商品量化CTA周度跟踪-20260210

1. Report Title and Date - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated February 10, 2026 [1][2] 2. Core Viewpoints - The proportion of commodities this week has changed little. The factor strength of the precious metals and non - ferrous sectors has stabilized and rebounded, while the black and agricultural product sectors have declined due to cross - sectional rotation. Currently, the non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is cross - sectionally weak [3] 3. Industry Analysis 3.1 Sector - by - Sector Momentum and Structure - Precious Metals: Gold shows signs of momentum reversal and is gradually stabilizing, and the trading volume of silver has increased slightly [3] - Non - Ferrous Metals: The short - cycle momentum of the non - ferrous sector has increased, and the term structure differentiation has narrowed. Aluminum and nickel are cross - sectionally strong [3] - Black Metals: The time - series momentum of the black sector has declined marginally, and rebar is weak cross - sectionally [3] - Energy and Chemicals: The cross - sectional differentiation of short - cycle momentum in the energy and chemical sector has expanded. Styrene is cross - sectionally strong, and soda ash is weak [3] - Agricultural Products: The short - cycle momentum has not reversed significantly, and the trading volume remains below neutral [3] 3.2 Factor Performance and Signals 3.2.1 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. Fundamentally, the supply side is long, the demand side is short, the inventory side is long, and the spread side is neutral to long [5] 3.2.2 Iron Ore - Last week, the comprehensive factor trend was flat compared to the previous week. This week, the comprehensive signal has changed from short to neutral. The supply side signal feedback is enhanced and remains neutral, the demand side signal has changed from short to long, the inventory side has a long feedback and remains neutral, and the spread side signal has changed from neutral to short [11] 3.2.3 Shanghai Lead - Last week, the supply factor 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. The supply side short signal intensity is further enhanced, the inventory side long feedback is slightly weakened and the signal has changed from long to neutral, and the spread side signal has changed from short to neutral [11] 3.2.4 Glass - Last week, the inventory factor 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. Fundamentally, the supply side is neutral, the demand side short intensity has weakened and become neutral, the inventory side remains neutral, and the profit side remains short [12] 4. Performance Data 4.1 Methanol | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | - 0.11 | 0.64 | | Demand | 0.00 | - 0.45 | | Inventory | - 0.17 | 0.01 | | Spread | - 0.02 | 0.73 | | Aggregate | - 0.13 | 0.00 | [4] 4.2 Glass | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Pin de | 0.00 | - 0.32 | | Demand | 0.00 | - 0.35 | | Inventory | 0.11 | - 0.37 | | Spread | 0.00 | 0.00 | | Profit | - 0.44 | 1.47 | | Aggregate | 0.25 | - 0.32 | [8] 4.3 Iron Ore | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.00 | 0.20 | | Inventory | 0.00 | - 0.24 | | Spread | 0.00 | - 0.29 | | Aggregate | 0.00 | - 0.18 | [11] 4.4 Shanghai Lead | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.84 | 2.14 | | Demand | 0.81 | 2.84 | | Inventory | - 0.83 | - 1.86 | | Spread | 0.72 | 1.35 | | Aggregate | 0.39 | 1.06 | [11] 5. Momentum and Other Indicators by Sector | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black | 0.21 | - 0.29 | 0.85 | 1.25 | | Non - Ferrous | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemicals | - 0.37 | 0.57 | 0.02 | 0.16 | | Agricultural Products | 0.75 | - 0.67 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Precious Metals | 0 | | | - 0.15 | [6]