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]

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]

Group 1: Macro Insights - The report highlights that the recent volatility in gold and silver prices is primarily driven by market momentum reversals, with silver attracting high leverage and speculative funds since November 2025 [2][5] - The report anticipates that after the appointment of the new Federal Reserve Chairman, there will be more interest rate cuts than the market expects, with short-term U.S. Treasury yields likely to decline [2][4] - The report notes that the recent decline in the manufacturing PMI does not indicate a weakening economy, as it reflects a temporary fluctuation rather than a downward trend [10] Group 2: Commodity Market Analysis - The report indicates that the recent crash in silver prices has led to liquidity risks that may spread to other commodities, particularly in the non-ferrous metals sector [5][6] - It emphasizes the importance of monitoring the support levels for gold prices, particularly the 60-day moving average, which is currently at $4,400 per ounce [5] - The report suggests that the Shanghai Futures Exchange has implemented measures to manage the risk of a one-sided market in silver futures [5] Group 3: Equity Market Outlook - The report predicts a rebound in the A-share market following the Spring Festival, driven by positive sentiment from performance forecasts and new developments in sectors like AI applications and commercial aerospace [6][10] - It advises a balanced ETF allocation in domestic equities, reflecting a cautious yet optimistic outlook for the market [11] Group 4: Bond Market Perspective - The report notes that the bond market is expected to see increased buying activity due to risk aversion and expectations of monetary easing, with 10-year yields projected to decline to around 1.80% [7][10] - It highlights that the recent adjustments in risk appetite have created trading opportunities in government bonds as a hedge against stock market volatility [4][7]

Group 1 - The strongest branch of computing power has formed a VCP structure with optical connections and PCBs, and optical connections have made breakthroughs [1] - If the market index continues to rise, the leading sectors will likely be computing power equipment followed by power equipment, with power equipment experiencing a later and less sufficient pullback [3] - The average stock price index has recently confirmed a situation where the lower limit of the pullback space has been identified, but it is uncertain if the adjustment structure has ended, with the possibility of the box continuing to expand to the right [5] Group 2 - The trading volume has recently broken through the 21-day average volume, initially satisfying the conditions for a momentum reversal, but the price box may not break through immediately [5] - The reliance on small-cap junk stocks for market rallies is unlikely, and attention should be on hard technology, innovative pharmaceuticals, as well as the support levels of insurance and banking sectors [5] - The performance of brokerage firms has been weak, indicating that they may struggle to achieve significant results, despite being favored by retail investors, as institutions show little interest [5]

- The liquidity factor has shown a rapid rebound, with active trading by major funds. This week's recommended sectors for the liquidity factor include electronics, electrical equipment and new energy, pharmaceuticals, machinery, non-bank finance, and non-ferrous metals[14][16] - The long-term prosperity expectation factor, which serves as a proxy for prosperity investment, has started to show a slight upward trend in effectiveness. This week's long-term prosperity expectation factor includes non-bank finance, building materials, transportation, electric power and public utilities, and non-ferrous metals[18][20] - The short-term prosperity expectation factor continues to focus on domestic demand, with significant upward movement in long-short excess returns. This week's short-term prosperity expectation factor includes agriculture, forestry, animal husbandry, and fishery, consumer services, non-bank finance, machinery, and non-ferrous metals[22][24] - The momentum reversal factor is currently unable to describe the market trend, but it is expected that sector rotation may shift to momentum in one to two weeks. This week's momentum reversal factor includes automobiles, communications, electrical equipment and new energy, machinery, and home appliances[25][26] - The composite factor for this week includes consumer services, non-bank finance, machinery, electrical equipment and new energy, electronics, and non-ferrous metals[32][33] Factor Backtesting Results - Liquidity factor, excess return of long positions: 0.7% to 2.3% over various periods[16] - Long-term prosperity expectation factor, excess return of long positions: 0.6% to 2.4% over various periods[20] - Short-term prosperity expectation factor, excess return of long positions: 0.6% to 2.0% over various periods[24] - Momentum reversal factor, excess return of long positions: 0.4% to 2.4% over various periods[26]