金工策略周报-20260322

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - In the Treasury bond futures market, last week, each maturity of bond futures showed differentiation. The 30 - year main contract fell 0.35%, while the 10 - year, 5 - year, and 2 - year main contracts rose 0.03%, 0.02%, and 0.05% respectively. The market risk preference weakened, activating the hedging attribute of bond futures. The downward trend of Treasury bond futures is not easy to reverse when the long - term bull market logic of the stock market remains unchanged and the coupon income of Treasury bonds is not very attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading attribute of the bond market is more obvious [5]. - In the commodity CTA market, due to the expected non - short - term end of the Iranian regional conflict, the prices of upstream and downstream varieties in the energy and chemical industry chain continued to rise last week. The sudden increase in inflation expectations reduced the market's expectation of the Fed's interest rate cut this year, and precious metals were among the varieties with relatively large declines. Going long on volatility still has a certain winning rate, and in the commodity bull market, going long on volatility can be an optimal strategy after unexpected events. The returns of spot basis - related factors and trading volume and position ranking factors have recovered, and the warehouse receipt factors have a slight increase. However, the long - term returns of fundamental - logic - driven factors are generally mediocre, and continuous observation is needed [11][13]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Market Review - Last week, each maturity of bond futures showed differentiation. The 30 - year main contract fell 0.35%, the 10 - year main contract rose 0.03%, the 5 - year main contract rose 0.02%, and the 2 - year main contract rose 0.05%. The basis of each variety also showed differentiation. The CTD bond of the 10 - year bond was 250025, and the basis on the 20th was about - 0.02 yuan, lower than the historical average; the CTD bond of the 30 - year bond was 210014, and the basis on the 20th was 0.19 yuan, also lower than the historical average [5]. 3.1.2 Quantitative Strategy Performance - For the 10 - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.71%, 1.27, and 2.04% respectively. Since the release of the report (2025/11/01 to the present), the annualized return, Sharpe ratio, and maximum drawdown of the portfolio under single - leverage are 2.62%, 1.61, and 0.67% respectively [5]. - The unilateral strategy is constructed based on factors such as basis, intraday technical indicators, intraday volume - price, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting within each factor category and then averaging, with the sign of the average as the long - short signal. The strategy uses the VWAP of the first ten minutes of the next - day's opening as the trading price and buys with single - leverage [9]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Due to the expected non - short - term end of the Iranian regional conflict, the prices of upstream and downstream varieties in the energy and chemical industry chain continued to rise last week. The sudden increase in inflation expectations reduced the market's expectation of the Fed's interest rate cut this year, and precious metals were among the varieties with relatively large declines. Going long on volatility still has a certain winning rate, and in the commodity bull market, going long on volatility can be an optimal strategy after unexpected events. The returns of spot basis - related factors and trading volume and position ranking factors have recovered, with the former having an average increase of over 1%, and the warehouse receipt factors have a slight increase. However, the long - term returns of fundamental - logic - driven factors are generally mediocre, and continuous observation is needed [11][13]. 3.2.2 Tracking Strategy Performance - CWFT strategy: Annualized return is 9.5%, Sharpe ratio is 1.63, Calmar ratio is 1.07, maximum drawdown is - 8.81%, recent one - week return is 0.28%, and year - to - date return is 3.06% [12]. - C_frontnext & Short Trend strategy: Annualized return is 11.4%, Sharpe ratio is 1.74, Calmar ratio is 1.70, maximum drawdown is - 6.72%, recent one - week return is - 1.17%, and year - to - date return is 2.64% [12]. - Long CWFT & Short CWFT strategy: Annualized return is 12.8%, Sharpe ratio is 1.43, Calmar ratio is 0.98, maximum drawdown is - 13.07%, recent one - week return is - 0.89%, and year - to - date return is 6.45% [12]. - CS XGBoost strategy: Annualized return is 4.9%, Sharpe ratio is 0.79, Calmar ratio is 0.23, maximum drawdown is - 21.40%, recent one - week return is - 0.43%, and year - to - date return is - 5.44% [12]. - RuleBased TS Sharp - combine strategy: Annualized return is 11.6%, Sharpe ratio is 1.51, Calmar ratio is 1.40, maximum drawdown is - 8.26%, recent one - week return is 0.56%, and year - to - date return is 0.70% [12]. - RuleBased TS XGB - combine strategy: Annualized return is 11.0%, Sharpe ratio is 1.92, Calmar ratio is 2.23, maximum drawdown is - 4.95%, recent one - week return is 0.88%, and year - to - date return is - 2.24% [12]. - CS strategies, EW combine strategy: Annualized return is 12.8%, Sharpe ratio is 1.82, Calmar ratio is 1.73, maximum drawdown is - 7.38%, recent one - week return is - 0.92%, and year - to - date return is 3.74% [12]. - Among the above six strategies, the CWFT strategy performed best last week with a return of 0.28%, and the Long CWFT & Short CWFT strategy performed best year - to - date with a return of 6.45%. The equal - weighted composite strategy of the above cross - sectional strategies has an annualized return of 12.8%, a Sharpe ratio of 1.82, a Calmar ratio of 1.73, a maximum drawdown of - 7.38%, a recent one - week return of - 0.92%, and a year - to - date return of 3.74% [32].