1. Report Industry Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bonds: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending March 27, IH2604 declined 1.37%, IF2604 fell 0.46%, IC2603 rose 1.38%, and IM2603 increased 0.92%. The small - cap style in the market has somewhat recovered, with signs of market cooling and low risk appetite [1]. - In terms of style, the risk of short - term liquidity shocks has risen, causing concerns about economic stagflation and recession, so funds tend to wait and seek safety [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, liquidity 9 points, valuation 11 points, and market sentiment 8 points. For bond futures, the inflation indicator scored 5 points, liquidity 9 points, and market sentiment 6 points [1]. - The annualized basis rates of IF, IC, IM, and IH current - quarter contracts are - 1.05%, - 4.62%, - 7.08%, and - 10.08% respectively. The hedging costs of each variety have increased compared to last week [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, the better - than - expected industrial enterprise profits have a certain boosting effect on the long - term of IC and IF, but the contribution ratio of long - term factors has recently decreased. In the short - term, geopolitical factors have expanded the impact on market liquidity, the medium - and high - frequency real estate market has slightly rebounded, the short - term factors of stock index futures have narrowed in differentiation, showing a continuous decline overall. The risk appetite has marginally recovered to the neutral range compared to last week. The current overall comprehensive signal is neutral and volatile. For bond futures, the capital market remains loose, but institutional allocations are relatively cautious about the long - end. The stock - bond seesaw effect is not significant. The bond market has significantly priced in the inflation expectations caused by geopolitics. The strength of the T position factor is relatively low, while TF has relatively strong support, and the comprehensive signal is also neutral and volatile [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic energy indicators, the weekly increases of blast furnace开工率,开工率 of PTA in China, Shandong refinery开工率,开工率 of automobile tires, and开工率 of downstream looms for polyester filament in the Yangtze River Delta are 0.18%, 0.18%, 6.33%, 66.79%, and 347.36% respectively. The stock index futures score is 6 points, and the bond futures score is 7 points [2]. 3.2 Inflation Indicators - The weekly changes of various inflation - related indicators vary, such as the - 1.38% decline in the vegetable basket product wholesale price 200 index, and the 1.67% increase in the market price of 1 electrolytic copper. The stock index futures score is 7 points, and the bond futures score is 5 points [3]. 3.3 Liquidity - The weekly changes of liquidity - related indicators such as DR007, DR001, etc. are different. The stock index futures score for liquidity is 9 points [4]. 3.4 Index Valuation - The weekly changes of valuation indicators such as PE, PS, etc. are shown, with the stock index futures score being 10 points [5]. 3.5 Market Sentiment - **Stock Index Market Sentiment**: The stock index market sentiment indicators such as margin trading balance have different weekly changes, and the bond futures score is 8 points [6]. - **Bond Market Sentiment**: The bond market sentiment indicators such as the 10 - year CDB bond yield have different weekly changes, and the bond futures score is 6 points [7]. 3.6 Strategy Introduction - **Multi - strategy for Stock and Bond Futures**: The product pool includes stock index futures and bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data. The long - term model focuses on market expectations and macro - economic low - frequency data. The position factor is synthesized based on institutional long and short positions [16]. - **Treasury Bond Futures Cross - variety Arbitrage Strategy**: This strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into level, slope, and curvature. The signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread change trend or maintain oscillation), '- 1' (large spread may increase). The trend regression model is used to filter signals. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [20]. 3.7 Signal and Performance Data - **Multi - strategy Signal**: The short - term, long - term, and comprehensive signals of IF, IH, IC, IM, T, and TF are provided, along with relevant trading rules [17]. - **Last Week's Performance**: The data from March 23 to 27, 2026, shows that the positions of all contracts were 0 [19]. - **Treasury Bond Futures Cross - variety Arbitrage Signal**: The N - S model and trend regression model signals of TF and T main contracts from March 23 to 27, 2026, are presented [23].

1. Report Industry Investment Ratings - Stock index: ☆☆☆ - Treasury bonds: ☆☆☆ [1] 2. Core Views of the Report - Market cools with a decline in risk preference, and the large - cap style is dominant. The risk of short - term liquidity shock rises. The current overall comprehensive signal is neutral and volatile [1]. - For stock index futures, long - term factors have a certain boosting effect on IC and IM, but their contribution has decreased recently. Short - term factors show a slight decline. For Treasury bond futures, the capital situation remains loose at the beginning of the year, but institutional allocation is slow, and the stock - bond seesaw effect is significant [1]. 3. Summary by Relevant Catalogs 3.1 Macroeconomic Fundamental Medium - High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rates and PTA operating rates have different changes. The stock index futures score is 6, and the Treasury bond futures score is 7 [2]. 3.2 Inflation Indicators - Various inflation - related indicators have different weekly changes. The stock index futures score is 7, and the Treasury bond futures score is 5 [3]. 3.3 Liquidity - Liquidity - related indicators such as DR007 and DR001 have different changes. The stock index futures score is 9 [4]. 3.4 Index Valuation - Index valuation indicators like PE, PS, and others have different changes. The stock index futures score is 10 [5]. 3.5 Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balances and trading volumes have different changes. The Treasury bond futures score is 9 [6]. 3.6 Market Sentiment: Bond - Bond - related market sentiment indicators such as government bond yields and volatility indices have different changes. The Treasury bond futures score is 6 [7]. 3.7 Strategy Introduction - The product pool includes stock 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 focusing on low - frequency macroeconomic indicators [15]. 3.8 Prediction Signals - As of last Friday, different models (short - term, long - term, and based on position) of various contract main forces (IF, IH, IC, IM, T, TF) have corresponding signals, and the comprehensive signals are calculated by weighted synthesis [16]. 3.9 Last Week's Situation - From March 9 - 13, 2026, the trading situations of various contract main forces (IF, IH, IC, IM, T, TF) are recorded [18]. 3.10 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. It uses the Nelson - Siegel model to decompose the yield curve and combines PCA and logistic regression. The actual operation uses a 1:1.8 ratio for 10 - 5Y spread adjustment [19]. 3.11 Market Quotes and Trading Signals - For TF and T main contracts from March 9 - 13, 2026, the N - S model signals and trend regression model signals are recorded [22]

Group 1: Core Insights - The report emphasizes the complexity of classifying CTA strategies due to the diverse sub-strategies and their varying configurations used by managers [3][8][12] - It identifies that the performance of CTA strategies is closely linked to market environment characteristics, including volatility, trend strength, and market dynamics [4][19][20] Group 2: Market Environment Suitability - Single CTA sub-strategies cannot perform well in all market conditions, and their effectiveness varies with market characteristics [4][19] - The report highlights that higher market volatility generally provides more trading opportunities for CTA strategies [20][26] Group 3: Future CTA Allocation Value - The report suggests that rising inflation expectations combined with increasing volatility will benefit CTA performance, particularly in light of potential interest rate cuts by the Federal Reserve [5][44][50] - It notes that global financial vulnerabilities are increasing, enhancing the significance of CTA allocations in multi-asset portfolios [51][53] Group 4: CTA Sub-Strategy Configuration Outlook - The report forecasts a favorable risk-reward ratio for medium to short-term strategies in 2026, given the anticipated market conditions influenced by inflation and macroeconomic policies [5][54][57] - It discusses the expected performance of various CTA sub-strategies, indicating that short-term strategies may benefit from increased volatility while long-term strategies may face challenges during geopolitical or crisis events [54][57]

Core Viewpoint - The article discusses the impact of geopolitical tensions in the Middle East on capital markets, particularly highlighting the surge in safe-haven assets like gold, silver, and oil due to the recent escalation in conflict between Israel and Iran [2]. Group 1: Market Performance - On March 2, COMEX gold surged over 3%, reaching $5,400 per ounce, nearing its historical high of $5,626.8 per ounce set in January [2]. - In 2025, the average return for 490 CTA strategy products was 23.98%, outperforming popular quantitative stock strategies over the past five years [2]. Group 2: CTA Strategy Benefits - CTA strategies primarily invest in futures and options, capturing market trends and arbitrage opportunities, with gold being a common investment target due to its price volatility driven by macroeconomic factors [4]. - The upward trend in gold prices, influenced by macroeconomic conditions and geopolitical risks, aligns with the objectives of CTA strategies, which are designed to capitalize on such trends [4][7]. Group 3: Notable CTA Products - The article highlights several standout CTA products over the past five years, including "宏锡量化CTA32号," "钧富湖畔7号," "熠道丰盈一号," and "均成博孚利1号," each demonstrating significant returns and strategic adaptations to market conditions [8][10][13][17][19]. - "钧富湖畔7号" underwent strategy changes in 2023 and 2024, transitioning from pure bond strategies to a composite strategy and then to a quantitative CTA strategy, resulting in a consistent upward trend in net value [15].

Report Industry Investment Rating - The investment rating for stock index futures is ★★★, and for treasury bond futures is ★★★ [1] Core View - As of the week ending January 9, all four major stock index futures rose, with IH2601 up 3.60%, IF2601 up 3.17%, IC2601 up 8.49%, and IM2601 up 7.66%. There is a certain pressure for market correction, but market sentiment may remain resilient. The financial derivatives quantitative CTA strategy's net value rose 0.35% last week. The short - cycle of treasury bonds rebounded at the beginning of the year, and the stock - bond seesaw effect was significant [1] Summary by Related Catalogs Macro - fundamental Medium - high - frequency Factor Scores - Among economic kinetic energy indicators, the weekly changes of blast furnace开工率,开工率 of PTA in China, etc. varied, with some rising and some falling. The stock index futures score was 7, and the treasury bond futures score was 8 [2] Inflation Indicators - Different inflation - related product prices showed various weekly changes. For instance, the vegetable basket product wholesale price 200 index fell 0.57%, while the CITIC coking coal industry index rose 3.26%. The stock index futures score was 8, and the treasury bond futures score was 7 [3] Liquidity - Liquidity - related indicators such as DR007, DR001, etc. had different weekly changes. The stock index futures score for liquidity was 9 [4] Index Valuation - Index valuation indicators like PE (TTM), PS (TTM) rose, while the dividend yield (last 12 months) fell. The stock index futures score was 11 [5] Market Sentiment: Stock Index - Stock - market sentiment indicators like margin trading balance, A - share trading volume on the Shanghai Stock Exchange showed different changes. The stock index futures - related market sentiment score was 9 [6] Market Sentiment: Bond - Bond - market sentiment indicators such as the yield of 10 - year government bonds, 500 volatility index had different weekly changes. The treasury bond futures score was 5 [7] Strategy Introduction (Financial Futures Allocation Strategy) - The strategy aims to achieve stable net - value growth by using a multi - strategy model to allocate contracts in the financial futures market. The short - cycle model focuses on high - frequency financial data, and the long - cycle model focuses on low - frequency macroeconomic data [15] Forecast Signals and Last Week's Situation - The comprehensive signals of different futures contracts were calculated by weighted synthesis of three independent models. Last week, the trading signals of different futures contracts on different dates mostly showed 0 [16][18] Treasury Bond Futures Cross - variety Arbitrage Strategy - The strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the Nelson - Siegel instantaneous forward - rate function. The actual operation uses a 1:1.8 ratio for 10 - 5Y spread adjustment [19] Market Quotes and Trading Signals - The trading signals of TF and T main contracts from January 5 to January 9, 2026, were mainly 0, with a single 1 for the N - S model signal on January 7 [22]

Group 1: Report Industry Investment Ratings - Stock Index: ☆☆☆ [1] - Treasury Bond: ☆☆☆ [1] Group 2: Core Viewpoints of the Report - As of the week ending December 12th, the A - share market showed a structured and volatile trend. The average daily trading volume of the whole market was 1.95 trillion yuan, an increase of nearly 260 billion yuan compared with the previous week. The three major indexes showed different trends, with the Shanghai Composite Index falling 0.34%. There was relatively limited information on short - term incremental policies and economic data, and market structural characteristics emerged [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 6 points [1]. - In terms of term structure, the weighted annualized basis rates (dividend - adjusted) of the ending positions of IH, IF, IC, and IM were 0.33%, - 2.32%, - 4.16%, and - 9.95% respectively, and the discount of far - month contracts widened again [1]. - The net value of the quantitative CTA strategy for financial derivatives did not change last week. In the long - term, although the social financing data slightly exceeded expectations, the credit data such as M1 and M2 showed sub - seasonal declines and were lower than expected. The credit factor put pressure on stock index futures, with a relatively large decline in IC. In the short - term, the high - frequency real estate and consumption sectors were still weak. The RMB continued to appreciate against the US dollar, and the capital situation remained relatively loose, but the short - term increase was relatively limited. In terms of positions, the risk appetite significantly recovered compared with the previous week. IF and IH remained relatively neutral, while IC and IM had relatively large declines. The overall comprehensive signal was in the neutral range. For bond futures, the capital situation remained loose. After a short - term rise, the positions of bond futures significantly declined. The stock - bond seesaw effect shrank, and the bond market was insensitive to fundamental feedback. The position factor of TF slightly declined, and institutional year - end allocation behavior was relatively cautious. The comprehensive signal was in a neutral and volatile state [1]. Group 3: Summary According to Relevant Catalogs 3.1 Macro - fundamental High - frequency Factor Scores - For economic kinetic energy indicators, including blast furnace开工率, PTA开工率, etc., different indicators showed different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The scores for stock index futures and bond futures were both 8 points [2]. 3.2 Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal, etc. had different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The scores for stock index futures and bond futures were both 8 points [3]. 3.3 Liquidity Indicators - Liquidity - related indicators such as DR007, DR001, etc. had different weekly changes, numerical values, historical quantiles, and correlations with stock and bond indexes. The score for stock index futures was 9 points [4]. 3.4 Index Valuation - Index valuation indicators such as price - to - earnings ratio, price - to - sales ratio, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the stock index. The score for stock index futures was 10 points [5]. 3.5 Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balance, northbound capital inflow, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the stock index. The score for bond futures was 9 points [6]. 3.6 Market Sentiment: Bond - Bond - related market sentiment indicators such as the yield of 10 - year government - developed bonds, the VIX index, etc. had different weekly changes, numerical values, historical quantiles, and correlations with the bond index. The score for bond futures was 6 points [7]. 3.7 Strategy Introduction (Quantitative CTA Strategy) - The product pool includes stock index futures and bond futures. The short - term model focuses on market style, external factors, and capital - related high - frequency financial data. The long - term model focuses on market expectations and macro - economic low - frequency indicators. The position data is synthesized considering institutional long and short positions [15]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 less than or equal to 0.4 are considered for short positions. Signals are shielded 7 days before the delivery date. The stop - loss point is set at a daily decline of more than 1%, with equal - weighted allocation of capital. Consecutive two - day same - direction signals are shielded [16][17]. 3.8 Last Week's Situation - The data of IF, IH, IC, IM, T, and TF main contracts from December 8th to 12th, 2025 were all 0 [18]. 3.9 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 factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. The three - factor model is constructed using PCA, factor rotation, and logistic regression, with signals divided into three types: '1', '0', and '- 1'. The trend regression model is used to filter signals, and trading is carried out when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [19]. 3.10 TF and T Main Contract Trading Signals - From December 8th to 12th, 2025, the N - S model and trend regression model signals of TF and T main contracts showed different situations [22].

Core Insights - The article highlights the rapid growth of quantitative private equity firms, with 852 firms established by November 14, 2025, and 135 new firms founded in the last five years, representing approximately 16% of the total [2][3] - New quantitative private equity firms have shown impressive average returns of 21.11% over the past six months and 36.05% over the past year, significantly outperforming older firms established before November 14, 2020 [2][3] Group 1: Market Overview - As of November 14, 2025, the majority of the 135 new quantitative private equity firms were established between 2021 and 2022, accounting for nearly 90% of the total [2] - The largest segment of private equity firms falls within the 0-5 billion range, with 88 firms, while only 5 firms have surpassed the 100 billion mark [3][4] Group 2: Performance Metrics - Among the new firms, the top 10 in terms of performance over the past six months include 京盈智投, 龙吟虎啸, and 海南磊喧私募, with a minimum return threshold of ***% to qualify for the ranking [9][12] - 京盈智投 has been particularly notable, leading both the six-month and one-year performance rankings with returns of ***% [10][12] Group 3: Strategy and Location - The majority of new quantitative private equity firms focus on stock strategies, with 82 firms, while futures and derivatives strategies have 28 firms, and multi-asset strategies have 17 firms [4] - Most of these firms are located in major cities like Shanghai (57 firms), Beijing (28 firms), and Shenzhen (18 firms), indicating a concentration in key financial hubs [4] Group 4: Notable Firms and Management - The top five firms with over 100 billion in assets under management, all established in 2022, include 齐家私募, 北京正定私募, 上海睿量私募, 磐松资产, and 上海波克私募 [3][6] - 京盈智投, founded in April 2021, is led by谢黎博, who has extensive experience in quantitative investment, and focuses on futures and derivatives strategies [10][12]

Group 1 - The 2025 Global Futures Traders Conference and the 19th National Futures (Options) Real Trading Competition attracted nearly 170,000 traders, with 196 outstanding participants emerging after months of competition [1] - The competition has evolved beyond a simple contest to become a core platform connecting market demand, talent cultivation, and industry ecosystem development, fostering a multi-win ecological value chain [2][3] - The competition serves as a mirror reflecting the dynamics and needs of traders, showcasing the evolution of trading behaviors and the modern risk management market [2][3] Group 2 - The futures industry is tasked with high-quality development and the creation of a specialized talent pool to provide efficient risk management services for the real economy [3] - The competition assists futures companies in grasping market trends and pressures them to innovate in technology and services, acting as a comprehensive stress test for their capabilities [3] - The event is positioned as a historical mission to promote the healthy development of the futures market, with future iterations expected to incorporate financial technology and artificial intelligence [3] Group 3 - The competition is recognized as a significant platform for observing market dynamics and driving industry innovation, having been held for 19 years [4] - The event provides an opportunity for futures companies to showcase their professional service capabilities and attract talented traders, enhancing brand recognition [5] - The competition is seen as a microcosm of the Chinese futures market, facilitating the exchange of diverse trading styles and strategies, and promoting overall improvement in derivative trading levels [6] Group 4 - Gold has become a focal point for traders, with significant central bank actions supporting its price increase, and a structural low allocation in asset management portfolios indicating potential for future growth [7] - The market dynamics suggest that gold's bullish trend is likely to continue unless significant geopolitical or monetary policy changes occur [7] - The recognition of the importance of understanding market logic and personal risk tolerance is emphasized as crucial for successful trading strategies [8] Group 5 - The CTA strategy is characterized by low correlation with traditional assets, providing a diversified source of returns and opportunities in both bull and bear markets [9] - The recent shift from a tightening to a loosening monetary policy environment is favorable for trading strategies, particularly for CTA products [9] - The performance of CTA products has shown a diversification in sources of returns across various sectors, including equities, bonds, and commodities [9]

Core Viewpoint - Since 2025, global gold assets have maintained a strong market driven by three main factors: a phase of declining real interest rates, persistent geopolitical risks and uncertainty in U.S. domestic policies, and continued buying by global central banks, particularly from emerging economies [2][3]. Group 1: Market Dynamics - The decline in global real interest rates is influenced by the U.S. fiscal deficit and long-term debt structure, making it difficult for real rates to rise further, while persistent inflation enhances long-term demand for gold [2]. - Geopolitical risks, including conflicts in the Middle East and deteriorating security in Europe, along with uncertainties following the Trump administration's policies, have structurally increased demand for safe-haven assets like gold [2]. - Central banks remain the largest buyers of gold, with emerging market central banks continuing to purchase gold, providing long-term support for gold prices [3]. Group 2: Policy Impact - Recent tax policy adjustments in China regarding gold transactions mark a significant structural change in the gold market, effective from November 1, 2025, to December 31, 2027, affecting standard gold transactions [5][6]. - The new tax policies aim to clarify the tax burden and usage of gold, impacting costs for off-exchange gold, price differentials, retail premiums, and the structure of futures and ETFs, rather than directly altering domestic gold prices [6]. - Gold ETFs are expected to be the most affected by the new policies, as the attractiveness of physical gold for secondary sales diminishes, while virtual gold instruments like paper gold and ETFs remain unaffected by the VAT adjustments [10]. Group 3: Investment Strategies - The high beta sensitivity of gold assets to macroeconomic trends makes them a preferred choice for quantitative CTA, multi-asset strategies, and discretionary long strategies [5]. - The stricter regulations on gold withdrawal and usage declarations may lead to a decrease in arbitrage scale in futures, potentially increasing price volatility and enhancing the correlation of futures with international gold prices during trending markets [10].

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].