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 2026/1/20 农产品板块持仓量维持低位 商品本周多头占比回落,主要表现有色 板块因子强度回落，农产品和和化工板 块持续位于低位。目前,截面偏强的板 块是贵金属,截面偏弱的是化工和农产 品。具体来看，黄金时序动量小幅上 升,尽管白影动量维持中性偏强,但白 银的持仓量出现边际下降。有色板块短 周期动量下降,期限结构分化收窄,截 CTA 面上锡和铅偏空。黑色板块短周期动量 边际小幅回落,焦煤焦炭持仓量降幅较 大。能化板块短周期动量截面分化扩 大,玻璃和乙二醇偏空。农产品整体短 周期动量小幅下降,油粕期限结构分化 收窄。 用 醇 策略净值方面,上周供给因子走弱 0.39%,库存因子走低0.18%,价差因子 走弱0.10%, 合成因子下行0.31%, 本周 综合信号多头。基本面因子上,进口甲 醇到港量持续减少,供给端多头延续; 甲醇制烯烃行业开工率下降,需求端中 性偏空;甲醇港口呈现去库,库存端多 头;甲醇现货价格释放空头信号,华东 基差释放多头信号,价差端中性。 | | | 动量时序 动量截面 期限结构 | | 持仓量 | | --- | --- | ...

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content. 2. Core Viewpoints - The proportion of long and short positions in commodities remained basically unchanged this week. The strength of the precious metals factor remained high, while that of the non-ferrous and agricultural product sectors decreased. The precious metals sector was relatively strong, and the agricultural product and chemical sectors were relatively weak [2]. - The differentiation within the agricultural product sector widened, with the cross - section differentiation of oil and meal products increasing, and the marginal decline in the positions of soybean oil and sugar [2]. 3. Summary by Related Catalogs Commodity Overall Situation - The cross - sectionally strong sector was precious metals, and the weak ones were agricultural products and chemicals. Gold's time - series momentum increased, and although the marginal position of silver decreased, it remained above the neutral range, with the cross - section differentiation at both ends widening [2]. - In the non - ferrous sector, the short - cycle momentum decreased marginally, the cross - section momentum differentiation narrowed, and zinc was relatively strong in the cross - section [2]. - In the black sector, the term structure showed narrowing differentiation, the positions of iron ore and rebar remained at low levels, and the short - cycle momentum increased slightly [2]. - In the energy and chemical sector, the short - cycle momentum factor rebounded, and soda ash was at the short end of the cross - section [2]. Factor Returns and Signals - **Methanol**: The demand factor weakened by 0.07%, the inventory factor increased by 0.12%, and the synthetic factor strengthened by 0.05%. This week, the comprehensive signal was long. The supply side was neutral to long, the demand side was neutral, the inventory side turned long, and the spread side was neutral [3][4]. - **General Situation (First Table)**: The supply factor had a weekly return of 0.00% and a monthly return of 0.56%; the demand factor had a weekly return of - 0.07% and a monthly return of - 0.88%; the inventory factor had a weekly return of 0.12% and a monthly return of 1.45%; the spread factor had a weekly return of 0.00% and a monthly return of 0.00%; the cumulative return of major categories was 0.05% for the week and 0.50% for the month [3]. - **General Situation (Second Table)**: The supply factor had a weekly return of - 0.46% and a monthly return of - 0.36%; the demand factor had a weekly return of - 0.49% and a monthly return of - 0.49%; the inventory factor had a weekly return of 0.00% and a monthly return of - 0.21%; the spread factor had a weekly return of 0.00% and a monthly return of - 0.26%; the profit factor had a weekly return of 1.07% and a monthly return of 1.82%; the cumulative return of major categories was - 0.32% for the week and - 0.36% for the month [7]. - **General Situation (Third Table)**: The supply factor decreased by 0.08% last week, the inventory factor increased by 0.67%, and the comprehensive factor strengthened by 0.2%. This week, the comprehensive signal changed from short to neutral [10][13]. - **Iron Ore**: The comprehensive signal changed from short to neutral. The supply side's long feedback further weakened, the demand side's long feedback strengthened, the inventory side's short signal strength increased, and the spread side's short feedback strengthened [13]. - **Aluminum**: The demand factor strengthened by 0.38 last week, the inventory factor decreased by 0.13%, the spread factor strengthened by 0.45%, the synthetic factor increased by 0.18%, and this week, the comprehensive signal remained short [13]. - **Float Glass**: The supply factor decreased by 0.46% last week, the demand factor weakened by 0.49%, the profit factor strengthened by 1.07%, the synthetic factor decreased by 0.32%, and this week, the comprehensive signal was short. The supply side was neutral, the inventory side's long strength increased, the spread side was short, and the profit side continued to be short [15]. Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black | 0 | 0.09 | 0 | - 0.08 | | Non - ferrous | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy and Chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural Product | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [5]