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 ★国债期货行情简评： Ø ★国债期货日频择时策略： ★风险提示： 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 上周各期债表现分化，30年期主力合约收跌-0.33%，十年期主力合约涨0.11%，五年期主力合约 涨0.01%，两年期主力合约收跌-0.02% Ø 上周各品种基差分化，十债CTD券为250018，30号基差收于0.05元左右，与历史平均水平持平； 三十年期CTD券为210005，30号基差收于0.27元，高于历史基差的平均水平。 Ø 期债受到金银铜等商品的影响较小，上周表现震荡偏弱。随着1月的经济数据逐渐公布，预计通胀 等数据不弱，同时市场对春节和两会的股市上涨有所 ...

Report Industry Investment Rating No relevant content provided. Core Views - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively. The basis of each variety was differentiated, and the overall market sentiment remained bearish. T was close to the upper edge of the shock range, with limited room for further increase, while TL was more likely to continue to be under pressure [6]. - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines. Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Summary by Relevant Catalogs Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively [6]. - The basis of each variety was differentiated. The CTD bond of the 10-year Treasury bond was 250018, and the basis on the 16th was about 0.05 yuan, slightly lower than the seasonal level; the CTD bond of the 30-year Treasury bond was 210005, and the basis on the 16th was 0.22 yuan, lower than the seasonal level [6]. - The overall market sentiment remained bearish. The slight warming of sentiment drove the strength of varieties such as T, TF, and TS, but T was close to the upper edge of the shock range, with limited room for further increase; TL was more likely to continue to be under pressure [6]. Treasury Bond Futures Factor Analysis - For the 10-year Treasury bond, ranked by Sharpe ratio, the factors were the basis factor, risk assets, and member positions, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [6][17]. - For the 5-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, intraday volume-price, risk assets, member positions, and the basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [6][18]. - For the 2-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, the basis factor, intraday volume-price, and member positions, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [6][19]. Commodity Factor Performance - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines [24][27]. - Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volume-price trend factors rose by an average of about 2.0%, and the term structure factors also had an increase of over 0.5% [24][27]. - The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Tracking Strategy Performance - The CWFT strategy had an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, a maximum drawdown of -8.81%, a return of 0.19% last week, and a return of 0.21% since the beginning of this year [25]. - The C_frontnext & Short Trend strategy had an annualized return of 11.3%, a Sharpe ratio of 1.72, a Calmar ratio of 1.69, a maximum drawdown of -6.72%, a return of -0.05% last week, and a return of 0.41% since the beginning of this year [25]. - The Long CWFT & Short CWFT strategy had an annualized return of 12.0%, a Sharpe ratio of 1.36, a Calmar ratio of 0.92, a maximum drawdown of -13.07%, a return of -0.27% last week, and a return of 0.26% since the beginning of this year [25]. - The CS XGBoost strategy had an annualized return of 5.5%, a Sharpe ratio of 0.92, a Calmar ratio of 0.29, a maximum drawdown of -18.84%, a return of -1.05% last week, and a return of -2.50% since the beginning of this year [25]. - The RuleBased TS Sharp-combine strategy had an annualized return of 11.9%, a Sharpe ratio of 1.55, a Calmar ratio of 1.43, a maximum drawdown of -8.26%, a return of 1.04% last week, and a return of 0.46% since the beginning of this year [25]. - The RuleBased TS XGB-combine strategy had an annualized return of 11.5%, a Sharpe ratio of 2.01, a Calmar ratio of 2.57, a maximum drawdown of -4.49%, a return of 0.08% last week, and a return of -1.30% since the beginning of this year [25]. - The CS strategies, EW combine strategy had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [25]. - Among the above six strategies, the CWFT strategy performed the best last week, with a return of 0.19%; the C_frontnext & Short Trend strategy performed the best since the beginning of this year, with a return of 0.41% [46]. - The equal-weight composite strategy of the above cross-sectional strategies (equal-weighted weekly returns) had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [46].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week, all bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts falling by 0.36%, 0.11%, 0.07%, and 0.03% respectively. The December manufacturing PMI exceeded market expectations, causing bond futures to decline. For commodity factors, overall returns were still positive last week, but due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities and adopt a balanced allocation approach to prevent risks [6][29]. 3. Summary by Related Catalogs 3.1 Treasury Bond Futures Market Review - Last week, all bond futures contracts closed down. The 30 - year main contract fell 0.36%, the 10 - year main contract fell 0.11%, the 5 - year main contract fell 0.07%, and the 2 - year main contract fell 0.03%. The basis of each variety was differentiated, and the basis of the CTD bonds of the 10 - year and 30 - year bonds on the 31st was lower than the historical average of the same maturity. The December manufacturing PMI exceeded market expectations, with both supply and demand expanding simultaneously and new kinetic energy showing strong performance, leading to a decline in bond futures [6]. - In 2025, for the 10 - year treasury bond, the Sharpe ratios of the basis factor, risk assets, and member positions were 1.68, 1.93, and 0.59 respectively; for the 5 - year treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor were 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member positions were 2.45, 1.82, 1.59, and 0.82 respectively [6][21][22]. 3.2 Commodity CTA Factor and Tracking Strategy Performance 3.2.1 Commodity Factor Performance - In the last week of 2025, domestic commodities fluctuated greatly, with a relatively balanced number of rising and falling varieties. Gold, lithium carbonate, polysilicon, and tin fell by more than 3%, while silver had large fluctuations but was almost flat for the week. Nickel, glass, and methanol rose by more than 3%. The overall return of commodity factors was still positive, with term structure, volume - price trend, and long - term spot value factors showing profitability. The return of the position - trading volume ranking factor, which reflects market trading sentiment, decreased significantly last week, and the return of the volatility factor also decreased slightly. Due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, avoid actively increasing trading cycles and predicting directions, and adopt a balanced allocation approach to prevent risks [29][31][32]. 3.2.2 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 weekly return of 0.75%, and year - to - date return of 4.52%. Last week, it held 24 varieties with a net position of 22.1%, total position return of - 0.2%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 20.8%, and one variety needs to be rolled over, with a total turnover capital ratio of 18.7% [30][37]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.3%, Sharpe ratio of 1.72, Calmar of 1.69, maximum drawdown of - 6.72%, recent weekly return of 0.08%, and year - to - date return of 3.94%. Last week, it held 24 varieties with a net position of - 8.2%, total position return of - 0.2%, and a winning rate of 58.3%. This week, it holds 24 varieties with a net position of 9.9%, and one variety needs to be rolled over, with a total turnover capital ratio of 64.8% [30][39]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent weekly return of 1.94%, and year - to - date return of 0.73%. Last week, it held 24 varieties with a net position of 65.2%, total position return of 0.2%, and a winning rate of 50.0%. This week, it holds 24 varieties with a net position of 60.7%, and one variety needs to be rolled over, with a total turnover capital ratio of 25.4% [30][41]. - **CS XGBoost Strategy**: Annualized return of 6.0%, Sharpe ratio of 1.00, Calmar of 0.36, maximum drawdown of - 16.76%, recent weekly return of - 0.17%, and year - to - date return of - 9.21%. Last week, it held 24 varieties with a net position of 0.0%, total position return of - 0.1%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 0.0%, and one variety needs to be rolled over, with a total turnover capital ratio of 51.3% [30][43]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 1.55, Calmar of 1.43, maximum drawdown of - 8.26%, recent weekly return of - 0.24%, and year - to - date return of 10.15%. Last week, it held 46 varieties with a net position of 5.0%, total position return of - 0.6%, and a winning rate of 37.0%. This week, it holds 46 varieties with a net position of 30.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 50.6% [30][44]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 2.07, Calmar of 2.64, maximum drawdown of - 4.49%, recent weekly return of 0.04%, and year - to - date return of 8.27%. Last week, it held 46 varieties with a net position of - 4.6%, total position return of - 0.1%, and a winning rate of 39.1%. This week, it holds 46 varieties with a net position of - 10.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 45.0% [30][46]. - **CS strategies, EW combine Strategy**: Annualized return of 12.6%, Sharpe ratio of 1.78, Calmar of 1.70, maximum drawdown of - 7.38%, recent weekly return of 0.88%, and year - to - date return of - 2.11% [30]. - Among the above six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.94%, and the CWFT strategy performed best since 2025 with a return of 4.52%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.78, a Calmar of 1.70, a maximum drawdown of - 7.38%, a recent weekly return of 0.88%, and a year - to - date return of - 2.11% [51].

Group 1: Report Information - Report Name: Golden Industrial Strategy Weekly Report - Analysts: Li Xiaohui (Chief Analyst), Xu Fan (Senior Analyst) - Qualification Numbers: Li Xiaohui (F03120233, Z0019676), Xu Fan (F03107676, Z0022032) [1][2] Group 2: Treasury Bond Futures Analysis Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. The basis declined, the IRR continued to rise, and the inter - period spread was volatile and strong [3]. Timing Strategy - **Ten - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are basis factor, risk asset, and member position, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [3][13]. - **Five - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [3][14]. - **Two - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, basis factor, intraday volume - price, and member position, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [3][15]. Group 3: Commodity CTA Factor and Tracking Strategy Analysis Commodity Factor Performance - Last week, domestic commodities generally showed a strong trend, with the comprehensive index having a prominent weekly increase. Precious metals, non - ferrous metals, and some energy - chemical varieties had high upward intensities, and silver and lithium carbonate both had huge increases of over 17%. The overall profitability of commodity factors recovered. Except for the basic factors such as basis and warehouse receipts with basically flat weekly returns, other types of factors increased to varying degrees, especially the volume - price trend factors, mainly due to the recent rise in market sentiment, and the price trend deviated from the fundamental expectations to some extent. Commodity factors still have long - term expected return capabilities, and the overall performance of commodity factors is still optimistic in the medium - to - long term. However, recent market fluctuations may intensify the strategy's volatility risk, and investors are advised to adopt a balanced allocation approach to prevent risks [20][23]. Tracking Strategy Performance | Strategy Name | Annualized Return | Sharpe Ratio | Calmar | Max Drawdown | Recent One - Week Return | YTD Return | | --- | --- | --- | --- | --- | --- | --- | | CWFT | 9.3% | 1.59 | 1.06 | - 8.81% | 0.92% | 4.70% | | C_frontnext & Short Trend | 11.4% | 1.73 | 1.70 | - 6.72% | 0.33% | 4.19% | | Long CWFT & Short CWFT | 12.1% | 1.35 | 0.92 | - 13.07% | 1.71% | 0.49% | | CS XGBoost | 6.0% | 1.01 | 0.36 | - 16.70% | - 0.09% | - 9.13% | | RuleBased TS Sharp - combine | 12.0% | 1.57 | 1.45 | - 8.26% | 0.39% | 10.83% | | RuleBased TS XGB - combine | 11.9% | 2.08 | 2.65 | - 4.49% | - 0.28% | 8.39% | | CS strategies, EW combine | 12.6% | 1.79 | 1.71 | - 7.38% | 0.89% | - 2.10% | [21] Strategy Comparison - Among the above six strategies, Long CWFT & Short CWFT performed best last week with a return of 1.71%, and CWFT performed best this year with a return of 4.70% [42].