关注棉花、PX中期交易机会

Report Industry Investment Rating - Not provided in the document Core Viewpoints - The report recommends mid - term unilateral long positions in cotton and PX futures. For cotton, on January 30th, it triggered the RCMS model's negative - correlation long - opening signal, and the technical analysis shows potential upward movement. For PX, it also triggered the same signal on January 30th, with favorable technical indicators [4][5][6][7] Summary by Directory 01 Multi - factor Strategy Tracking - Strategy Introduction: It is a multi - factor strategy constructed based on multi - dimensional correlations. It uses the Pearson correlation coefficient formula to calculate the correlation coefficients and volatilities between the net positions of multiple - dimension seats and the prices of varieties, and builds a multi - factor strategy model. The average investment cycle for a single variety is medium - to long - term, with most varieties having a holding period of 1 to 12 months. The investment scope covers all futures market varieties [14] - Open Positions - Cotton: Multiple key seats and the top ten and top twenty total net positions show a high negative correlation with the price trend. According to the RCMS multi - factor model's opening signal, a long - opening trading strategy is implemented. Technically, the monthly K - line chart of cotton weighted has continuously broken through and stood above the 5 - and 13 - period SMMA moving averages, and the current price is at a medium - low historical level with greater upward potential [15][19][21] - Open Positions - PX: Key seat A and the top ten and top twenty total net positions show a high negative correlation with the price trend. According to the RCMS multi - factor model's opening signal, a long - opening trading strategy is implemented. Technically, the weekly K - line chart of PX weighted has continuously broken through and stood above the 5, 13, and 34 - period SMMA moving averages, and the current trend is in a continued oscillating uptrend of the moving - average long arrangement [22][26][28] - Strategy Performance: Since the strategy is a new simulated account established on the last trading day of January, there is no data on net value, return rate, volatility, maximum drawdown, and Sharpe ratio yet. The current strategy holding position is 10% [29] 02 Main Varieties and Seat Correlations - Financial Sector - Stock Index: It shows the net position changes and closing prices of IC top ten total, IM seat A, IF seat A, and IC seat A over time [32][33][35][37] - Financial Sector - Precious Metals: It shows the net position changes and closing prices of Shanghai Silver seat A and PT seat A over time [41][42] - Non - ferrous Metals Sector - Shanghai Copper: It shows the net position changes and closing prices of Shanghai Copper's top twenty total, top ten total, top five total, and seat A over time [44][45][46][48] - Non - ferrous Metals Sector - Shanghai Aluminum: It shows the net position changes and closing prices of Shanghai Aluminum's top twenty total, seat A, seat B, and seat C over time [52][53][54][58] - Non - ferrous Metals Sector - Lithium Carbonate: It shows the net position changes and closing prices of Lithium Carbonate's seat A, seat B, and seat C over time [61][62][63][64] - Non - ferrous Metals Sector - Shanghai Nickel: It shows the net position changes and closing prices of Shanghai Nickel's seat A, seat B, seat C, and seat D over time [66][67][69][70] - Non - ferrous Metals Sector - Shanghai Tin: It shows the net position changes and closing prices of Shanghai Tin's seat A, seat B, and seat C over time [74][75][76][77] - Non - ferrous Metals Sector - Shanghai Zinc and Shanghai Lead: It shows the net position changes and closing prices of Shanghai Zinc's seat A and seat B, and Shanghai Lead's seat A over time [79][80][83] - Black Metals Sector - Iron Ore, Stainless Steel, and Manganese Silicon: It shows the net position changes and closing prices of Iron Ore seat A, Stainless Steel seat A, and Manganese Silicon seat A over time [87][88][90][91] - Energy and Chemicals Sector - Methanol: It shows the net position changes and closing prices of Methanol's top five total, seat A, and top ten total over time [93][94][96][99] - Agricultural Products - Corn, Starch, Live Pigs, and Sugar: It shows the net position changes and closing prices of Corn's top five total, Starch's top twenty total, Live Pigs seat A, and Sugar seat A over time [100][101][104][105] - Agricultural Products - Rapeseed Oil, Rapeseed Meal, and Soybean No.1: It shows the net position changes and closing prices of Rapeseed Oil seat A and seat B, Rapeseed Meal's top twenty total, and Soybean No.1 seat A over time [106][107][108][112]