Report Industry Investment Rating - Index: ☆☆☆ [1] - Treasury Bonds: ☆☆☆ [1] Core View of the Report - As of the week ending April 18, index futures rebounded, with IH2505 rising 0.04%, IF2505 rising 0.88%, IC2505 rising 1.45%, and IM2505 rising 2.06%. The impact of tariff policies on the fundamentals remains to be further observed, and there is a lack of boosting catalytic factors recently [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 6 points, the liquidity indicator 2 points, the valuation indicator 9 points, and the market sentiment indicator 6 points. For Treasury bond futures, the inflation indicator scored 6 points, the liquidity indicator 7 points, and the market sentiment indicator 8 points. Last week, the main index futures contracts remained at a discount, with the basis value of the main IF2506 contract at 47.49 and a historical quantile of 3.24% [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, the cumulative and year - on - year growth rates of industrial enterprise profits in March were positive and still in an upward repair trend. In the short - term, the impact weight of the exchange rate gradually decreased from the weekly high, and the repair of market risk appetite stalled and tended towards a wait - and - see attitude. In terms of positions, although the weekly average signal strength of IF and IH was high, the positions of IC and IM had risen to levels higher than those of IF and IH, and the comprehensive signal was in a neutral oscillation. For Treasury bond futures, the position factor showed some marginal repair last week, the end - of - month capital supply tightened, and under the situation of rising risk appetite and better - than - expected economic data, the short - term interest rate faced greater pressure, and the comprehensive signal was also in a neutral oscillation [1]. Summary by Relevant Catalogs Index Valuation - The PE (TTM) had a weekly increase of 0.58%, with a current value of 18.31 and a historical quantile of 0.85, and an index moving correlation of 0.89. The PS (TTM) had a weekly decrease of 0.14%, with a current value of 1.36 and a historical quantile of 0.85, and an index moving correlation of 0.94. The dividend yield (in the past 12 months) had a weekly increase of 1.35%, with a current value of 2.55 and a historical quantile of 0.95, and an index moving correlation of - 0.59. The PCF (operating cash flow TTM) had a weekly decrease of 2.14%, with a current value of 8.45 and a historical quantile of 0.80, and an index moving correlation of 0.36. The index futures score was 8 [2]. Market Sentiment: Index - The margin trading balance decreased by 0.07%, with a current value of 17914.52 and a historical quantile of 0.85, and an index moving correlation of 0.46. The short - selling balance increased by 0.29%, with a current value of 111.61 and a historical quantile of 0.16, and an index moving correlation of 0.30. The net purchase amount of northbound funds was - 67.75 with no weekly change and a historical quantile of 0.06, and an index moving correlation of 0.02. The selling amount of northbound funds was 494.16 with no weekly change and a historical quantile of 0.26, and an index moving correlation of - 0.28. The trading volume of A - shares on the Shanghai Stock Exchange increased by 14.52%, with a current value of 3648.03 and a historical quantile of 0.66, and an index moving correlation of 0.46. The Treasury bond futures score was 6 [3]. Market Sentiment: Bonds - The yield to maturity of 10 - year China Development Bank bonds increased by 0.83%, with a current value of 1.69 and a historical quantile of 0.06, and a Treasury bond moving correlation of - 0.97. The VIX index decreased by 16.22%, with a current value of 24.84 and a historical quantile of 0.87, and a Treasury bond moving correlation of - 0.21. The credit spread (median) of all industries remained unchanged, with a current value of 53.38 and a historical quantile of 0.16, and a Treasury bond moving correlation of - 0.03. The trading volume of the Shanghai Treasury bond index decreased by 2.61%, with a current value of 10.50 and a historical quantile of 0.48, and a Treasury bond moving correlation of 0. The Treasury bond futures score was 8 [4]. Strategy Introduction - The product pool consists of stock index futures and Treasury bond futures. The goal is to use a multi - strategy model to select and allocate contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and capital supply in high - frequency financial data. The long - term model focuses on market expectations and low - frequency macro - economic data. The position is mainly synthesized by considering the long and short positions of institutional investors [5]. Forecast Signals - The short - term model signals for IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.52, 0.51, 0.51, and 0.52 respectively. The position indicators were all 0. The long - term model signals were 0.52, 0.52, 0.54, 0.53, 0.5, and 0.51 respectively. The comprehensive signals were 0.53, 0.52, 0.51, 0.52, 0.52, and 0.51 respectively. There were no multi - short positions. The comprehensive signal strength is weighted by three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths and values greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 and values less than or equal to 0.4 are considered for short positions. Position data signals are blocked 7 days before the delivery date [6]. Last Week's Situation - From April 21 to April 25, 2025, the signals for IF, IH, IC, and T were all 0. The signal for TF was 0 from April 21, 23, 24, 25, and 1 on April 22 [8]. Recent Earnings Performance - The daily return was 0, the weekly return was 0, the monthly return was 0.38%, the 3 - month return was 1.42%, the 6 - month return was 3.35%, the annual return was 8.42%, and the 3 - year return was 25.23%. The maximum drawdowns were 0 for the week and month, 0.07% for 3 months, 0.51% for 6 months, 0.59% for a year, and 3.27% for 3 years [10]