金融工程周报：期指长周期继续上升-20260119

Report Investment Ratings - Index futures: ☆☆☆ - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week of January 16th, index futures showed divergence, with IH2601 down 1.58%, IF2601 down 0.43%, IC2601 up 2.12%, and IM2601 up 1.35%. Investor sentiment gradually became rational, and the medium - term trend degree did not decline significantly under liquidity support. - The high - frequency macro - fundamental factor scores for index futures were 8 for inflation, 8 for liquidity, 12 for valuation, and 9 for market sentiment. For treasury bonds, the scores were 7 for inflation, 9 for liquidity, and 5 for market sentiment. - The annualized basis rates of IF, IC, IM, and IH current - quarter contracts were 0.92%, - 1.05%, - 1.75%, and - 3.84% respectively. IC and IM remained at high historical basis points. - The net value of the financial derivatives quantitative CTA strategy rose 0.15% last week, with the profit coming from going long and closing TF on Tuesday. In the long - term, the social financing and credit data generally exceeded expectations, and the above - seasonal increase in M2 had a greater impact on IC and IM. In the short - term, high - frequency real estate and consumption were still weak, the RMB remained strong against the US dollar, and the short - term divergence narrowed recently. - The risk preference remained high but declined marginally compared to the previous week. The overall comprehensive signal was still above the neutral range. For treasury bonds, the capital market remained loose at the beginning of the year, and the short - term rebounded. The stock - bond seesaw effect was still significant, and the bond market was insensitive to fundamental feedback. The comprehensive signal of treasury bonds was neutrally volatile, with TF relatively stronger. [1] Summary by Directory 1. Macro - Fundamental Medium - High - Frequency Factor Scores - Among the economic kinetic factors, the blast furnace operating rate (163 companies: national) and the PTA operating rate (domestic) both increased by 4.88%, while the refinery operating rate in Shandong (atmospheric and vacuum distillation unit) decreased by 2.38%. The operating rates of automobile tires (all - steel tires) and polyester filament downstream looms (Jiangsu and Zhejiang regions) decreased by 9.44% and 9.11% respectively. - The scores for index futures and treasury bonds were both 7 (on a scale of 0 - 10) [2]. 2. Inflation Indicators - The vegetable basket product wholesale price 200 - index rose 0.77%, while the coking coal in the CITIC industry index fell 3.25%. The market price of 1 electrolytic copper decreased by 0.58%, and the South China styrene index increased by 2.12%. - The scores for index futures and treasury bonds were 8 and 7 respectively (on a scale of 0 - 10) [3]. 3. Liquidity - DR007, DR001, GC001 (weighted average), GC007 (weighted average), SHIBOR (overnight), and SHIBOR (1 - week) all showed different degrees of decline, while the US dollar index rose 0.48%. The inter - bank certificate of deposit yield (AAA: 1 - month) remained unchanged. - The score for index futures was 8 (on a scale of 0 - 10) [4]. 4. Index Valuation - The price - to - earnings ratio (PE, TTM), price - to - sales ratio (PS, TTM), and price - to - cash - flow ratio (PCF, operating cash flow TTM) all declined, while the dividend yield (last 12 months) increased by 2.67%. - The score for index futures was 11 (on a scale of 0 - 10) [5]. 5. Market Sentiment Index Futures - The margin trading balance increased by 4.00%, while the short - selling balance decreased by 3.24%. The net purchase amount of northbound funds remained unchanged at - 67.75, and the Shanghai Stock Exchange A - share trading volume increased by 3.21%. The score for treasury bonds was 9 (on a scale of 0 - 10) [6]. Treasury Bonds - The 10 - year CDB bond yield decreased by 0.65%, the US S&P 500 volatility index increased by 9.45%, and the Shanghai Treasury Bond Index trading volume decreased by 25.90%. The score for treasury bonds was 5 (on a scale of 0 - 10) [7]. 6. Strategy Introduction (Financial Futures Multi - Strategy) - The product pool includes index futures and treasury bond futures. The goal is to use a multi - strategy model to select and allocate contracts in the financial futures market for stable net - value growth. The short - term model focuses on market style, external factors, and capital - market high - frequency data, while the long - term model focuses on market expectations and macro - economic low - frequency data. The position volume is synthesized based on institutional long - and short - position volumes [17]. 7. Forecast Signals and Last Week's Situation Forecast Signals - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.51, 0.52, 0.49, and 0.51 respectively. There were no clear long or short positions based on the signal - selection rules [18]. Last Week's Situation - From January 12th to 16th, 2026, there were different signal changes for TF and T, with TF having a signal of 1 on January 13th and T having a signal of 1 on January 16th [20]. 8. Treasury Bond Futures Cross - Variety Arbitrage Strategy Strategy Introduction - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. The signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change or oscillation), and '-1' (large spread may increase). A 1:1.8 ratio of 10 - 5Y spread is adjusted by duration - neutral matching [21]. Market Quotes and Trading Signals - From January 12th to 16th, 2026, the N - S model and trend regression model for TF and T main contracts had different signal combinations, but there was no clear trading signal resonance [24].