金融工程周报：期指短周期持仓量维持高位-20260112

Report Industry Investment Rating - The investment rating for stock index futures is ★★★, and for treasury bond futures is ★★★ [1] Core View - As of the week ending January 9, all four major stock index futures rose, with IH2601 up 3.60%, IF2601 up 3.17%, IC2601 up 8.49%, and IM2601 up 7.66%. There is a certain pressure for market correction, but market sentiment may remain resilient. The financial derivatives quantitative CTA strategy's net value rose 0.35% last week. The short - cycle of treasury bonds rebounded at the beginning of the year, and the stock - bond seesaw effect was significant [1] Summary by Related Catalogs Macro - fundamental Medium - high - frequency Factor Scores - Among economic kinetic energy indicators, the weekly changes of blast furnace开工率,开工率 of PTA in China, etc. varied, with some rising and some falling. The stock index futures score was 7, and the treasury bond futures score was 8 [2] Inflation Indicators - Different inflation - related product prices showed various weekly changes. For instance, the vegetable basket product wholesale price 200 index fell 0.57%, while the CITIC coking coal industry index rose 3.26%. The stock index futures score was 8, and the treasury bond futures score was 7 [3] Liquidity - Liquidity - related indicators such as DR007, DR001, etc. had different weekly changes. The stock index futures score for liquidity was 9 [4] Index Valuation - Index valuation indicators like PE (TTM), PS (TTM) rose, while the dividend yield (last 12 months) fell. The stock index futures score was 11 [5] Market Sentiment: Stock Index - Stock - market sentiment indicators like margin trading balance, A - share trading volume on the Shanghai Stock Exchange showed different changes. The stock index futures - related market sentiment score was 9 [6] Market Sentiment: Bond - Bond - market sentiment indicators such as the yield of 10 - year government bonds, 500 volatility index had different weekly changes. The treasury bond futures score was 5 [7] Strategy Introduction (Financial Futures Allocation Strategy) - The strategy aims to achieve stable net - value growth by using a multi - strategy model to allocate contracts in the financial futures market. The short - cycle model focuses on high - frequency financial data, and the long - cycle model focuses on low - frequency macroeconomic data [15] Forecast Signals and Last Week's Situation - The comprehensive signals of different futures contracts were calculated by weighted synthesis of three independent models. Last week, the trading signals of different futures contracts on different dates mostly showed 0 [16][18] Treasury Bond Futures Cross - variety Arbitrage Strategy - The strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the Nelson - Siegel instantaneous forward - rate function. The actual operation uses a 1:1.8 ratio for 10 - 5Y spread adjustment [19] Market Quotes and Trading Signals - The trading signals of TF and T main contracts from January 5 to January 9, 2026, were mainly 0, with a single 1 for the N - S model signal on January 7 [22]