Report Industry Investment Rating No relevant content provided. Core Views - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively. The basis of each variety was differentiated, and the overall market sentiment remained bearish. T was close to the upper edge of the shock range, with limited room for further increase, while TL was more likely to continue to be under pressure [6]. - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines. Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Summary by Relevant Catalogs Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed higher, with the 30-year, 10-year, 5-year, and 2-year main contracts rising by 0.26%, 0.27%, 0.22%, and 0.05% respectively [6]. - The basis of each variety was differentiated. The CTD bond of the 10-year Treasury bond was 250018, and the basis on the 16th was about 0.05 yuan, slightly lower than the seasonal level; the CTD bond of the 30-year Treasury bond was 210005, and the basis on the 16th was 0.22 yuan, lower than the seasonal level [6]. - The overall market sentiment remained bearish. The slight warming of sentiment drove the strength of varieties such as T, TF, and TS, but T was close to the upper edge of the shock range, with limited room for further increase; TL was more likely to continue to be under pressure [6]. Treasury Bond Futures Factor Analysis - For the 10-year Treasury bond, ranked by Sharpe ratio, the factors were the basis factor, risk assets, and member positions, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [6][17]. - For the 5-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, intraday volume-price, risk assets, member positions, and the basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [6][18]. - For the 2-year Treasury bond, ranked by Sharpe ratio, the factors were high-frequency capital flow, the basis factor, intraday volume-price, and member positions, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [6][19]. Commodity Factor Performance - Last week, the domestic commodity market was relatively balanced in terms of the number of rising and falling varieties. Silver and tin led the gains, with increases of over 20%, while caustic soda and glass led the declines [24][27]. - Except for the relatively poor returns of the basis and warehouse receipt factors, other types of commodity factors had varying degrees of increase. The volume-price trend factors rose by an average of about 2.0%, and the term structure factors also had an increase of over 0.5% [24][27]. - The volatility of commodity factor returns was rising, and investors were advised to pay attention to several types of commodity factors with long-term expected return capabilities and adopt a balanced allocation method to prevent risks [24][27]. Tracking Strategy Performance - The CWFT strategy had an annualized return of 9.2%, a Sharpe ratio of 1.58, a Calmar ratio of 1.05, a maximum drawdown of -8.81%, a return of 0.19% last week, and a return of 0.21% since the beginning of this year [25]. - The C_frontnext & Short Trend strategy had an annualized return of 11.3%, a Sharpe ratio of 1.72, a Calmar ratio of 1.69, a maximum drawdown of -6.72%, a return of -0.05% last week, and a return of 0.41% since the beginning of this year [25]. - The Long CWFT & Short CWFT strategy had an annualized return of 12.0%, a Sharpe ratio of 1.36, a Calmar ratio of 0.92, a maximum drawdown of -13.07%, a return of -0.27% last week, and a return of 0.26% since the beginning of this year [25]. - The CS XGBoost strategy had an annualized return of 5.5%, a Sharpe ratio of 0.92, a Calmar ratio of 0.29, a maximum drawdown of -18.84%, a return of -1.05% last week, and a return of -2.50% since the beginning of this year [25]. - The RuleBased TS Sharp-combine strategy had an annualized return of 11.9%, a Sharpe ratio of 1.55, a Calmar ratio of 1.43, a maximum drawdown of -8.26%, a return of 1.04% last week, and a return of 0.46% since the beginning of this year [25]. - The RuleBased TS XGB-combine strategy had an annualized return of 11.5%, a Sharpe ratio of 2.01, a Calmar ratio of 2.57, a maximum drawdown of -4.49%, a return of 0.08% last week, and a return of -1.30% since the beginning of this year [25]. - The CS strategies, EW combine strategy had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [25]. - Among the above six strategies, the CWFT strategy performed the best last week, with a return of 0.19%; the C_frontnext & Short Trend strategy performed the best since the beginning of this year, with a return of 0.41% [46]. - The equal-weight composite strategy of the above cross-sectional strategies (equal-weighted weekly returns) had an annualized return of 12.6%, a Sharpe ratio of 1.79, a Calmar ratio of 1.70, a maximum drawdown of -7.38%, a return of -0.01% last week, and a return of 0.61% since the beginning of this year [46].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week, all bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts falling by 0.36%, 0.11%, 0.07%, and 0.03% respectively. The December manufacturing PMI exceeded market expectations, causing bond futures to decline. For commodity factors, overall returns were still positive last week, but due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities and adopt a balanced allocation approach to prevent risks [6][29]. 3. Summary by Related Catalogs 3.1 Treasury Bond Futures Market Review - Last week, all bond futures contracts closed down. The 30 - year main contract fell 0.36%, the 10 - year main contract fell 0.11%, the 5 - year main contract fell 0.07%, and the 2 - year main contract fell 0.03%. The basis of each variety was differentiated, and the basis of the CTD bonds of the 10 - year and 30 - year bonds on the 31st was lower than the historical average of the same maturity. The December manufacturing PMI exceeded market expectations, with both supply and demand expanding simultaneously and new kinetic energy showing strong performance, leading to a decline in bond futures [6]. - In 2025, for the 10 - year treasury bond, the Sharpe ratios of the basis factor, risk assets, and member positions were 1.68, 1.93, and 0.59 respectively; for the 5 - year treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor were 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member positions were 2.45, 1.82, 1.59, and 0.82 respectively [6][21][22]. 3.2 Commodity CTA Factor and Tracking Strategy Performance 3.2.1 Commodity Factor Performance - In the last week of 2025, domestic commodities fluctuated greatly, with a relatively balanced number of rising and falling varieties. Gold, lithium carbonate, polysilicon, and tin fell by more than 3%, while silver had large fluctuations but was almost flat for the week. Nickel, glass, and methanol rose by more than 3%. The overall return of commodity factors was still positive, with term structure, volume - price trend, and long - term spot value factors showing profitability. The return of the position - trading volume ranking factor, which reflects market trading sentiment, decreased significantly last week, and the return of the volatility factor also decreased slightly. Due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, avoid actively increasing trading cycles and predicting directions, and adopt a balanced allocation approach to prevent risks [29][31][32]. 3.2.2 Tracking Strategy Performance - **CWFT Strategy**: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.05, maximum drawdown of - 8.81%, recent weekly return of 0.75%, and year - to - date return of 4.52%. Last week, it held 24 varieties with a net position of 22.1%, total position return of - 0.2%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 20.8%, and one variety needs to be rolled over, with a total turnover capital ratio of 18.7% [30][37]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.3%, Sharpe ratio of 1.72, Calmar of 1.69, maximum drawdown of - 6.72%, recent weekly return of 0.08%, and year - to - date return of 3.94%. Last week, it held 24 varieties with a net position of - 8.2%, total position return of - 0.2%, and a winning rate of 58.3%. This week, it holds 24 varieties with a net position of 9.9%, and one variety needs to be rolled over, with a total turnover capital ratio of 64.8% [30][39]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent weekly return of 1.94%, and year - to - date return of 0.73%. Last week, it held 24 varieties with a net position of 65.2%, total position return of 0.2%, and a winning rate of 50.0%. This week, it holds 24 varieties with a net position of 60.7%, and one variety needs to be rolled over, with a total turnover capital ratio of 25.4% [30][41]. - **CS XGBoost Strategy**: Annualized return of 6.0%, Sharpe ratio of 1.00, Calmar of 0.36, maximum drawdown of - 16.76%, recent weekly return of - 0.17%, and year - to - date return of - 9.21%. Last week, it held 24 varieties with a net position of 0.0%, total position return of - 0.1%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 0.0%, and one variety needs to be rolled over, with a total turnover capital ratio of 51.3% [30][43]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 1.55, Calmar of 1.43, maximum drawdown of - 8.26%, recent weekly return of - 0.24%, and year - to - date return of 10.15%. Last week, it held 46 varieties with a net position of 5.0%, total position return of - 0.6%, and a winning rate of 37.0%. This week, it holds 46 varieties with a net position of 30.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 50.6% [30][44]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 2.07, Calmar of 2.64, maximum drawdown of - 4.49%, recent weekly return of 0.04%, and year - to - date return of 8.27%. Last week, it held 46 varieties with a net position of - 4.6%, total position return of - 0.1%, and a winning rate of 39.1%. This week, it holds 46 varieties with a net position of - 10.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 45.0% [30][46]. - **CS strategies, EW combine Strategy**: Annualized return of 12.6%, Sharpe ratio of 1.78, Calmar of 1.70, maximum drawdown of - 7.38%, recent weekly return of 0.88%, and year - to - date return of - 2.11% [30]. - Among the above six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.94%, and the CWFT strategy performed best since 2025 with a return of 4.52%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.78, a Calmar of 1.70, a maximum drawdown of - 7.38%, a recent weekly return of 0.88%, and a year - to - date return of - 2.11% [51].

Core Insights - The article discusses the correlation between high-frequency factors and stock indices, highlighting that large buy/sell and small buy/large sell factors show strong positive correlation in the short term due to short-term capital effects [1] - It emphasizes the effectiveness of composite strategies over single-factor strategies, suggesting that aggressive composite strategies yield higher win rates in stable indices, while more conservative strategies are advisable in highly volatile indices [1] Summary by Sections High-Frequency Factors - Short-term large buy/sell and small buy/large sell factors exhibit strong positive correlation, driven by short-term capital movements [1] - The short-term negative correlation of large net buy factors may stem from pronounced short-term overbought conditions, leading to potential short-term declines in indices [1] Capital Flow Factor Processing - Short-term averages can quickly respond to changes in high-frequency factors, while medium-term averages serve as a reference benchmark, amplifying deviations from medium-term trends and effectively capturing short-term excess signals [1] Timing Effectiveness of High-Frequency Factors - The timing effectiveness of three high-frequency factors (small buy/large sell at open, small buy/large sell excluding close, and large buy/sell at open) is noted to be strong [1] - The annualized returns for constructed portfolios are as follows: over 15% for the CSI 300 long position (benchmark 5%), over 10% for the CSI 500 long position (benchmark 6.8%), and over 11% for the CSI 1000 long position (benchmark 5.1%) [1] - The Sharpe ratios for these combinations significantly exceed the benchmarks [1] Stability of Composite Strategies - Composite strategies demonstrate superior return stability compared to single-factor strategies [1] - In stable indices, aggressive composite strategies can achieve higher win rates, while in more volatile indices, a more conservative approach is recommended to mitigate uncertainty [1]