黑色板块动量小幅下降：商品量化CTA周度跟踪-20260210

Group 1: Report Overview - The report is a weekly tracking of commodity quantitative CTA by Guotou Futures Research Institute's Financial Engineering Group on February 10, 2026 [1][2] Group 2: Industry Performance - Commodity proportion changed little this week. The factor intensity of precious metals and non - ferrous metals stabilized and rebounded, while that of black and agricultural products decreased due to cross - sectional rotation. Currently, non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is weak [3] - In the precious metals sector, gold showed signs of momentum reversal and gradually stabilized, and the trading volume of silver slightly increased [3] - In the non - ferrous metals sector, short - cycle momentum increased, and the term structure differentiation narrowed. Aluminum and nickel were cross - sectionally strong [3] - In the black sector, time - series momentum declined marginally, and rebar was weak cross - sectionally [3] - In the energy and chemical sector, short - cycle momentum cross - sectional differentiation expanded. Styrene was cross - sectionally strong, and soda ash was weak [3] - In the agricultural products sector, short - cycle momentum did not reverse significantly, and the trading volume remained below neutral [3] Group 3: Factor Returns Methanol - Last week, the supply factor weakened by 0.11%, the inventory factor decreased by 0.17%, the spread factor decreased by 0.02%, and the synthetic factor decreased by 0.13%. This week, the comprehensive signal is long [5] - In terms of fundamental factors, the arrival volume of imported methanol continued to be low (supply long), the capacity utilization rate of formaldehyde and glacial acetic acid plants decreased (demand short), domestic production enterprises continued to destock (inventory long), and the spot prices of methanol in Shanxi and Henan released long signals (spread neutral - long) [5] Other Factors - For other factors, the table shows last week's and monthly returns of supply, demand, inventory, spread, and other related factors [4][8][11] Group 4: Strategy Net Value and Signals Methanol - Last week, the supply factor of methanol weakened, the inventory factor declined, the spread factor decreased, and the synthetic factor declined. This week, the comprehensive signal is long [5] Iron Ore - Last week, the comprehensive factor of iron ore was flat compared with the previous week. This week, the comprehensive signal changed from short to neutral. The arrival volume at ports changed little (supply signal neutral), the demand signal changed from short to long, the inventory signal became long feedback but remained neutral, and the spread signal changed from neutral to short [11] Shanghai Lead - Last week, the supply factor of Shanghai lead increased by 0.84%, the demand factor strengthened by 0.81%, the inventory factor decreased by 0.83%, the spread factor increased by 0.72%, and the synthetic factor strengthened by 0.39%. This week, the comprehensive signal remains short [11] Float Glass - Last week, the inventory factor of float glass increased by 0.11%, the profit factor decreased by 0.44%, and the synthetic factor strengthened by 0.25%. This week, the comprehensive signal remains short. The supply is neutral, the demand signal strength weakened and became neutral, the inventory remains neutral, and the profit remains short [12]