1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - The market style is differentiated, with CSI 500 and CSI 1000 rising, while SSE 50 and SSE 300 closing down. The electronic and banking sectors contributed to the main decline in SSE 50, the power equipment and non - ferrous metal sectors contributed to the main increase in SSE 300 and CSI 500, and the power equipment and pharmaceutical and biological sectors contributed to the main increase in CSI 1000 [3]. - The basis of stock index futures has strengthened. IH maintains a premium, IF maintains a shallow discount, and IC and IM maintain a deep discount. The short - side hedging demand on stock index futures remains dominant, and it is expected that the deep discount pattern of IC and IM will continue. It is recommended to pay attention to the opportunity to build positions in inter - period positive spreads when the discount converges driven by market sentiment. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - For the bond futures market, the IRR of bond futures has declined this week, and the inter - period spread has fluctuated strongly. The positive spread space is limited, and it is expected to maintain a volatile trend. The interest rate timing signal predicts a decline in interest rates, and it is recommended to choose high - duration varieties for hedging. The multi - factor timing strategy signal for bond futures is neutral, and the inter - variety arbitrage strategy signals for bond futures are also neutral [56]. - In the commodity market, the rise and fall of various varieties are scattered. Most commodity factors rose slightly last week, but the price - volume trend factors and value factors declined significantly. The overall commodity trend may be highly volatile due to external macro - factors, and medium - and long - term trend - based CTA strategies may face certain risks [70]. 3. Summary by Directory 3.1 Stock Index Futures Market 3.1.1 Market Review - Market style is differentiated, with different sectors contributing to the rise and fall of different indices [3]. - IH, IF, IC trading volume increased month - on - month, while IM trading volume decreased month - on - month, and the basis of each variety strengthened slightly [4]. 3.1.2 Basis Strategy - The basis has strengthened, and different varieties have different basis states. It is recommended to pay attention to inter - period positive spreads and adopt a long - near and short - far roll - over strategy [4]. 3.1.3 Arbitrage Strategy - In the inter - period arbitrage strategy, each strategy had a pullback last week, with the annualized basis rate, positive spread, and momentum factor losing 0.3%, 0.5%, and 0.4% respectively (6 - times leverage). The annualized basis rate factor turned to a reverse - spread signal [5]. - The net value of the inter - variety arbitrage time - series synthetic strategy lost 0.2% last week. The latest signal recommends a 50% position to go long on IC and short on IF, and the IM/IC combination is in a short position [6]. 3.1.4 Timing Strategy - The daily timing strategy lost money overall last week, with SSE 50, SSE 300, CSI 500, and CSI 1000 losing 0.5%, 0.8%, gaining 0.7%, and losing 1.4% respectively. The timing model's latest signal is bullish on each index [7]. 3.2 Bond Futures Market 3.2.1 Weekly Strategy Focus - In terms of basis and inter - period spreads, the IRR of bond futures has declined, and the inter - period spread has fluctuated strongly. The positive spread space is limited and is expected to be volatile [56]. - In terms of interest rate timing and hedging signals, the interest rate timing signal predicts a decline in interest rates, and high - duration varieties are recommended for hedging [56]. - The multi - factor timing strategy signal for bond futures is neutral, with some factors being bullish and some being bearish [56]. - The inter - variety arbitrage strategy signals for bond futures are neutral [56]. 3.3 Commodity Market 3.3.1 Factor Performance - The rise and fall of various commodity varieties are scattered. Most factors rose slightly, but price - volume trend factors and value factors declined significantly. The overall commodity trend may be volatile, and medium - and long - term trend - based CTA strategies may face risks [70]. 3.3.2 Tracking Strategy Performance - Different tracking strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CWFT strategy has an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, and a maximum drawdown of - 8.81% [71].