2026年3月2日 周度报告 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截至2月27日当周，期指继续上涨，IH2603上升0.63%， IF2603上升1.96%，IC2603上升4.41%，IM2603上升 4.22%。市场降温特征显现，风险偏好有所回落，但整体资 金面仍有支撑。风格维度上，市场轮动节奏加快，大盘风格 边际回升。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标8分，估值指标12分，市场情绪指标9分。期债 方面，通胀指标7分，流动性指标9分，市场情绪指标6分。 期限结构方面，IF、IC、IM和IH当季合约的年化基差率分 别为 2.81%、0.35%、-2.92%、-6.45%，IC和IM继续 位于基差历史偏低位置。 p 金融衍生品量化CTA策略上周净值上升0.95%，收益来源 为周二做多IC并平仓。长周期方面，信贷数据超季节性回升， 对于IC和IM影响幅度更大。 ...

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Views of the Report - As of the week ending January 23, index futures showed divergence. IH2601 decreased by 1.48%, IF2601 decreased by 0.18%, IC2601 increased by 5.49%, and IM2601 increased by 4.14%. Market sentiment declined slightly, with large-cap stocks under pressure, while risk appetite for small- and mid-cap stocks remained high. The possibility of a style shift is gradually increasing as the capital structure evolves [1]. - From the high-frequency macro fundamental factor scores, for index futures, the inflation indicator scored 7 points, the liquidity indicator scored 8 points, the valuation indicator scored 12 points, and the market sentiment indicator scored 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 5 points [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.29% last week, with the profit coming from shorting and closing TF on Thursday. In the long term, the supply and demand sides showed divergence. Social retail sales and real estate investment were slightly below expectations, but the decline in index futures was not significant. In the short term, high - frequency real estate sales indicators were still weak, the RMB remained strong against the US dollar, and the capital situation remained relatively loose. The short - term divergence narrowed, and the contribution weight decreased. In terms of open interest, risk appetite remained high but declined marginally compared to the previous week, with a slight decrease in IC and IM. The current overall composite signal is still above the neutral range. For Treasury bond futures, the capital situation remained loose at the beginning of the year, and the short - term trend rebounded. The stock - bond seesaw effect was still significant, and the bond market was less sensitive to fundamental feedback. TF and T showed divergence in the open - interest factor, and the composite signal was neutrally oscillating, with TF relatively stronger [1]. 3. Summary by Relevant Catalogs 3.1 Macro Fundamental Medium - and High - Frequency Factor Scores - Economic momentum: Different indicators such as blast furnace operating rate, PTA operating rate, etc., showed various weekly changes, historical quantiles, and correlations with index and Treasury bond futures. The index futures score was 7, and the Treasury bond futures score was 8 [2]. 3.2 Inflation Indicators - Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., had different weekly changes, historical quantiles, and correlations with index and Treasury bond futures. Both index futures and Treasury bond futures scored 7 [3]. 3.3 Liquidity - Liquidity - related indicators such as DR007, DR001, etc., showed different weekly changes, historical quantiles, and correlations with index and Treasury bond futures. The index futures score was 8 [4]. 3.4 Index Valuation - Index valuation indicators including PE, PS, etc., had specific weekly changes, historical quantiles, and correlations with index futures. The index futures score was 11 [5]. 3.5 Market Sentiment: Index Futures - Market sentiment indicators for index futures such as margin trading balance, northbound trading net inflow, etc., showed various weekly changes, historical quantiles, and correlations with index futures. The index futures score was 9 [6]. 3.6 Market Sentiment: Bond Futures - Market sentiment indicators for bond futures such as the 10 - year CDB bond yield, VIX, etc., showed different weekly changes, historical quantiles, and correlations with Treasury bond futures. The Treasury bond futures score was 5 [7]. 3.7 Strategy Introduction - The strategy's product pool includes index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital - related high - frequency financial data, while the long - term model focuses on market expectations and macroeconomic data. Open interest is synthesized based on institutional long - and short - position open interest [16]. 3.8 Forecast Signals as of Last Friday - The composite signal strength is weighted by three independent models (0 - 1). The principle is to go long on the top 2 contracts with a composite signal strength of at least 0.6 and go short on the bottom 2 contracts with a composite signal strength of at most 0.4. Open - interest signals are blocked 7 days before delivery. The stop - loss point is set at a daily decline of more than 1%, and funds are allocated equally. Consecutive two - day same - direction signals are blocked [17][18]. 3.9 Last Week's Situation - From January 19 to January 23, 2026, the signals of IF, IH, IC, IM, T, and TF main contracts showed different values. TF had a - 1 signal on January 22 [19]. 3.10 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 three parts. The model uses PCA, factor rotation, and logistic regression. Signals are divided into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. 3.11 Market Quotes and Trading Signals - For TF and T main contracts, from January 19 to January 23, 2026, the N - S model signals and trend regression model signals showed different values [23].

Report Investment Ratings - Index futures: ☆☆☆ - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week of January 16th, index futures showed divergence, with IH2601 down 1.58%, IF2601 down 0.43%, IC2601 up 2.12%, and IM2601 up 1.35%. Investor sentiment gradually became rational, and the medium - term trend degree did not decline significantly under liquidity support. - The high - frequency macro - fundamental factor scores for index futures were 8 for inflation, 8 for liquidity, 12 for valuation, and 9 for market sentiment. For treasury bonds, the scores were 7 for inflation, 9 for liquidity, and 5 for market sentiment. - The annualized basis rates of IF, IC, IM, and IH current - quarter contracts were 0.92%, - 1.05%, - 1.75%, and - 3.84% respectively. IC and IM remained at high historical basis points. - The net value of the financial derivatives quantitative CTA strategy rose 0.15% last week, with the profit coming from going long and closing TF on Tuesday. In the long - term, the social financing and credit data generally exceeded expectations, and the above - seasonal increase in M2 had a greater impact on IC and IM. In the short - term, high - frequency real estate and consumption were still weak, the RMB remained strong against the US dollar, and the short - term divergence narrowed recently. - The risk preference remained high but declined marginally compared to the previous week. The overall comprehensive signal was still above the neutral range. For treasury bonds, the capital market remained loose at the beginning of the year, and the short - term rebounded. The stock - bond seesaw effect was still significant, and the bond market was insensitive to fundamental feedback. The comprehensive signal of treasury bonds was neutrally volatile, with TF relatively stronger. [1] Summary by Directory 1. Macro - Fundamental Medium - High - Frequency Factor Scores - Among the economic kinetic factors, the blast furnace operating rate (163 companies: national) and the PTA operating rate (domestic) both increased by 4.88%, while the refinery operating rate in Shandong (atmospheric and vacuum distillation unit) decreased by 2.38%. The operating rates of automobile tires (all - steel tires) and polyester filament downstream looms (Jiangsu and Zhejiang regions) decreased by 9.44% and 9.11% respectively. - The scores for index futures and treasury bonds were both 7 (on a scale of 0 - 10) [2]. 2. Inflation Indicators - The vegetable basket product wholesale price 200 - index rose 0.77%, while the coking coal in the CITIC industry index fell 3.25%. The market price of 1 electrolytic copper decreased by 0.58%, and the South China styrene index increased by 2.12%. - The scores for index futures and treasury bonds were 8 and 7 respectively (on a scale of 0 - 10) [3]. 3. Liquidity - DR007, DR001, GC001 (weighted average), GC007 (weighted average), SHIBOR (overnight), and SHIBOR (1 - week) all showed different degrees of decline, while the US dollar index rose 0.48%. The inter - bank certificate of deposit yield (AAA: 1 - month) remained unchanged. - The score for index futures was 8 (on a scale of 0 - 10) [4]. 4. Index Valuation - The price - to - earnings ratio (PE, TTM), price - to - sales ratio (PS, TTM), and price - to - cash - flow ratio (PCF, operating cash flow TTM) all declined, while the dividend yield (last 12 months) increased by 2.67%. - The score for index futures was 11 (on a scale of 0 - 10) [5]. 5. Market Sentiment Index Futures - The margin trading balance increased by 4.00%, while the short - selling balance decreased by 3.24%. The net purchase amount of northbound funds remained unchanged at - 67.75, and the Shanghai Stock Exchange A - share trading volume increased by 3.21%. The score for treasury bonds was 9 (on a scale of 0 - 10) [6]. Treasury Bonds - The 10 - year CDB bond yield decreased by 0.65%, the US S&P 500 volatility index increased by 9.45%, and the Shanghai Treasury Bond Index trading volume decreased by 25.90%. The score for treasury bonds was 5 (on a scale of 0 - 10) [7]. 6. Strategy Introduction (Financial Futures Multi - Strategy) - The product pool includes 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 for stable net - value growth. The short - term model focuses on market style, external factors, and capital - market high - frequency data, while the long - term model focuses on market expectations and macro - economic low - frequency data. The position volume is synthesized based on institutional long - and short - position volumes [17]. 7. Forecast Signals and Last Week's Situation Forecast Signals - The comprehensive signals of IF, IH, IC, IM, T, and TF were 0.52, 0.51, 0.51, 0.52, 0.49, and 0.51 respectively. There were no clear long or short positions based on the signal - selection rules [18]. Last Week's Situation - From January 12th to 16th, 2026, there were different signal changes for TF and T, with TF having a signal of 1 on January 13th and T having a signal of 1 on January 16th [20]. 8. 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' (large spread may decrease), '0' (uncertain spread change or oscillation), and '-1' (large spread may increase). A 1:1.8 ratio of 10 - 5Y spread is adjusted by duration - neutral matching [21]. Market Quotes and Trading Signals - From January 12th to 16th, 2026, the N - S model and trend regression model for TF and T main contracts had different signal combinations, but there was no clear trading signal resonance [24].

Report Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Views - As of the week ending December 31, the performance of the four major stock index futures was divergent, with IC and IH rising by 0.39% and 0.90% respectively, while IF and IM falling by 0.08% and 0.01% respectively. At the industry level, sectors such as petroleum and petrochemicals, national defense and military industry, and media performed relatively well, while sectors such as public utilities, food and beverages, and power equipment lagged behind. The current market risk appetite continues to recover driven by capital sentiment [1]. - From the perspective of high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 8 points, the liquidity indicator scored 7 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 9 points, and the market sentiment indicator scored 6 points [1]. - The net value of the financial derivatives quantitative CTA strategy did not change last week, and no trading signals were generated. In the long - term, PMI showed expectations and over - seasonality, with relatively large rebounds in IC and IM, and a slight pressure decline in treasury bond T. In the short - term, medium - and high - frequency real estate and consumption remained weak, the RMB continued to appreciate against the US dollar, the current capital situation remained relatively loose, and the short - term divergence recently narrowed. In terms of positions, risk appetite remained high, with a marginal increase compared to the previous week. IF and IC remained relatively strong. The overall comprehensive signal was above the neutral range. For treasury bonds, the capital situation remained loose at the beginning of the year, and the short - term recovered. The stock - bond seesaw effect was not significant, the bond market was insensitive to fundamental feedback, TF and T showed divergence in the position factor, and the comprehensive signal was in a neutral oscillation [1]. Summary by Related Catalogs 1. Macro - fundamental Medium - and High - Frequency Factor Scores - Different economic kinetic energy indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the blast furnace operating rate decreased by 0.96%, with a current value of 56.22 and a historical quantile of 0.12, and its correlations with stock and treasury bond indices were - 0.64 and - 0.90 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [2]. 2. Inflation Indicators - Various inflation - related indicators had different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, the price of 1 electrolytic copper increased by 1.54%, with a current value of 99,180.00 and a historical quantile of 0.99, and its correlations with stock and treasury bond indices were 0.62 and 0.65 respectively. Both stock index futures and treasury bond futures scored 8 points in this aspect [3]. 3. Liquidity - Different liquidity indicators showed different weekly changes, current values, historical quantiles, and correlations with stock and treasury bond indices. For example, DR007 decreased by 10.40%, with a current value of 1.43 and a historical quantile of 0.02, and its correlations with stock and treasury bond indices were - 0.46 and - 0.62 respectively. Stock index futures scored 7 points in this aspect [4]. 4. Index Valuation - Different index valuation indicators had different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the price - to - earnings ratio (PE) (TTM) increased by 0.41%, with a current value of 22.32 and a historical quantile of 0.97, and its correlation with stock indices was 0.98. Stock index futures scored 10 points in this aspect [5]. 5. Market Sentiment Stock Market Sentiment - Different stock market sentiment indicators showed different weekly changes, current values, historical quantiles, and correlations with stock indices. For example, the financing balance decreased by 0.02%, with a current value of 25,241.56 and a historical quantile of 0.99, and its correlation with stock indices was 0.88. Stock index futures scored 9 points in this aspect [6]. Bond Market Sentiment - Different bond market sentiment indicators had different weekly changes, current values, historical quantiles, and correlations with treasury bond indices. For example, the yield to maturity of 10 - year China Development Bank bonds increased by 1.39%, with a current value of 2.01 and a historical quantile of 0.33, and its correlation with treasury bond indices was - 0.96. Treasury bond futures scored 6 points in this aspect [7]. 6. Strategy Introduction - The variety pool includes stock index futures and treasury bond futures. The purpose is to use a multi - strategy model to optimize the allocation of contracts in the financial futures market to achieve stable net value growth. The short - term model focuses on market style, external factors, and capital situation 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 institutional long and short positions [17]. 7. Forecast Signals - As of last Friday, the short - term model, position indicator, long - term model, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) were different. The comprehensive signal strength is weighted by three independent models (0 - 1). In principle, the top 2 contracts with a comprehensive signal strength greater than or equal to 0.6 are considered for long positions, and the bottom 2 contracts with a comprehensive signal strength less than or equal to 0.4 are considered for short positions. Due to the significant impact of position data on the roll - over before the delivery date, signals within 7 days before the delivery date are shielded [18]. 8. Treasury Bond Futures Cross - Variety Arbitrage Strategy Strategy Introduction - The cross - variety arbitrage strategy is mainly 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. A PCA principal - component analysis, maximum - variance factor rotation method combined with logistic regression is used to construct the three - factor model, and the signals are divided into three types. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from December 25 to December 31, 2025, were different. For example, on December 30, the N - S model signal was 1, while the trend regression model signal was 0 [24].

Report Industry Investment Rating - The investment ratings for stock index futures and treasury bond futures are both ☆☆☆ [1] Core Viewpoints - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital has not changed significantly, overseas macro is relatively stable, but domestic capital has not become more relaxed, and overall risk appetite has recovered [1] - The high - frequency macro - fundamental factor scores for stock index futures are: inflation indicator 8 points, liquidity indicator 9 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 7 points. The weighted annualized basis rates (dividend - adjusted) of the ending open - interest of IH, IF, IC, and IM are - 2.81%, - 6.24%, - 12.5%, and - 15.52% respectively, and the discount of far - month contracts has widened again [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, industrial enterprises were weaker than seasonal, and PMI was lower than expected, putting pressure on IF and IC. In the short - term, medium - and high - frequency real estate and consumption are still weak, the RMB has continued to appreciate against the US dollar, and the capital situation remains relatively loose, with a relatively limited short - term increase. In terms of open - interest, risk appetite has recovered compared to last week. IF and IH remain relatively neutral, while IC and IM have increased significantly. The overall comprehensive signal is above neutral. For treasury bond futures, the capital situation remains loose, and the market risk appetite is relatively conducive to the recovery of the bond market, but the stock - bond seesaw effect is not significant, the bond market is insensitive to fundamental feedback, the open - interest factor has declined slightly, and institutional year - end allocation behavior has not yet been concentrated, with the comprehensive signal in a neutral oscillation [1] Summary by Related Catalogs Macro - fundamental Medium - and High - frequency Factor Scores - Economic kinetic energy indicators such as the blast furnace operating rate, PTA operating rate, etc. have different weekly changes, and the scores for stock index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10) [2] Inflation Indicators - Various inflation - related indicators such as the vegetable basket product wholesale price index, coking coal index, etc. have different weekly changes, and the scores for both stock index futures and treasury bond futures are 8 (on a scale of 0 - 10) [3] Liquidity - Liquidity - related indicators such as DR007, DR001, etc. have different weekly changes, and the score for stock index futures is 9 (on a scale of 0 - 10) [4] Index Valuation - Index valuation indicators such as PE, PS, etc. have different weekly changes, and the score for stock index futures is 10 (on a scale of 0 - 10) [5] Market Sentiment: Stock Index - Stock - index - related market sentiment indicators such as margin trading balances, northbound trading amounts, etc. have different weekly changes, and the score for treasury bond futures is 9 (on a scale of 0 - 10) [6] Market Sentiment: Bond - Bond - related market sentiment indicators such as the 10 - year CDB bond yield, S&P 500 volatility index, etc. have different weekly changes, and the score for treasury bond futures is 7 (on a scale of 0 - 10) [7] Strategy Introduction - The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital data, while the long - term model focuses on market expectations and macro - economic data. The open - interest is synthesized based on institutional long and short positions [17] Forecast Signals - As of last Friday, the short - term model, open - interest indicator, long - term model, and comprehensive signals for different futures contracts are provided, and the principles for signal synthesis and trading are explained [18] Last Week's Situation - The trading signals for different futures contracts from November 24 - 28, 2025, are presented, and the data source is provided [20] Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental factors use the Nelson - Siegel instantaneous forward - rate function, and the signals are divided into three types. In actual operation, a duration - neutral ratio of 1:1.8 is used to adjust the 10 - 5Y spread [21] Market Quotes and Trading Signals - The trading signals of the TF and T main contracts from November 24 - 28, 2025, are provided, and the data source is provided [24]

1. Report Industry Investment Ratings - The investment ratings for stock indices and government bonds are ☆☆☆, indicating a relatively clear long/short trend and current appropriate investment opportunities [1] 2. Core Views of the Report - As of the week ending November 28, stock index futures showed differentiation. IH2512 rose 1.27%, IF2512 rose 2.67%, IC2512 rose 4.29%, and IM2512 rose 4.84%. The driving logic of policy and capital did not change significantly, overseas macro was relatively stable, domestic capital remained relatively loose, and overall risk appetite recovered [1] - The high - frequency macro - fundamental factor scores showed that 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 government bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 10 points, and the market sentiment indicator scored 7 points [1] - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.51% last week. In the long - term, most economic data in November showed weakening growth, and IF and IC were under pressure. In the short - term, high - frequency real estate and consumption remained weak, the RMB appreciated against the US dollar, and the capital remained relatively loose with a limited short - term increase. Risk appetite recovered compared to last week, with IF and IH remaining neutral and IC and IM rising significantly. The overall comprehensive signal was above neutral. For government bond futures, the capital remained loose, market risk appetite was conducive to bond market repair, but the stock - bond seesaw effect was not significant, and the comprehensive signal was in a neutral oscillation [1] 3. Summary by Related Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - Among economic kinetic factors, the blast furnace开工率 decreased by 1.68%, the开工率 of PTA in China decreased by 1.68%, the refining plant开工率 in Shandong increased by 7.92%, the开工率 of automobile tires decreased by 4.98%, and the开工率 of downstream looms in the polyester filament industry in the Jiangsu and Zhejiang regions increased by 5.67%. The stock index futures score was 8, and the government bond futures score was 0 [2] 3.2 Inflation Indicators - The vegetable basket product wholesale price 200 index rose 0.73%, the coking coal index rose 0.57%, the price of 1 electrolytic copper rose 0.92%, the South China styrene index rose 1.81%, the CIF price of liquefied natural gas in China remained unchanged, the compound fertilizer index rose 1.30%, and the settlement price of natural rubber rose 1.35%. The stock index futures and government bond futures scores were both 8 [3] 3.3 Liquidity - DR007 decreased by 0.24%, DR001 decreased by 1.17%, GC001 weighted average increased by 5.63%, GC007 weighted average decreased by 2.57%, SHIBOR overnight decreased by 0.68%, SHIBOR 1 - week increased by 0.48%, the US dollar index decreased by 0.76%, and the inter - bank certificate of deposit yield (AAA) for 1 - month remained unchanged. The stock index futures score was 9 [4] 3.4 Index Valuation - The price - earnings ratio (TTM) rose 1.66%, the price - sales ratio (TTM) rose 1.66%, the dividend yield (last 12 months) decreased by 2.15%, and the price - cash - flow ratio (operating cash flow TTM) rose 1.67%. The stock index futures score was 10 [5] 3.5 Market Sentiment: Stock Indices - The margin trading balance rose 0.46%, the short - selling balance rose 5.09%, the net purchase amount of northbound funds was unchanged, the selling amount of northbound funds was unchanged, and the Shanghai Stock Exchange A - share trading volume decreased by 26.01%. The government bond futures score was 9 [6] 3.6 Market Sentiment: Bonds - The yield of 10 - year China Development Bank bonds rose 1.65%, the VIX index of the US S&P 500 decreased by 30.22%, the credit spread (median) of all industrial bonds remained unchanged, and the trading volume of the Shanghai Stock Exchange government bond index rose 33.65%. The government bond futures score was 7 [7] 3.7 Strategy Introduction - The product pool includes stock index futures and government bond futures. The short - term model focuses on market style, external factors, and capital, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [17] 3.8 Forecast Signals - The short - term model 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 volume indicators were 0, 0, 1, 0, 0, and 0 respectively; the long - term model signals were 0.52, 0.5, 0.52, 0.51, 0.51, and 0.52 respectively; the comprehensive signals were 0.52, 0.51, 0.55, 0.5, 0.51, and 0.53 respectively [18] 3.9 Last Week's Situation - From November 24 to 28, the signals for IF, IH, IC, IM, T, and TF were mostly 0 [20] 3.10 Government Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and the signals are classified into three types: '1', '0', and '-1'. The trend regression model filters signals, and trading occurs when there is resonance. In practice, the 10 - 5Y spread is adjusted with a 1:1.8 ratio [21] 3.11 TF and T Main Contract Trading Signals - From November 24 to 28, the N - S model and trend regression model signals for TF and T main contracts were mostly 0, with the N - S model showing a signal of 1 on November 27 [24]

Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending November 21, index futures declined. IH2511 dropped 2.49%, IF2511 fell 3.38%, IC2511 decreased 5.17%, and IM2511 declined 5.02%. Geopolitical tensions and overseas tech - stock corrections, along with the weakening of the Fed's rate - cut expectations, pressured investors' risk appetite [1]. - The high - frequency macro - fundamental factor scores for index futures are: inflation indicator 8 points, liquidity indicator 8 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 8 points [1]. - The weighted annualized basis rates (dividend - adjusted) of IH, IF, IC, and IM at the end of the period were - 3.35%, - 5.92%, - 9.19%, and - 9.89% respectively. The basis rates of IC and IM contracts were above the 50th percentile in the past year, showing significant divergence in the basis trends of index futures [1]. - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.21% last week. In the long - term, most economic data indicate weakening growth, pressuring index futures. In the short - term, high - frequency real estate and consumption remain weak, the exchange rate is at a low level, and the capital market remains relatively loose, resulting in a relatively limited short - term decline [1]. - For index futures, the risk appetite is at a six - month low, IF and IH are relatively neutral, and the overall comprehensive signal is below neutral. For treasury bond futures, the capital market remains loose, the market risk appetite is conducive to the bond market's recovery, but the stock - bond seesaw effect is not significant, and the bond market is insensitive to fundamental feedback. The position factor has declined, and institutional year - end allocation behavior has not yet emerged intensively, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - Economic kinetic energy: The scores for index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10). Different indicators such as blast furnace开工率, PTA开工率, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [2]. - Inflation indicators: The scores for both index futures and treasury bond futures are 8 (on a scale of 0 - 10). Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., have different week - on - week changes, historical percentiles, and correlations with stock and bond indices [3]. - Liquidity: The score for index futures is 9 (on a scale of 0 - 10). Indicators such as DR007, DR001, etc., show different week - on - week changes, historical percentiles, and correlations with stock and bond indices [4]. - Index valuation: The score for index futures is 10 (on a scale of 0 - 10). Valuation indicators such as PE, PS, etc., have different week - on - week changes, historical percentiles, and correlations with stock indices [5]. - Market sentiment: For stock indices, the score is 9 (on a scale of 0 - 10), and for bonds, the score is 8 (on a scale of 0 - 10). Different sentiment - related indicators such as margin trading balances, bond yields, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [6][7]. Strategy Introduction - The variety pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. The position is synthesized based on institutional long and short positions [16]. - 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 shielded 7 days before delivery [17]. Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), '- 1' (large spread may increase). The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. - For TF and T main contracts, different dates show different signals from the N - S model and the trend regression model [23].

Report Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] Core Views - As of the week ending November 7, index futures showed divergence, with IH2511 down 0.89%, IC2511 up 1.47%, and IM2511 up 1.31%. The average daily trading volume in the entire market was 2.01 trillion yuan, a decrease of 313 billion yuan from the previous week, indicating a decline in market trading activity [1]. - From the perspective of 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 7 points, the liquidity indicator 10 points, and the market sentiment indicator 8 points [1]. - In terms of the term structure, the basis of each index futures contract declined collectively. The weighted annualized basis rates (after dividend adjustment) of the ending positions of IH, IF, IC, and IM were 0.28%, - 3.16%, - 11.12%, and - 14.41% respectively [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, inflation data outperformed expectations, which had a certain boosting effect on IC and IM, while Treasury bond futures were under pressure. In the short - term, the fundamentals of real estate and consumption were still weak, the exchange rate was in a low range, and the capital market remained relatively loose, showing a short - term low - level recovery. In terms of positions, IM showed a marginal recovery, IF and IH remained relatively neutral, and IC was relatively at a cross - sectional low. The overall comprehensive signal was in a neutral oscillation. For Treasury bond futures, the capital market remained loose, the market risk preference was conducive to the recovery of the bond market, the stock - bond seesaw effect was significant. Due to the unexpected inflation recovery, the position factor declined, and institutions were still cautious about allocation, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental Medium - and High - Frequency Factor Scores - Some economic kinetic indicators showed different changes in the week, such as the blast furnace operating rate increasing by 1.41%, the PTA operating rate increasing by 1.41%, etc. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. Inflation Indicators - Various inflation - related indicators had different weekly changes, such as the vegetable basket product wholesale price index rising 0.29%, the coking coal index rising 1.54%, etc. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. Liquidity - Liquidity - related indicators like DR007 decreased by 0.40%, DR001 increased by 1.48%, etc. The index futures scored 9 points [4]. Index Valuation - Valuation indicators such as PE (TTM) increased by 0.33%, PS (TTM) increased by 0.33%, etc. The index futures scored 10 points [5]. Market Sentiment: Index - In terms of index market sentiment, the margin trading balance increased by 0.27%, the short - selling balance increased by 3.91%, etc. The Treasury bond futures scored 9 points [6]. Market Sentiment: Bond - Bond market sentiment indicators such as the 10 - year CDB bond yield increased by 0.77%, the S&P 500 volatility index increased by 9.40%, etc. The Treasury bond futures scored 8 points [7]. Strategy Introduction - The product pool includes index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. Positions are synthesized considering institutional long and short positions [16]. Forecast Signals - The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) are provided, and the rules for determining long and short positions are given [17]. 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 three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The actual operation uses a 1:1.8 ratio for the 10 - 5Y spread adjustment [20]. Market Quotes and Trading Signals - The trading signals of TF and T main contracts from November 3 to November 7 are provided, including the signals from the N - S model and the trend regression model [23].

Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending October 17, index futures showed differentiation. IH2510 rose by 0.30%, IF2510 fell by 1.64%, IC2510 dropped by 4.41%, and IM2510 declined by 3.85%. Trade issues made market sentiment cautious, and the trade war's uncertainty suppressed market risk appetite. There was also a demand for a post - overbought correction in the short - term technical aspect [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 7 points, the liquidity indicator 11 points, and the market sentiment indicator 7 points [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, September's financial and inflation data had a certain boosting effect on IF and IM, indicating that China still faced credit contraction and deflation pressure and was far from full recovery, which required further policy support. In the short - term, the exchange rate was still in a low range, and the capital market remained relatively loose. The overall market risk appetite recovered compared to the beginning of the week, and the overall comprehensive signal was above neutral. For Treasury bond futures, although the capital market was loose, the market risk appetite limited the upward space, and the stock - bond seesaw effect was significant [1]. Summary by Directory Macroeconomic Fundamental High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rate, PTA operating rate, etc., showed different week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. - Inflation indicators including vegetable basket product wholesale price index, coking coal index, etc., also had various week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. - Liquidity indicators like DR007, DR001, etc., had their own week - on - week changes, and the index futures scored 9 points [4]. - Index valuation indicators such as PE, PS, etc., showed different trends, and the index futures scored 10 points [5]. - Market sentiment indicators for stocks (financing balance, margin trading balance, etc.) and bonds (government bond yield, etc.) had corresponding week - on - week changes. The index futures' market sentiment scored 9 points, and the Treasury bond futures' market sentiment scored 7 points [6][7]. Strategy Introduction - The variety pool includes stock index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [16]. Prediction Signals - As of last Friday, the short - term model, position volume indicator, long - term model, and comprehensive signals for different futures contracts (IF, IH, IC, IM, T, TF) were provided. The comprehensive signal strength is a weighted synthesis of three independent models [17]. Last Week's Situation - From October 13 to October 17, the trading signals of different futures contracts showed different states. For example, the IC main contract had a signal of 1 on October 17 [19]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The signals are divided into three types: 1, 0, - 1. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [20]. Market Quotes and Trading Signals - For TF and T main contracts from October 13 to October 17, the N - S model signals and trend regression model signals were provided [23].

Report Investment Ratings - Stock index: ☆☆☆ [1] - Treasury bond: ☆☆☆ [1] Core Views - As of the week ending September 19, the stock index rebounded slightly after a brief shock last week, with some indices hitting new highs, but individual stock performance diverged. The risk - free rate has rebounded, but the capital side remains loose, and trading volume and margin trading leverage continue to rise. Foreign investors may still have a high level of attention to the A - share market, and foreign futures member seats are still in the stage of increasing positions, indicating that market risk appetite may still be high [1]. - From the high - frequency macro - fundamental factor scores, for stock index futures, the inflation indicator scored 7 points, the liquidity indicator scored 9 points, the valuation indicator scored 11 points, and the market sentiment indicator scored 9 points. For treasury bond futures, the inflation indicator scored 8 points, the liquidity indicator scored 11 points, and the market sentiment indicator scored 7 points [1]. - In terms of the term structure, the discount of stock index futures narrowed rapidly last week, and the near - month contracts of IF, IH, and IC all showed premiums, indicating strong bullish sentiment. However, the December contracts of IC and IM still had a large discount [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.45% last week, with profits coming from opening and closing a long position in TF on Wednesday. In the long - term, fixed - asset investment and social retail consumption were both lower than expected, and the overall economic data in August exerted significant pressure on stock index futures, while the rebound of treasury bond futures was not significant. In the short - term, the continuous decline of the US dollar index increased the contribution of the exchange rate to stock index futures. Currently, the capital side remains relatively loose, the margin trading balance remains high, and the overall market risk appetite remains high [1]. - In terms of open interest, the open interest of IC and IM decreased marginally, while that of IF and IH remained relatively neutral. The overall comprehensive signal was neutral and oscillating. For treasury bond futures, although the capital side remained loose, market risk appetite limited the upward space, the stock - bond seesaw effect decreased, the open - interest factor weakened marginally, and institutions were still cautious about allocation behavior, with the comprehensive signal being neutral and oscillating [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - **Economic Kinetic Energy**: The weekly changes of different indicators varied, such as the blast furnace开工率 decreased by 1.28%, the开工率 of PTA decreased by 1.28%, while the炼油厂开工率 of Shandong refineries increased by 8.04%. The stock index futures score was 8, and the treasury bond futures score was 0 [2]. - **Inflation Indicators**: The weekly changes of various inflation - related indicators were different. For example, the vegetable basket product wholesale price index decreased by 0.32%, and the coking coal index increased by 4.61%. The stock index futures score was 7, and the treasury bond futures score was 8 [3]. - **Liquidity**: The weekly changes of liquidity - related indicators such as DR007, DR001, etc. showed different trends. The stock index futures score was 8 [4]. - **Index Valuation**: The price - to - earnings ratio (TTM), price - to - sales ratio (TTM), etc. had certain changes. The stock index futures score was 10 [5]. - **Market Sentiment - Stock Index**: The financing balance increased by 2.00%, and the margin - selling balance decreased by 0.22%. The treasury bond futures score was 9 [6]. - **Market Sentiment - Bond**: The yield of 10 - year CDB bonds decreased by 0.27%, and the S&P 500 volatility index increased by 4.67%. The treasury bond futures score was 7 [7]. Strategy Introduction - **Multi - Strategy for Financial Futures**: The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital - side high - frequency data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The open - interest is synthesized by considering institutional long and short positions [17]. - **Treasury Bond Futures Cross - Variety Arbitrage Strategy**: Based on the resonance of signals from the fundamental three - factor model (using the Nelson - Siegel instantaneous forward - rate function) and the trend - regression model. The signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread change or oscillation), '-1' (large spread may increase). In actual operation, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [21]. Market Signals - **Multi - Strategy Model Signals**: The short - term, long - term, and comprehensive signals of different futures contracts (IF, IH, IC, IM, T, TF) were provided, with specific values for each contract. The trading rules include taking the top 2 contracts with a comprehensive signal strength greater than or equal to 0.6 for long positions and the bottom 2 with a value less than or equal to 0.4 for short positions, and other rules such as signal shielding [18]. - **Treasury Bond Futures Cross - Variety Arbitrage Signals**: The N - S model and trend - regression model signals for TF and T main contracts from September 15 to September 19 were presented, showing different signal combinations on different days [24].