金工策略周报-20251221

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The market fluctuated last week, with the market style favoring large - cap stocks and the Shanghai Composite 50 Index rising. The financial sector contributed to the main gains of the Shanghai Composite 50 and CSI 300, while electronics and power equipment contributed to the main losses of the CSI 500 and CSI 1000 [3]. - The trading volume of each futures variety increased month - on - month, and the basis of IF, IC, and IM strengthened. The hedging demand in the stock index futures market is still mainly short - side. 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 arbitrage. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - The performance of commodity factors was generally poor last week, with only volatility - related factors rising significantly. The term - structure factors fell by more than 1%. Although short - term market fluctuations may continue, the long - term performance of commodity factors is still optimistic [62]. 3. Summary by Directory 3.1 Stock Index Futures 3.1.1 Market Review - The market fluctuated last week, with the market style favoring large - cap stocks. The Shanghai Composite 50 Index rose. The financial sector contributed to the main gains of the Shanghai Composite 50 and CSI 300, while electronics and power equipment contributed to the main losses of the CSI 500 and CSI 1000 [3]. - The trading volume of each variety increased month - on - month, and the basis of IF, IC, and IM strengthened. IH was at a premium, IF maintained a shallow discount, and the discounts of IC and IM converged [4]. 3.1.2 Basis Strategy - It is expected that the deep discount 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 short on the far - term contract [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the basis converged last week, showing a reverse arbitrage market. The annualized basis rate factor, positive arbitrage factor, and momentum factor had a profit of 0.6%, a loss of 0.8%, and a loss of 0.8% respectively (6 - times leverage). The annualized basis rate factor mainly gave reverse arbitrage signals [5]. - The net value of the cross - variety arbitrage time - series synthetic strategy had a small loss last week. The latest cross - variety signal recommends a 50% position to go long on IC and short on IM, and keep IF/IC positions empty [6]. 3.1.4 Timing Strategy Tracking - The net value of the timing strategy was differentiated last week. The Shanghai Composite 50 and CSI 300 had losses, while the CSI 500 and CSI 1000 had profits. The Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 had losses of 0.9%, 1.2%, and profits of 0.2%, 1.0% respectively last week. The latest timing signal is bearish on the Shanghai Composite 50 and CSI 1000 [7]. 3.2 Treasury Bond Futures 3.2.1 Market Review - Last week, the four treasury bond futures varieties all rose first and then fell. The 30 - year main contract was reported at 112.47 yuan, the 10 - year main contract at 107.985 yuan, the 5 - year main contract at 105.82 yuan, and the 2 - year main contract at 102.464 yuan. The basis of treasury bond futures decreased this week, the IRR continued to rise, and the inter - period spread fluctuated strongly [45]. 3.2.2 Timing Strategy - For the 10 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are the basis factor, risk assets, and member positions, with Sharpe ratios of 1.68, 1.93, and 0.59 respectively in 2025 [45][55]. - For the 5 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively in 2025 [45][56]. - For the 2 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are high - frequency capital flow, basis factor, intraday volume - price, and member positions, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively in 2025 [45][57]. 3.3 Commodity CTA 3.3.1 Factor Performance - Last week, the number of rising and falling domestic commodity varieties was relatively balanced. The composite index first fell and then rose but remained flat overall. There was obvious sector differentiation. Anti - involution varieties had significant gains, with lithium carbonate rising by more than 10% weekly, and coking coal and polysilicon also rising by more than 7%. The agricultural products, especially oilseeds and oils, had the largest declines. The overall profitability of commodity factors was poor. After a sharp rise the week before last, they generally declined, and only volatility - related factors rose significantly. The term - structure factors fell by more than 1%, as the varieties with large recent increases still had a contango structure, resulting in heavy losses for short positions [62]. 3.3.2 Tracking Strategy Performance - CWFT strategy: Annualized return of 9.2%, Sharpe ratio of 1.57, Calmar ratio of 1.04, maximum drawdown of - 8.81%, recent one - week return of - 1.80%, and year - to - date return of 3.74% [63]. - C_frontnext & Short Trend strategy: Annualized return of 11.4%, Sharpe ratio of 1.72, Calmar ratio of 1.70, maximum drawdown of - 6.72%, recent one - week return of - 1.41%, and year - to - date return of 3.86% [63]. - Long CWFT & Short CWFT strategy: Annualized return of 11.8%, Sharpe ratio of 1.32, Calmar ratio of 0.90, maximum drawdown of - 13.07%, recent one - week return of - 1.86%, and year - to - date return of - 1.19% [63]. - CS XGBoost strategy: Annualized return of 6.1%, Sharpe ratio of 1.01, Calmar ratio of 0.36, maximum drawdown of - 16.70%, recent one - week return of 0.10%, and year - to - date return of - 9.05% [63]. - RuleBased TS Sharp - combine strategy: Annualized return of 12.0%, Sharpe ratio of 1.56, Calmar ratio of 1.45, maximum drawdown of - 8.26%, recent one - week return of - 0.91%, and year - to - date return of 10.40% [63]. - RuleBased TS XGB - combine strategy: Annualized return of 12.0%, Sharpe ratio of 2.10, Calmar ratio of 2.68, maximum drawdown of - 4.49%, recent one - week return of - 0.58%, and year - to - date return of 8.70% [63]. - CS strategies, EW combine strategy: Annualized return of 12.5%, Sharpe ratio of 1.77, Calmar ratio of 1.69, maximum drawdown of - 7.38%, recent one - week return of - 1.34%, and year - to - date return of - 2.97% [63].