Report Industry Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending October 31, index futures rose, with this week showing differentiation. IH2511 decreased by 0.89%, while IC2511 and IM2511 increased by 1.47% and 1.31% respectively. The basis of large - and small - cap index futures showed differentiation last week, reflecting investors' trading divergence. The valuation of the Shanghai Stock Exchange 50 Index is in the high historical quantile range [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.92% last week, with the gain coming from opening a long position in IC on Wednesday and closing it intraday. In the long - term, the PMI unexpectedly declined, which has a negative impact on IF and IM. In the short - term, the real estate and consumption data remain weak, the exchange rate is in a low range, and the capital situation remains relatively loose, showing a short - term low - level rebound [1]. - In terms of positions, IC and IM increased marginally, while IF and IH remained neutral. The overall market risk appetite decreased compared to the beginning of the week, and the overall comprehensive signal is in a neutral oscillation. For treasury bond futures, the capital situation remains loose, the market risk appetite is conducive to bond market recovery, the stock - bond seesaw effect is significant, the position factor rebounded, but institutions are still cautious about allocation, and the comprehensive signal is above neutral [1]. Summary by Related Content Macro - fundamental High - frequency Factor Scores - **Economic Momentum**: The blast furnace operating rate and PTA operating rate increased by 1.37%, while the refinery operating rate in Shandong decreased by 1.18%, and the all - steel tire operating rate decreased by 0.02%. The operating rate of downstream looms for polyester filament in the Jiangsu and Zhejiang regions increased by 6.46%. The index futures score was 7, and the treasury bond futures score was 0 [2]. - **Inflation Indicators**: The vegetable basket product wholesale price index increased by 1.20%, while the coking coal index decreased by 0.91%. The market price of 1 electrolytic copper decreased by 0.57%. The South China Styrene Index decreased by 0.08%. The CIF price of liquefied natural gas in China remained unchanged. The compound fertilizer index increased by 2.61%. The settlement price of natural rubber decreased by 0.88%. Both index futures and treasury bond futures scored 8 [3]. - **Liquidity**: DR007 increased by 3.13%, while DR001 decreased by 0.28%. The weighted average of GC001 decreased by 3.13%, and that of GC007 decreased by 5.85%. SHIBOR overnight increased by 0.08%, and SHIBOR 1 - week increased by 1.77%. The US dollar index increased by 0.80%. The inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The index futures score was 9 [4]. - **Index Valuation**: The price - earnings ratio (TTM) decreased by 3.33%, the price - sales ratio (TTM) decreased by 1.60%, the dividend yield (last 12 months) increased by 0.72%, and the price - cash - flow ratio (operating cash flow TTM) increased by 6.28%. The index futures score was 10 [5]. - **Market Sentiment (Index)**: The margin trading balance increased by 1.19%, the short - selling balance increased by 0.63%. The net purchase amount of northbound funds was unchanged at - 67.75, and the selling amount was unchanged at 494.16. The trading volume of A - shares on the Shanghai Stock Exchange increased by 23.53%. The treasury bond futures score was 9 [6]. - **Market Sentiment (Bond)**: The yield to maturity of 10 - year China Development Bank bonds decreased by 3.51%, the S&P 500 Volatility Index increased by 6.54%. The credit spread (median) of all industrial bonds remained unchanged. The trading volume of the Shanghai Treasury Bond Index decreased by 3.79%. The treasury bond futures score was 8 [7]. Strategy Introduction - The product pool includes index futures and treasury bond futures. The goal is to use a multi - strategy model to allocate contracts in the financial futures market for stable net value growth. The short - term model focuses on market style, external factors, and capital flow, while the long - term model focuses on market expectations and macro - economic data. The position is calculated based on institutional long and short positions [16]. Prediction Signals - According to the short - term model, the prediction signals for IF, IH, IC, IM, T, and TF were 0.51, 0.51, 0.52, 0.53, 0.53, and 0.52 respectively. The position indicators were all 0. According to the long - term model, the signals were 0.52, 0.51, 0.52, 0.53, 0.5, and 0.51 respectively. The comprehensive signals were 0.53, 0.51, 0.53, 0.52, 0.52, and 0.51 respectively [17]. Last Week's Situation - From October 27 to October 31, 2025, the signals for IF, IH, IC, IM, T, and TF were mostly 0, except that IC had a signal of 1 on October 29 [19]. Treasury Bond Futures Cross - variety Arbitrage Strategy - **Strategy Introduction**: 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 level, slope, and curvature. The signals are divided into three types: '1' (the spread may decrease), '0' (the spread trend is uncertain or oscillating), and '-1' (the spread may increase). The trend regression model is used to filter signals, and trades are made when there is resonance. In practice, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [20]. - **Market Quotes and Trading Signals**: From October 27 to October 31, 2025, the N - S model and trend regression model signals for TF and T were mostly 0, except that the N - S model signal for TF and T was - 1 on October 28 [23].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market is in an upward trend, with electronics and non - bank finance contributing to the rise of major indices. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. For bond futures, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The commodity market has seen the profitability of term structure and trend momentum factors weaken, while volatility, term basis, and warehouse receipt factors have performed well [3][55][77]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking - **Market Review**: The market is on an upward trend. Electronics and non - bank finance contribute to the rise of CSI 300, SSE 50, and CSI 500 indices, while electronics and power equipment contribute to the rise of CSI 1000 index. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. IC and IM remain in a contango state [3]. - **Basis Strategy Recommendation**: Due to market sentiment, the basis of each variety has strengthened significantly. In the case of increased market volatility, the impact of market sentiment on the basis increases. For inter - period positive spreads, beware of the risk of large - scale fluctuations in the basis of far - month contracts caused by market speculation. The inter - period momentum signal recommends IC inter - period positive spreads, and the IM inter - period signal turns to reverse spreads. The roll - over strategy recommends holding near - month contracts to avoid short - term basis fluctuations caused by market conditions [3]. - **Arbitrage Strategy Tracking**: In the inter - period arbitrage strategy, the net value of the strategy last week showed mixed results. The annualized basis rate factor made a profit of 0.8%, while the positive spread and momentum factors lost 1.6% and 1.4% respectively (6 - times leverage). The annualized basis rate factor mostly gave reverse spread signals. The net value of the inter - variety arbitrage time - series synthetic strategy lost 0.5% last week, with losses mainly contributed by IF/IH and IC/IM pairings, and the IC/IF pairing made a profit. The latest inter - variety signal recommends a 100% position to go long on IC and short on IF, and a 50% position to go long on IM and short on IC [4]. - **Timing Strategy Tracking**: All models of the daily timing strategy lost last week. The single - factor equal - weight, OLS, and XGB models made a profit of 0.1%, lost 1.6%, and lost 0.8% respectively. The latest signal of the timing model shows that the bullish signal has strengthened. The XGB model is bullish on CSI 300 and CSI 500, and bearish on SSE 50 and CSI 1000. The OLS model is bullish on SSE 50, CSI 300, and CSI 500, and bearish on CSI 1000 [5]. 3.2 Treasury Bond Futures Quantitative Strategy - **This Week's Strategy Focus**: In terms of basis and inter - period spreads, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The subsequent positive spread space is limited, and the inter - period spread is expected to oscillate. The interest rate timing signal predicts an upward interest rate, and it is recommended to choose high - duration varieties for hedging. The multi - factor timing strategy signal is neutral. The inter - variety arbitrage strategy signals for TS - T and T - TL are both bullish. The credit bond neutral strategy currently holds the 1 - 3 - year index with reduced duration and hedges with treasury bond futures [55]. 3.3 Commodity CTA Factor and Tracking Strategy Performance - **Commodity Factor Performance**: Last week, the domestic commodity market generally continued the previous week's trend. The number of rising and falling futures products was basically half and half, and the overall risk preference slightly increased. The profitability of term structure and trend momentum factors continued to weaken and declined slightly last week. The best - performing factors were volatility, term basis, and warehouse receipt factors. In the short term, pay attention to the callback of CTA strategy returns caused by trend reversals [77]. - **Tracking Strategy Performance**: Different strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.58, a Calmar ratio of 1.06, a maximum drawdown of - 8.81%, a return of 0.39% in the recent week, and a return of 1.44% since this year [78].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The market showed an upward trend last week, with different sectors contributing to the gains of various stock indices. The trading volume of each futures variety decreased month - on - month, and the basis weakened. IC and IM maintained a deep discount state. The report continues to recommend a positive arbitrage direction for cross - period arbitrage and roll - over operations [3][4]. - The performance of commodity factors was mixed last week. The price - volume trend factors declined slightly, the term structure factors rose slightly, and the basis and warehouse receipt factors fell slightly. The report is still optimistic about the performance of commodity CTA this year [80]. - For Treasury bond futures, the basis fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests paying attention to the positive arbitrage and cross - period positive arbitrage strategies of Treasury bond futures [60]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market rose, with electronics and non - bank finance contributing to the rise of the CSI 300 Index, banks and electronics to the SSE 50 Index, electronics and non - ferrous metals to the CSI 500 Index, and electronics and communications to the CSI 1000 Index [3]. - The trading volume of each variety decreased month - on - month, and the basis weakened. IC and IM remained deeply discounted [4]. 3.1.2 Basis Strategy Recommendation - The basis fluctuated, and IC and IM maintained a deep discount. The current basis environment is driven by neutral short - hedging demand. The report recommends a right - side approach for cross - period arbitrage and roll - over, maintaining a long - near and short - far positive arbitrage direction [4]. 3.1.3 Arbitrage Strategy Tracking - In cross - period arbitrage, the net value of each strategy was flat last week. The annualized basis rate, positive arbitrage, and momentum strategies had profits of 0.3%, 0.5%, and 0.5% respectively [5]. - The signal of the cross - variety arbitrage timing strategy turned to long small - cap and short large - cap. The synthetic strategy had a profit of 0.2% last week. The latest signals suggest a 50% position for long IC and short IF in the IC/IF strategy and a 100% position for long IM and short IC in the IM/IC strategy. The cross - variety arbitrage cross - section strategy had a loss of 0.14% last week [6]. 3.1.4 Timing Strategy Tracking - The performance of the daily timing strategy models was differentiated last week. The single - factor equal - weight, OLS, and XGB models had losses of 0.5%, a profit of 0.1%, and a loss of 1.3% respectively. The latest signals from the OLS model are bearish on all indices, while the XGB model is bearish on the SSE 50, CSI 300, and CSI 500 and bullish on the CSI 1000 [7]. 3.2 Treasury Bond Futures 3.2.1 Strategy Focus This Week - In terms of basis and cross - period spread, the basis of Treasury bond futures fluctuated narrowly, and the cross - period spread rebounded slightly. The capital interest rate continued to decline. The report suggests continuing to pay attention to the positive arbitrage and cross - period positive arbitrage strategies [60]. - For the futures timing strategy, the net value of the multi - factor timing strategy fluctuated this week. The strategy signals are mostly bullish, with main bullish factors including basis and high - frequency factors [60]. - For the futures cross - variety arbitrage strategy, the latest signals of the TS - T and T - TL strategies are bearish [60]. - For the credit bond neutral strategy, the current credit bond duration rotation and hedging strategy holds the 3 - 5 - year index with a longer duration in the cash bond and conducts Treasury bond futures hedging [60]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - The domestic commodity market was differentiated last week. The decline of the US dollar index and the increasing expectation of the Fed's interest rate cut promoted the rise of precious metals, crude oil, and metal futures. The black - series commodities rose due to the rebound of coking coal prices and expected policy support. The performance of commodity factors was mixed, with price - volume trend factors slightly declining, term structure factors slightly rising, and basis and warehouse receipt factors slightly falling [80]. 3.3.2 Tracking Strategy Performance - The CWFT strategy had an annualized return of 10.0%, a Sharpe ratio of 1.69, a Calmar ratio of 1.13, and a maximum drawdown of - 8.81%. The return last week was 0.00%, and the return since this year was 2.93% [81]. - The C_frontnext & Short Trend strategy had an annualized return of 12.4%, a Sharpe ratio of 1.88, a Calmar ratio of 1.84, and a maximum drawdown of - 6.72%. The return last week was 0.69%, and the return since this year was 2.55% [81]. - Other strategies also had their respective performance indicators as detailed in the report [81].