金工策略周报-20251214

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - The stock index futures market fluctuated last week, with different sectors contributing to the gains of various indices. The basis of each variety showed different trends, and it is recommended to pay attention to the trading opportunities of inter - period positive spreads. The performance of various quantitative strategies in stock index futures, treasury bonds, and commodity CTA factors was also analyzed, and the performance of tracking strategies was evaluated [3][4]. Summary by Relevant Catalogs Stock Index Futures Quantitative Strategy Market Review - The market fluctuated last week. Non - bank and pharmaceutical sectors contributed to the rise of the Shanghai 50 Index, communication and electronics sectors contributed to the rise of the CSI 300 Index, and the electronics sector contributed to the rise of the CSI 500 and CSI 1000 Indices. The trading volume of each variety increased month - on - month, the basis of IH and IF weakened, and the basis of IC and IM strengthened [3][4]. Basis Strategy Recommendation - The basis of each variety fluctuated. IH turned to a discount, IF maintained a shallow discount, and IC and IM maintained a deep discount. It is expected that the deep discount pattern of IC and IM will continue, and it is recommended to pay attention to the trading opportunities of inter - period positive spreads. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the net value of each strategy fluctuated last week. The annualized basis rate factor lost 0.4%, the positive spread factor gained 0.1%, and the momentum factor gained 0.0% (6 - times leverage). The annualized basis rate factor mainly issued positive spread signals. The net value of the cross - variety arbitrage time - series synthetic strategy remained flat last week, and the latest cross - variety signal recommends a 50% position to go long on IC and short on IM, and keep IF/IC positions empty [5][6]. Timing Strategy Tracking - The timing strategy retracted last week. The daily timing strategy for the Shanghai 50 Index made a profit, while the other indices suffered losses. The Shanghai 50, CSI 300, CSI 500, and CSI 1000 Indices had a profit of 0.5%, a loss of 0.2%, a loss of 0.3%, and a loss of 1.3% respectively last week. The latest timing signal is bearish on the Shanghai 50 and CSI 300 Indices and bullish on the CSI 1000 Index [7]. Treasury Bond Futures Quantitative Strategy Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. In terms of the basis of treasury bond futures, the basis declined this week, the IRR continued to rise, and the inter - period spread fluctuated strongly [42]. Timing Strategy - For the 10 - year treasury bond, in terms of this year's performance, ranked by the Sharpe ratio, the basis factor, risk assets, and member positions had Sharpe ratios of 1.68, 1.93, and 0.59 respectively in 2025. For the 5 - year treasury bond, the high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor had Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively in 2025. For the 2 - year treasury bond, the high - frequency capital flow, basis factor, intraday volume - price, and member positions had Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively in 2025 [42]. Commodity CTA Factor and Tracking Strategy Performance Factor Performance - Last week, the domestic commodity market was generally weak. Only a few varieties rose, including precious metals, lithium carbonate, polysilicon, and copper. Silver rose by more than 10% last week, while most other industrial products fell, with coking coal falling by more than 10%. For commodity factors, most commodity factors rose last week. The value - based and volume - price trend - based factors rose by nearly 2%, and the term structure - based factors rose by more than 1%. Among the basis - based factors, the basis momentum performed well, while the warehouse receipt - based factors had no returns. In general, it is believed that the recent market volatility may continue, but short - term fluctuations do not change the long - term performance ability of factors. There may be a risk of factor return retraction in the near term, but the overall performance of commodity factors is still optimistic in the medium and long term [59]. Tracking Strategy Performance - The CW FT strategy had an annualized return of 9.5%, a Sharpe ratio of 1.64, a Calmar ratio of 1.08, a maximum drawdown of - 8.81%, a return of 1.05% last week, and a return of 5.64% this year. The C_frontnext & Short Trend strategy had an annualized return of 11.7%, a Sharpe ratio of 1.78, a Calmar ratio of 1.74, a maximum drawdown of - 6.72%, a return of 0.55% last week, and a return of 5.34% this year. The Long CW FT & Short CW FT strategy had an annualized return of 12.2%, a Sharpe ratio of 1.37, a Calmar ratio of 0.93, a maximum drawdown of - 13.07%, a return of - 0.07% last week, and a return of 0.68% this year. The CS XGBoost strategy had an annualized return of 6.1%, a Sharpe ratio of 1.01, a Calmar ratio of 0.36, a maximum drawdown of - 16.70%, a return of - 0.94% last week, and a return of - 9.15% this year. The RuleBased TS Sharp - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 1.59, a Calmar ratio of 1.47, a maximum drawdown of - 8.26%, a return of 1.36% last week, and a return of 11.42% this year. The RuleBased TS XGB - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 2.12, a Calmar ratio of 2.71, a maximum drawdown of - 4.49%, a return of 0.82% last week, and a return of 9.33% this year. The CS strategies, EW combine strategy had an annualized return of 12.8%, a Sharpe ratio of 1.81, a Calmar ratio of 1.73, a maximum drawdown of - 7.38%, a return of 0.06% last week, and a return of - 1.64% this year [60].