国技期货 商品量化CTA周度跟踪 国投期货研究院 金融工程组 2026/2/10 黑色板块动量小幅下降 商品本周占比变化不大,主要表现贵金 属和有色板块因子强度企稳回升,黑色 和农产品板块受截面轮动影响下降。目 前截面偏强的板块是有色和化工,截面 偏弱的板块是黑色。具体来看,黄金时 序出现动量反转的迹象,逐步企稳,白 银的持仓量小幅回升。有色板块短周期 动量上升,期限结构分化收窄,铝和镍 截面偏强。黑色板块时序动量边际回 落,截面上看螺纹偏弱。能化板块中短 周期动量截面分化扩大,苯乙烯截面偏 强纯碱偏弱。农产品方面,短周期动量 没有发生明显反转,持仓量维持中性以 下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | -0.11 | 0.64 | | 需求 | 0.00 | -0.45 | | 库存 | -0.17 | 0.01 | | 价差 | -0.02 | 0.73 | | 大类累加 | -0.13 | 0.00 | 用 醇 策略净值方面,上周供给因子走弱 0.11%,库存因子下行0.17%,价差因子 走低0.02%,合成因子下行0.13%,本周 综合 ...

商品量化CTA周度跟踪 国投期货研究院 金融工程组 国技期货 需求 大类合成 价表 倍 =利用 7.8 6.8 5.8 4.8 3.8 2.8 1.8 0.8 2026/2/10 黑色板块动量小幅下降 商品本周占比变化不大,主要表现贵金 属和有色板块因子强度企稳回升,黑色 和农产品板块受截面轮动影响下降。目 前截面偏强的板块是有色和化工,截面 偏弱的板块是黑色。具体来看,黄金时 序出现动量反转的迹象,逐步企稳,白 银的持仓量小幅回升。有色板块短周期 动量上升,期限结构分化收窄,铝和镍 截面偏强。黑色板块时序动量边际回 落,截面上看螺纹偏弱。能化板块中短 周期动量截面分化扩大,苯乙烯截面偏 强纯碱偏弱。农产品方面,短周期动量 没有发生明显反转,持仓量维持中性以 下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | -0.11 | 0.64 | | 需求 | 0.00 | -0.45 | | 库存 | -0.17 | 0.01 | | 价差 | -0.02 | 0.73 | | 大类累加 | -0.13 | 0.00 | 用 醇 策略净值方面,上周供给因子走弱 ...

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]