1. Report Industry Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending July 4, the stock index continued to rise, with the steel sector leading the gains and the computer sector leading the losses. The margin trading balance increased by 18.928 billion yuan. The stock market is currently supported by loose liquidity and risk appetite, and the overall trading volume continues to recover. Attention should be paid to the change in the US dollar trend, as the stock index may face correction pressure [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 5 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 8 points. For bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 8 points. In terms of the term structure, the basis in July gradually converged but remained at a relatively high level and was still affected by the dividend season, with the convergence of the discount being slow [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.85% last week, mainly due to going long on T on Wednesday and intraday long on IC on Friday. In the long - term, both the Caixin and official PMIs improved marginally, which significantly boosted IC and IM, while T declined to some extent. In the short - term, as the US dollar oscillated downward, the pressure on spreads and exchange rates decreased, and the liquidity supported both stocks and bonds, with its influence weight continuously increasing [1]. - In terms of open interest, the overall market risk appetite first rose and then fell. The signal strength of IC and IM remained high, while that of IF and IH decreased slightly compared to last week. The comprehensive signal was neutral and oscillating. For bond futures, the liquidity at the beginning of the month was still relatively loose, and the open interest factor showed a sign of marginal weakening after recovery, indicating that institutions were still waiting for the right time to allocate after adjustment. The comprehensive signal was also neutral and oscillating [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental High - frequency Factor Scores 3.1.1 Economic Momentum - The blast furnace operating rate increased by 1.80% to 44.97, with a historical quantile of 0.34, an index moving correlation of - 0.06, and a treasury bond moving correlation of - 0.88. The PTA operating rate in China increased by 1.80% to 79.13, with a historical quantile of 0.34, an index moving correlation of 0.01, and a treasury bond moving correlation of - 0.53. The refinery operating rate in Shandong decreased by 2.32% to 44.97, with a historical quantile of 0.01, an index moving correlation of - 0.56, and a treasury bond moving correlation of - 0.34. The operating rate of all - steel tires increased by 1.05% to 63.75, with a historical quantile of 0.43, an index moving correlation of 0.15, and a treasury bond moving correlation of - 0.52. The operating rate of downstream looms for polyester filament in the Jiangsu and Zhejiang regions decreased by 6.98% to 58.09, with a historical quantile of 0.57, an index moving correlation of - 0.44, and a treasury bond moving correlation of 0.81. The stock index futures score was 7, and the bond futures score was 0 [2]. 3.1.2 Inflation Indicators - Multiple inflation - related indicators such as the vegetable basket product wholesale price index, the coking coal index, and the price of electrolytic copper showed varying degrees of weekly changes. The stock index futures inflation score was 7, and the bond futures inflation score was 8 [3]. 3.1.3 Liquidity - Liquidity - related indicators such as DR007, DR001, and the US dollar index all changed last week. The stock index futures liquidity score was 5 [4]. 3.1.4 Index Valuation - Index valuation indicators such as PE, PS, and dividend yield showed different changes. The stock index futures valuation score was 10 [5]. 3.1.5 Market Sentiment - For the stock market, indicators such as margin trading balance and northbound capital inflows showed different trends. The stock index futures market sentiment score was 8. For the bond market, indicators such as the yield of 10 - year CDB bonds and the S&P 500 volatility index also showed different trends, and the bond futures market sentiment score was 8 [6][7]. 3.2 Strategy Introduction - The product pool includes 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 liquidity, while the long - term model focuses on market expectations and macro - economic data. Open interest is synthesized by considering institutional long and short positions [17]. 3.3 Forecast Signals and Historical Data - As of last Friday, the short - term model, open interest indicator, long - term model, and comprehensive signals for IF, IH, IC, IM, T, and TF were provided. The comprehensive signal strength is weighted by three independent models (0 - 1). The trading rules include principles for going long and short, signal shielding during the delivery period, stop - loss points, and capital allocation [18]. - The trading signals of IF, IH, IC, IM, T, and TF from June 30 to July 4, 2025, were presented, along with the net value tracking data [20]. 3.4 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factors use the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into three parts: level, slope, and curvature. The model uses PCA, factor rotation, and logistic regression to construct the three - factor model, with signals divided into three categories. The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. - The trading signals of the TF and T main contracts from June 30 to July 4, 2025, were provided [24].