金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（商品CTA、商品指数） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 （一）国债期货量化策略 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 交易咨询号： Z0022032 量化模型基于历史数据构建，市场环境变化或导致模型信号失效。 Ø 上周各期债收涨，30年期主力合约涨1.24%，十年期主力合约涨0.14%，五年期主力 合约涨0.09%，两年期主力合约涨0.02% Ø 上周各品种基差走阔，十债CTD券为250018，23号基差收于0.05元左右，略低于基 差的季节性水平；三十年期CTD券为210005，16号基差收于0.35元，低于基差的季 节性水平。 Ø 国债期货持续走强，情绪小幅回暖推动各期债品种走强。随着开年来政策的不断加码， 经济运行情况整体平稳，短期上涨的动力较强，因此日间技术与基差等核心因子依旧 以多头主导。 ★国债期货行情简评： ★国债期货日频择时 ...

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - In the Treasury bond futures market, last week all Treasury bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts dropping by 0.04%, 0.08%, 0.12%, and 0.07% respectively. The basis of each variety was differentiated. The CTD bond basis of the 10 - year and 30 - year bonds showed different relationships with the seasonal level. The 12 - month inflation data exceeded market expectations, affecting the bond market trend. For different - term Treasury bonds, different factors had different Sharpe ratios in 2025 [6]. - In the domestic commodity market in the first week of 2026, it generally rose, with lithium carbonate leading the rise and polysilicon leading the decline. Tin and coking coal had a rise of over 6%. Different commodity factors had obvious performance differences. The term - structure and basis - type factors almost closed flat, the volume - price trend - type factors had a return of over 0.5%, the value - type and volatility - type factors rose slightly, and the warrant - type factors had a decline of over 0.5%. Due to external market disturbances, the volatility of commodity factor returns increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, adopt a balanced allocation approach, and prevent risks [25]. - For the commodity tracking strategies, different strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. Among them, the Long CWFT & Short CWFT strategy had the best performance last week and so far this year, with a return of 0.53%. The equal - weighted composite strategy of the cross - sectional strategies had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar of 1.71, a maximum drawdown of - 7.38%, a recent one - week return of 0.62%, and a return of 0.62% so far this year [26][47]. 3. Summary According to the Directory 3.1 Treasury Bond Futures Market - **Market Performance Last Week**: All Treasury bond futures contracts closed down. The 30 - year main contract dropped by 0.04%, the 10 - year by 0.08%, the 5 - year by 0.12%, and the 2 - year by 0.07%. The basis of each variety was differentiated. The 10 - year CTD bond was 250018, with a basis of about 0.09 yuan on the 31st, in line with the seasonal level; the 30 - year CTD bond was 210005, with a basis of 0.23 yuan on the 31st, lower than the seasonal level [6]. - **Influencing Factors**: The 12 - month inflation data exceeded market expectations. The bond market weakened in the early session on Friday last week. It strengthened briefly around the primary market issuance but finally declined with the strong performance of the stock market [6]. - **Factor Performance in 2025**: For the 10 - year Treasury bond, the factors ranked by Sharpe ratio were the basis factor, risk asset, and member position, with Sharpe ratios of 1.68, 1.93, and 0.59 respectively; for the 5 - year Treasury bond, they were high - frequency capital flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year Treasury bond, they were high - frequency capital flow, basis factor, intraday volume - price, and member position, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively [6][17][18][19]. 3.2 Commodity Market - **Commodity Factor Performance**: In the first week of 2026, the domestic commodity market generally rose. Lithium carbonate led the rise, and polysilicon led the decline. Tin and coking coal had a rise of over 6%. Different commodity factors had obvious performance differences. The term - structure and basis - type factors almost closed flat, the volume - price trend - type factors had a return of over 0.5%, the value - type and volatility - type factors rose slightly, and the warrant - type factors had a decline of over 0.5%. Due to external market disturbances, the volatility of commodity factor returns increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, adopt a balanced allocation approach, and prevent risks [25]. - **Tracking Strategy Performance** - **CWFT Strategy**: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.05, maximum drawdown of - 8.81%, recent one - week return of 0.03%, and return of 0.03% so far this year [26]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.4%, Sharpe ratio of 1.73, Calmar of 1.69, maximum drawdown of - 6.72%, recent one - week return of 0.47%, and return of 0.47% so far this year [26]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.93, maximum drawdown of - 13.07%, recent one - week return of 0.53%, and return of 0.53% so far this year [26]. - **CS XGBoost Strategy**: Annualized return of 5.7%, Sharpe ratio of 0.95, Calmar of 0.32, maximum drawdown of - 17.98%, recent one - week return of - 1.47%, and return of - 1.47% so far this year [26]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.7%, Sharpe ratio of 1.53, Calmar of 1.42, maximum drawdown of - 8.26%, recent one - week return of - 0.57%, and return of - 0.57% so far this year [26]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.6%, Sharpe ratio of 2.02, Calmar of 2.58, maximum drawdown of - 4.49%, recent one - week return of - 1.38%, and return of - 1.38% so far this year [26]. - **CS strategies, EW combine Strategy**: Annualized return of 12.6%, Sharpe ratio of 1.79, Calmar of 1.71, maximum drawdown of - 7.38%, recent one - week return of 0.62%, and return of 0.62% so far this year [26]. - **Best - Performing Strategy**: The Long CWFT & Short CWFT strategy performed best last week and so far this year, with a return of 0.53% [47].