商品量化CTA周度跟踪 国投期货研究院 金融工程组 2025/8/12 有色板块内部分化扩大 商品本周多空排序变化比较明显,主要 表现为能源和有色在两端的差异扩大。 目前,截面偏强的板块是有色和黑色, 截面偏弱的是能源和农产品。具体来 看,黄金时序动量边际减弱,贵金属板 块内持仓量分化收窄。有色板块时序动 量因子仍旧保持高位,但在锌、铝等品 种的持仓量因子出现下降,截面动量分 化扩大。黑色板块,短周期动量因子边 际下降,但长周期动量逐步企稳。能源 板块时序动量大幅下降，化工品种PTA 、短纤处于截面相对偏强一端。农产品 方面,油粕期限结构差异收窄,但豆油 长周期动量高于豆粕。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | 0.01 | 0.13 | | 需求 | 0.15 | 0.95 | | 库存 | 0.12 | 1.00 | | 价差 | -0.11 | 0.11 | | 大类累加 | 0.01 | 0.17 | 用 酮 国技期货 高级分析师 胡静怡 期货投资咨询证号: Z0019749 王雪忆 期货从业资格证号: F03125010 分析师 策略 ...

以下文章来源于巴顿比格斯 ，作者巴顿比格斯 多晶硅方面，日前发改委开会约谈光伏硅企挺价，叠加成本端焦煤价格大幅反弹，当然更重 要的原因是过去两年价格大幅下行，全行业几乎没有企业盈利，叠加多晶硅盘面贴水过大， 市场悲观过度，这就是索罗斯说的价格反身性的问题，价格就是最大的基本面。 巴顿比格斯 . 历史不会重复，但是它自然成韵。 文 | 巴顿比格斯 来源 | 巴顿比格斯 编辑 | 杨兰 审核 | 浦电路交易员 今日焦煤继续大涨，沪铜大涨，广期所品种表现更为抢眼，多晶硅接近涨停，工业硅大涨 4%，碳酸锂上涨3%，最熊的品种居然大涨，这是为何？ 广期所三傻出道即巅峰，大哥工业硅一上市就玩起自由落体，从20000点起步硬是给投资者 表演了波地心引力加强版，最低跌到7000点；二哥多晶硅更绝，从最高45000开始，活像个 高开低走型网红，没撑过三集就跌破成本线。最绝是三弟碳酸锂，带着新能源贵族光环登 场，结果从24万跌到6万，持仓者含泪改编歌词：是谁在耳边说，跌跌不休~ 现在，广期所三傻真的要翻身了吗？ 消息总是走在盘面后面。今天对工业硅影响最大的是硅企主产区减产：新疆硅企突发减产， 工业硅下周产量预期下调。根据市场反馈 ...

Core Insights - The article discusses the concept of term structure and its implications in the futures market, highlighting the hidden secrets it may reveal [1] Group 1: Term Structure - Term structure refers to the relationship between the prices of futures contracts with different expiration dates, which can indicate market expectations and potential price movements [1] - Understanding term structure can provide insights into market sentiment, supply and demand dynamics, and potential investment opportunities [1] - The article suggests that analyzing term structure can uncover valuable information that is not immediately apparent to market participants [1]

Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated March 25, 2025 [1][2] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The commodity sector cross - section has switched, with internal differentiation in the energy and chemical sector, a decline in the agricultural products sector, and the precious metals and non - ferrous sectors remaining relatively strong in the cross - section. Specific sectors show different trends in momentum,持仓量, and term structure [3] Summary by Commodity Categories Overall Commodity Sector - The non - ferrous sector shows upward momentum, while the energy and chemical sector has internal differentiation, the agricultural products sector is down, and the precious metals and non - ferrous sectors are relatively strong. Different sectors have different changes in momentum,持仓量, and term structure indicators [3] Methanol - Strategy net value: The demand factor decreased by 0.23%, the inventory factor decreased by 0.19%, and the synthetic factor weakened by 0.15%. The comprehensive signal this week is neutral. Fundamental factors: The methanol arrival volume gives a long signal, domestic capacity utilization gives a short signal (supply is neutral); methanol - to - olefin plant capacity utilization decreased, acetic acid operating rate increased (demand is neutral); port inventory continued to decrease, and the short - side strength of the inventory factor weakened significantly to neutral; the Inner Mongolia - Shandong regional spread factor gives a long signal, and the spread factor is slightly long [5] Glass - Strategy net value: Last week, the supply factor weakened by 0.20%, the demand factor decreased by 0.19%, the inventory factor decreased by 1.15%, and the synthetic factor weakened by 0.91%. The comprehensive signal this week is short. Fundamental factors: The float glass capacity utilization rate was flat month - on - month (supply is neutral); second - tier city commercial housing transaction data gives a short signal (demand is short); float glass enterprise inventory is relatively high year - on - year (inventory remains short); the domestic float glass market price gives a long signal, but the overall long - side contribution is not high (spread is slightly long) [9] Iron Ore - Strategy net value: The inventory factor weakened by 1.09%, the spread factor remained unchanged, and the synthetic factor weakened by 0.34%. The comprehensive signal this week remains long. Fundamental factors: The iron ore arrival volume at Qingdao Port continued to decline compared with the previous week (supply signal turns neutral); the blast furnace operating rate of 247 steel enterprises increased compared with the previous week (demand signal remains neutral); the inventory of Brazilian iron ore in 31 ports continued to rise (inventory remains long); the spot sales price of Rio Tinto's PB powder at Rizhao Port increased (spread signal remains neutral) [12] Aluminum - Strategy net value: Last week, the supply factor weakened by 0.11%, the demand factor weakened by 0.68%, the inventory factor weakened by 0.12%, the spread factor remained unchanged, and the synthetic factor weakened by 0.20%. The comprehensive signal this week remains long. Fundamental factors: The SMM domestic lead concentrate price continued to rise (supply signal remains long); China's lead alloy exports in March decreased compared with February (demand signal turns short); LME lead registered warrants decreased (inventory turns short); SMM concentrate import profit increased (spread signal is long) [12]