Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending July 25, index futures generally rose, with IH2507 up 1.14%, IF2507 up 1.87%, IC2507 up 3.55%, and IM2507 up 2.93%. Market sentiment improved, but off - market funds did not enter significantly, and the upward momentum declined marginally [1]. - From the high - frequency macro - fundamental factor scores, for index futures, inflation scored 6, liquidity scored 7, valuation scored 11, and market sentiment scored 9. For Treasury bond futures, inflation scored 8, liquidity scored 10, and market sentiment scored 8 [1]. - The net value of the financial derivatives quantitative CTA strategy rose 0.35% last week. In the long - term, weak industrial enterprise profits put some pressure on index futures. In the short - term, the low exchange rate due to the US dollar and relatively loose capital conditions led to a high but marginally declining market risk appetite. The overall comprehensive signal for index futures and Treasury bond futures was neutral and oscillating [1]. Summary by Relevant Catalogs Macro - fundamental Medium - and High - frequency Factor Scores - Economic kinetic energy indicators showed different changes. For example, the blast furnace开工率 dropped 2.99%, while the开工率 of automobile tires (all - steel tires) rose 6.30%. The index futures score was 7, and the Treasury bond futures score was 0 [2]. Inflation Indicators - Various inflation - related indicators had different weekly changes. For instance, the vegetable basket product wholesale price 200 - index rose 0.02%. The index futures score was 6, and the Treasury bond futures score was 8 [3]. Liquidity - Liquidity - related indicators such as DR007 and DR001 had certain percentage changes. The index futures score was 7 [4]. Index Valuation - Valuation indicators like PE (TTM) and PS (TTM) increased, while the dividend yield decreased. The index futures score was 10 [5]. Market Sentiment: Index - For the stock market, indicators such as margin trading balances and trading volumes changed. The index futures score was 9 [6]. Market Sentiment: Bond - Bond - related market sentiment indicators, including the yield of 10 - year government bonds and the volatility index, showed different trends. The Treasury bond futures score was 8 [7]. Strategy Introduction - The product pool includes index futures and Treasury bond futures. The strategy uses multi - strategy models for contract allocation, with short - term models focusing on high - frequency data and long - term models on low - frequency macro - economic data [18]. Prediction Signals - According to the short - term and long - term models, the prediction signals for different futures contracts were provided, and the comprehensive signals were calculated [19]. Last Week's Situation - The trading signals of different futures contracts on different days last week were presented, such as on July 25, the IC主力 had a signal of 1 [21]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental factor model decomposes the interest rate term structure into three parts, and the signals are classified into three types [22]. Market Quotes and Trading Signals - The trading signals of TF and T主力 contracts from July 21 to July 25 were given, showing different situations on different days [25].