Timing Signal - The interest rate timing signal predicts an upward movement in interest rates, with a relatively high proportion of long positions in the production factor and inventory factor. [42] Commodity CTA Factor and Tracking Strategy Performance Commodity Factor Performance - The overall performance of the commodity market was mixed last week. The precious metals and non - ferrous metals sectors performed well, with silver, copper, aluminum, and zinc leading the gains, all rising by more than 3%. The energy metals, caustic soda, alumina, and glass sectors declined the most. The term - structure factors of commodities rose slightly, but their profitability was significantly lower than that of the price - volume trend and value factors. It is expected that short - term market fluctuations will continue, but the long - term performance ability of factors remains unchanged. There may be a risk of factor return retracement in the near term, but the overall performance of commodity factors is still optimistic in the medium - to - long term. [55] Tracking Strategy Performance - The annualized returns, Sharpe ratios, Calmar ratios, and maximum drawdowns of different tracking strategies are as follows: CW FT strategy has an annualized return of 9.4%, a Sharpe ratio of 1.61, a Calmar of 1.06, and a maximum drawdown of - 8.81%; C_frontnext & Short Trend strategy has an annualized return of 11.6%, a Sharpe ratio of 1.76, a Calmar of 1.73, and a maximum drawdown of - 6.72%; Long CW FT & Short CW FT strategy has an annualized return of 12.2%, a Sharpe ratio of 1.38, a Calmar of 0.94, and a maximum drawdown of - 13.07%; CS XGBoost strategy has an annualized return of 6.3%, a Sharpe ratio of 1.04, a Calmar of 0.39, and a maximum drawdown of - 15.92%; RuleBased TS Sharp - combine strategy has an annualized return of 12.0%, a Sharpe ratio of 1.56, a Calmar of 1.45, and a maximum drawdown of - 8.26%; RuleBased TS XGB - combine strategy has an annualized return of 12.1%, a Sharpe ratio of 2.10, a Calmar of 2.69, and a maximum drawdown of - 4.49%; CS strategies, EW combine strategy has an annualized return of 12.8%, a Sharpe ratio of 1.82, a Calmar of 1.74, and a maximum drawdown of - 7.38%. 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