商品量化CTA周度跟踪：农产品板块持仓量维持低位-20260121

Group 1: Report Overview - The report is a weekly tracking of commodity quantitative CTA by Guotou Futures Research Institute's Financial Engineering Group, dated January 20, 2026 [1][2] Group 2: Market Conditions - This week, the proportion of long positions in commodities declined, with the factor strength of the non - ferrous sector falling, and the agricultural and chemical sectors remaining at low levels. The precious metals sector is relatively strong, while the chemical and agricultural sectors are relatively weak [3] - In the precious metals sector, the time - series momentum of gold increased slightly. Although the momentum of silver remained moderately strong, its trading volume decreased marginally. In the non - ferrous sector, the short - cycle momentum decreased, and the term structure differentiation narrowed, with tin and lead being bearish. In the black sector, the short - cycle momentum declined slightly, and the trading volume of coking coal and coke decreased significantly. In the energy and chemical sector, the short - cycle momentum cross - section differentiation expanded, with glass and ethylene glycol being bearish. In the agricultural sector, the overall short - cycle momentum decreased slightly, and the term structure differentiation of oil and meal narrowed [3] Group 3: Strategy Net Value and Signals Methanol - Last week, the supply factor weakened by 0.39%, the inventory factor decreased by 0.18%, the spread factor weakened by 0.10%, and the synthetic factor declined by 0.31%. This week, the comprehensive signal is long. Fundamentally, the arrival volume of imported methanol continued to decrease, the supply side remained long; the operating rate of the methanol - to - olefins industry decreased, the demand side was moderately bearish; methanol ports were destocking, the inventory side was long; the spot price of methanol sent a bearish signal, and the East China basis sent a bullish signal, with the spread side being neutral [5] Iron Ore - Last week, the demand factor weakened by 0.28%, the inventory factor increased by 0.3%, and the synthetic factor strengthened by 0.01%. This week, the comprehensive signal remains neutral. The shipping volume from the four major mines decreased, and the arrival volume at northern ports continued to decline, changing the supply - side signal from bearish to neutral. The consumption and proportion of domestic sintered ore powder in steel mills increased, and the demand side turned to a bullish feedback, with the signal remaining neutral. The average available days of imported iron ore in steel mills increased, and the inventory of iron ore concentrates and imported iron ore at ports accumulated, weakening the bullish feedback on the inventory side and changing the signal to neutral. The freight rate center of iron ore continued to decline, further weakening the bullish feedback on the spread side, with the signal remaining neutral [11] Lead - Last week, the demand factor weakened by 0.28%, the inventory factor increased by 0.3%, and the synthetic factor strengthened by 0.01%. This week, the comprehensive signal remains bearish. In December, the monthly output of SMM recycled lead increased, and the loss of SMM recycled lead narrowed last week, strengthening the bearish signal on the supply side. The registered LME lead warehouse receipts increased compared with the previous week, further weakening the bullish feedback on the inventory side, with the signal remaining neutral. The spread between near - and far - month contracts of Shanghai lead widened, and the spread side turned to a bearish feedback, with the signal remaining neutral [11] Float Glass - Last week, the inventory factor weakened by 0.54%, the profit factor strengthened by 1.46%. This week, the comprehensive signal is bearish. Fundamentally, the operating load of float glass enterprises increased, turning the supply side bearish; the number of commercial housing transactions in first - and third - tier cities decreased, with the demand side being moderately bearish; float glass enterprises continued to destock, and the inventory side remained long; float glass enterprises using various processes continued to make losses, and the profit side was bearish [13] Group 4: Earnings Data First Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | - 0.39 | - 0.01 | | Demand | 0.00 | 0.48 | | Inventory | - 0.18 | 0.55 | | Spread | - 0.10 | 0.22 | | Aggregate of Major Categories | - 0.31 | 0.52 | [4] Second Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.00 | 1.17 | | Demand | 0.00 | 1.64 | | Inventory | - 0.54 | - 0.14 | | Spread | 0.00 | 0.23 | | Profit | 1.46 | 1.03 | | Aggregate of Major Categories | 0.00 | 1.17 | [8] Third Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.15 | 0.15 | | Inventory | - 0.18 | - 0.75 | | Spread | 0.10 | 0.93 | | Aggregate of Major Categories | 0.23 | 0.02 | [8] Fourth Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.00 | 0.10 | | Demand | - 0.28 | - 1.10 | | Inventory | 0.30 | 1.28 | | Spread | 0.00 | 1.09 | | Aggregate of Major Categories | 0.01 | 0.41 | [11] Group 5: Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black | 0.05 | - 0.51 | 0.06 | 0.19 | | Non - ferrous | 0.56 | 0.93 | - 0.62 | - 0.64 | | Energy and Chemical | 0.01 | 0.57 | 0.02 | 0.16 | | Agricultural | 0.41 | - 0.67 | 0.93 | | | Stock Index | 0.31 | - 0.38 | 0.45 | - 0.48 | | Precious Metals | 0.34 | | | 0.09 | [6]