国债期货量化策略

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week, all bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts falling by 0.36%, 0.11%, 0.07%, and 0.03% respectively. The December manufacturing PMI exceeded market expectations, causing bond futures to decline. For commodity factors, overall returns were still positive last week, but due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities and adopt a balanced allocation approach to prevent risks [6][29]. 3. Summary by Related Catalogs 3.1 Treasury Bond Futures Market Review - Last week, all bond futures contracts closed down. The 30 - year main contract fell 0.36%, the 10 - year main contract fell 0.11%, the 5 - year main contract fell 0.07%, and the 2 - year main contract fell 0.03%. The basis of each variety was differentiated, and the basis of the CTD bonds of the 10 - year and 30 - year bonds on the 31st was lower than the historical average of the same maturity. The December manufacturing PMI exceeded market expectations, with both supply and demand expanding simultaneously and new kinetic energy showing strong performance, leading to a decline in bond futures [6]. - In 2025, for the 10 - year treasury bond, the Sharpe ratios of the basis factor, risk assets, and member positions were 1.68, 1.93, and 0.59 respectively; for the 5 - year treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor were 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member positions were 2.45, 1.82, 1.59, and 0.82 respectively [6][21][22]. 3.2 Commodity CTA Factor and Tracking Strategy Performance 3.2.1 Commodity Factor Performance - In the last week of 2025, domestic commodities fluctuated greatly, with a relatively balanced number of rising and falling varieties. Gold, lithium carbonate, polysilicon, and tin fell by more than 3%, while silver had large fluctuations but was almost flat for the week. Nickel, glass, and methanol rose by more than 3%. The overall return of commodity factors was still positive, with term structure, volume - price trend, and long - term spot value factors showing profitability. The return of the position - trading volume ranking factor, which reflects market trading sentiment, decreased significantly last week, and the return of the volatility factor also decreased slightly. Due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, avoid actively increasing trading cycles and predicting directions, and adopt a balanced allocation approach to prevent risks [29][31][32]. 3.2.2 Tracking Strategy Performance - CWFT Strategy: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.05, maximum drawdown of - 8.81%, recent weekly return of 0.75%, and year - to - date return of 4.52%. Last week, it held 24 varieties with a net position of 22.1%, total position return of - 0.2%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 20.8%, and one variety needs to be rolled over, with a total turnover capital ratio of 18.7% [30][37]. - C_frontnext & Short Trend Strategy: Annualized return of 11.3%, Sharpe ratio of 1.72, Calmar of 1.69, maximum drawdown of - 6.72%, recent weekly return of 0.08%, and year - to - date return of 3.94%. Last week, it held 24 varieties with a net position of - 8.2%, total position return of - 0.2%, and a winning rate of 58.3%. This week, it holds 24 varieties with a net position of 9.9%, and one variety needs to be rolled over, with a total turnover capital ratio of 64.8% [30][39]. - Long CWFT & Short CWFT Strategy: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent weekly return of 1.94%, and year - to - date return of 0.73%. Last week, it held 24 varieties with a net position of 65.2%, total position return of 0.2%, and a winning rate of 50.0%. This week, it holds 24 varieties with a net position of 60.7%, and one variety needs to be rolled over, with a total turnover capital ratio of 25.4% [30][41]. - CS XGBoost Strategy: Annualized return of 6.0%, Sharpe ratio of 1.00, Calmar of 0.36, maximum drawdown of - 16.76%, recent weekly return of - 0.17%, and year - to - date return of - 9.21%. Last week, it held 24 varieties with a net position of 0.0%, total position return of - 0.1%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 0.0%, and one variety needs to be rolled over, with a total turnover capital ratio of 51.3% [30][43]. - RuleBased TS Sharp - combine Strategy: Annualized return of 11.9%, Sharpe ratio of 1.55, Calmar of 1.43, maximum drawdown of - 8.26%, recent weekly return of - 0.24%, and year - to - date return of 10.15%. Last week, it held 46 varieties with a net position of 5.0%, total position return of - 0.6%, and a winning rate of 37.0%. This week, it holds 46 varieties with a net position of 30.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 50.6% [30][44]. - RuleBased TS XGB - combine Strategy: Annualized return of 11.9%, Sharpe ratio of 2.07, Calmar of 2.64, maximum drawdown of - 4.49%, recent weekly return of 0.04%, and year - to - date return of 8.27%. Last week, it held 46 varieties with a net position of - 4.6%, total position return of - 0.1%, and a winning rate of 39.1%. This week, it holds 46 varieties with a net position of - 10.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 45.0% [30][46]. - CS strategies, EW combine Strategy: Annualized return of 12.6%, Sharpe ratio of 1.78, Calmar of 1.70, maximum drawdown of - 7.38%, recent weekly return of 0.88%, and year - to - date return of - 2.11% [30]. - Among the above six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.94%, and the CWFT strategy performed best since 2025 with a return of 4.52%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.78, a Calmar of 1.70, a maximum drawdown of - 7.38%, a recent weekly return of 0.88%, and a year - to - date return of - 2.11% [51].