- The report tracks various quantitative factors across equity, commodity, options, and convertible bond markets, providing insights into market trends and factor performance during the week of December 15-19, 2025[3][9][24] - **Equity Market Factors**: - **Market Style**: The market showed a slight preference for large-cap and value styles, reversing the trend from the previous week[10][12] - **Market Structure**: Industry excess return dispersion and rotation speed increased, while the proportion of rising constituent stocks decreased. Concentration in the top 100 stocks remained stable, and the top 5 industries saw a slight decline in transaction concentration[10][12] - **Market Activity**: Both market volatility and turnover rate continued to decline[11][12] - **Commodity Market Factors**: - **Trend Strength**: All sectors except the black sector showed an increase in trend strength[24][29] - **Volatility**: Volatility decreased in the precious metals and agricultural sectors but increased in other sectors[24][29] - **Liquidity**: Liquidity declined in the energy and agricultural sectors but slightly improved in other sectors[24][29] - **Basis Momentum**: Basis momentum increased in the energy and black sectors but decreased in other sectors[24][29] - **Options Market Factors**: - Implied volatility for both the SSE 50 and CSI 1000 rebounded from low levels. The skew of call and put options for the SSE 50 decreased, while the skew of put options for the CSI 1000 continued to rise, indicating risk release in large-cap stocks and risk accumulation in small-cap stocks[32][36] - **Convertible Bond Market Factors**: - The market stabilized and recovered, with transaction volume exceeding the median level of the past year. The premium rate for bonds priced at 100 yuan reached a new annual high, while the proportion of low premium rate bonds continued to decline[34][38][40]

Market Overview - A-shares remain stable with controllable risks, suggesting opportunities for low-cost investments in high-prosperity sectors. The macro strategy team indicates that market enthusiasm for chasing high prices is still weak, but the index remains relatively stable, expected to maintain a fluctuating structure with controllable risks. Signs of market stabilization have become more apparent since December, particularly in high-prosperity sectors that have shown resilience. It is recommended to preferentially invest in industries with upward trends in prosperity and patiently await the upcoming spring market [1][4][6]. Stock Market Factors - Last week, market style shifted slightly towards large-cap stocks, with a value-oriented approach gaining traction compared to the previous week. The volatility of both large-cap and value-growth styles remained low. The dispersion of excess returns among industries and the speed of industry rotation have reversed, showing an increase, while the proportion of rising constituent stocks has decreased. The trading concentration of the top 100 stocks remained stable, with a slight decline in the trading concentration of the top five industries [6][8]. Commodity Market Factors - In the commodity market, all sectors except for the black metal sector showed an upward trend in strength. The efficiency coefficients for precious metals, non-ferrous metals, and agricultural products remained high. The basis momentum for precious metals saw a significant decline, while the basis momentum for energy and black metal sectors increased. Volatility increased in all sectors except for precious metals and agricultural products, and liquidity decreased in the energy and agricultural sectors, while other sectors saw a slight increase [20][21]. Options Market Factors - The implied volatility of the Shanghai Stock Exchange 50 and the CSI 1000 rebounded from low levels last week. In terms of volatility skew, both call and put options for the Shanghai index decreased, while the put option skew for the CSI 1000 continued to rise, indicating that the market has experienced some risk release, with small-cap styles still accumulating risks [29]. Convertible Bond Market Factors - The convertible bond market stabilized and showed signs of recovery last week. The valuation of bonds reached a new high for the year in terms of the premium rate for conversion at 100 yuan, maintaining a trend of oscillation and increase. The pure bond premium rate for debt-type groupings saw a slight increase, while the proportion of low premium conversion bonds continued to decline, remaining at a low level. Market transaction volume rebounded, surpassing the historical median for the past year [31].

Core Insights - The participant known as "Alchemist" achieved consistent profits through a self-developed trend-following trading system during the third "Futures Star" competition [1] - The trading career of "Alchemist" began in 2006, transitioning from stocks to futures in 2008, and has since focused on various markets, ultimately refining a mature trading system in futures [1] Trading System - "Alchemist" utilizes a proprietary trading system on the Wenhua Financial platform, monitoring on a 5-minute basis and generating buy/sell signals through programmed logic [2] - The system operates under strict rules, with trade durations ranging from intraday to several weeks or even a month, driven by system signals [2] - The current portfolio includes volatile and low-correlation assets such as lithium carbonate, shipping indices (European line), and polysilicon, with hedging through SSE 50 options [2] Risk Management - "Alchemist" maintains a maximum drawdown of around 10%, significantly lower than the initial threshold of 20%-25% [2] - Manual intervention occurs during extreme market conditions, allowing for profit locking and system validation [2] - The profit-to-drawdown ratio remains stable between 6:1 and 7:1, showcasing effective risk management strategies [2] Position Selection Logic - The selection logic for current holdings emphasizes objective testing supplemented by subjective preferences, narrowing down from over ten assets to three core ones based on statistical characteristics and personal lifestyle [3] - The ideal operational scale for the current strategy is between 20 million to 50 million, with a preference for a comfortable range of 10 million to 20 million [3] - "Alchemist" has opted out of testing certain high-margin contracts due to their high margin requirements, focusing instead on assets without night trading [3] Trading Philosophy - "Alchemist" attributes success to two main factors: adherence to a validated system and strict risk control discipline [4] - The trading philosophy simplifies complex markets into replicable rules, continuously optimizing strategies to maintain their effectiveness [4] - The motto "cut losses short, let profits run" encapsulates the approach to trading in the futures market [4]

Group 1 - The recent stock market has experienced increased volatility, while the bond market shows signs of improvement but remains oscillatory. The optimistic expectation for the resumption of government bond trading operations has contributed to this recovery, with the ten-year government bond yield dropping below 1.75% [2][5] - The market style has slightly shifted towards small-cap stocks, with growth styles prevailing. The volatility of market styles has increased, while the volatility of value and growth styles has decreased [7][8] - In the commodity market, the strength of the non-ferrous and energy chemical sectors has increased, while the trend strength of other sectors remains stable. The basis momentum across all sectors has decreased [3][20][23] Group 2 - In the options market, the implied volatility of the Shanghai Stock Exchange 50 index remains stable, while the implied volatility of the CSI 1000 index has begun to decline. The market experienced a brief pullback in early September, particularly affecting small-cap stocks, but current sentiment has eased [28] - The convertible bond market showed a relatively flat performance, with the index primarily oscillating. The premium rate for convertible bonds remains stable, and the proportion of low premium convertible bonds has not changed significantly [30]

Quantitative Factors and Construction 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the relative performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth styles, to understand market preferences and dynamics[10][12] - **Construction Process**: - **Style Performance**: Measure the relative returns of large-cap vs. small-cap stocks and value vs. growth stocks over the week - **Style Volatility**: Calculate the weekly changes in the volatility of these style returns - **Evaluation**: The factor effectively captures the market's preference for growth over value and the balanced performance between large-cap and small-cap stocks during the observed period[10][12] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion of industry returns, the speed of industry rotation, and the concentration of trading activity to assess market structure and dynamics[10][12] - **Construction Process**: - **Industry Return Dispersion**: Compute the standard deviation of excess returns across industry indices - **Industry Rotation Speed**: Measure the rate of change in leading industries over the week - **Trading Concentration**: Calculate the proportion of total trading volume contributed by the top 100 stocks and the top 5 industries - **Evaluation**: The factor highlights an increase in industry return dispersion and trading concentration, indicating a more focused market structure[10][12] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks market volatility and turnover rates to gauge overall market activity levels[11][12] - **Construction Process**: - **Volatility**: Measure the weekly changes in index-level volatility - **Turnover Rate**: Calculate the weekly changes in market turnover rates - **Evaluation**: The factor shows a rise in both market volatility and turnover, reflecting heightened market activity during the week[11][12] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor monitors the strength of trends, basis momentum, volatility, and liquidity in commodity markets to understand their dynamics[19][25] - **Construction Process**: - **Trend Strength**: Assess the directional movement of commodity indices - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) for energy and precious metals - **Volatility**: Calculate the weekly changes in commodity price volatility - **Liquidity**: Track the weekly changes in trading volume and bid-ask spreads - **Evaluation**: The factor indicates a decline in trend strength and volatility, while basis momentum for energy and precious metals increased, and liquidity showed a downward trend[19][25] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor evaluates implied volatility, skewness, and discount rates in the options market to assess market sentiment and hedging activity[28] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels of the SSE 50 and CSI 1000 indices - **Skewness and Discount Rates**: Measure the skewness of put options and the implied discount rates for these indices - **Evaluation**: The factor reveals high implied volatility levels, with an increase in put skewness and discount rates for the CSI 1000 index, suggesting rising hedging activity and market divergence[28] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor examines the premium rates and trading activity in the convertible bond market to understand its dynamics[30] - **Construction Process**: - **Premium Rates**: Analyze the average premium rates for bonds with low conversion premiums - **Trading Activity**: Measure the weekly changes in trading volume - **Evaluation**: The factor shows an increase in the proportion of low-premium bonds and stable trading activity, indicating potential short-term adjustments in the market[30] --- Factor Backtesting Results 1. Market Style Factor - **Large-Cap vs. Small-Cap Performance**: Balanced[10][12] - **Value vs. Growth Performance**: Growth outperformed value[10][12] - **Style Volatility**: Large-cap/small-cap volatility decreased; value/growth volatility increased[10][12] 2. Market Structure Factor - **Industry Return Dispersion**: Increased[10][12] - **Industry Rotation Speed**: Peaked and then declined[10][12] - **Trading Concentration**: Increased for both top 100 stocks and top 5 industries[10][12] 3. Market Activity Factor - **Volatility**: Increased[11][12] - **Turnover Rate**: Increased[11][12] 4. Commodity Market Factor - **Trend Strength**: Declined[19][25] - **Basis Momentum**: Increased for energy and precious metals[19][25] - **Volatility**: Declined[19][25] - **Liquidity**: Declined[19][25] 5. Option Market Factor - **Implied Volatility**: High for SSE 50 and CSI 1000[28] - **Skewness and Discount Rates**: Increased for CSI 1000[28] 6. Convertible Bond Market Factor - **Premium Rates**: Low-premium bonds increased[30] - **Trading Activity**: Stable[30]

- The report tracks various market environment factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors[1][3][6] Stock Market Factors 1. **Factor Name**: Market Style - **Construction Idea**: The factor tracks the performance of different market styles, such as large-cap vs. small-cap and value vs. growth[10] - **Construction Process**: The factor is constructed by analyzing the performance and volatility of different market styles. For example, the large-cap style is compared to the small-cap style, and the value style is compared to the growth style[10] - **Evaluation**: The large-cap value style is currently dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Factor Name**: Market Structure - **Construction Idea**: The factor examines the structure of the market by analyzing industry index excess return dispersion, component stock rise ratio, and industry rotation speed[10] - **Construction Process**: The factor is constructed by measuring the dispersion of excess returns among industry indices, the proportion of rising component stocks, and the speed of industry rotation[10] - **Evaluation**: The dispersion of industry index excess returns and the proportion of rising component stocks have decreased, while the speed of industry rotation has also decreased[10][12] 3. **Factor Name**: Market Activity - **Construction Idea**: The factor tracks market activity by analyzing market volatility and turnover rate[11] - **Construction Process**: The factor is constructed by measuring the volatility and turnover rate of the market[11] - **Evaluation**: Market volatility remains low, and the turnover rate continues to decline[11][12] Commodity Market Factors 1. **Factor Name**: Trend Strength - **Construction Idea**: The factor tracks the strength of trends in different commodity sectors[25] - **Construction Process**: The factor is constructed by analyzing the trend strength in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy and metals sectors show strong trends, while the trend strength in the precious metals sector is rising[25][29] 2. **Factor Name**: Basis Momentum - **Construction Idea**: The factor tracks the momentum of the basis in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the basis momentum in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Except for the agricultural sector, which has low basis momentum, other sectors have high basis momentum[25][29] 3. **Factor Name**: Volatility - **Construction Idea**: The factor tracks the volatility levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the volatility levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy sector has high volatility, while the metals and agricultural sectors have low volatility[25][29] 4. **Factor Name**: Liquidity - **Construction Idea**: The factor tracks the liquidity levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the liquidity levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Liquidity levels have decreased across all sectors[25][29] Options Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: The factor tracks the implied volatility levels of different options[35] - **Construction Process**: The factor is constructed by measuring the implied volatility levels of options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: Implied volatility levels for both the SSE 50 and CSI 1000 options are rising[35] 2. **Factor Name**: Skewness - **Construction Idea**: The factor tracks the skewness of different options[35] - **Construction Process**: The factor is constructed by measuring the skewness of call and put options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: The skewness of both call and put options on the SSE 50 has decreased, while the skewness of put options on the CSI 1000 remains higher than that of call options[35] Convertible Bond Market Factors 1. **Factor Name**: Valuation - **Construction Idea**: The factor tracks the valuation levels of convertible bonds[36] - **Construction Process**: The factor is constructed by measuring the premium rates of convertible bonds[36] - **Evaluation**: The premium rates of convertible bonds have slightly decreased, and the market activity has weakened[36] Factor Backtesting Results 1. **Market Style Factor**: Large-cap value style is dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Market Structure Factor**: Decreased dispersion of industry index excess returns, decreased proportion of rising component stocks, and decreased speed of industry rotation[10][12] 3. **Market Activity Factor**: Low market volatility and declining turnover rate[11][12] 4. **Trend Strength Factor**: Strong trends in the energy and metals sectors, rising trend strength in the precious metals sector[25][29] 5. **Basis Momentum Factor**: High basis momentum in all sectors except agriculture[25][29] 6. **Volatility Factor**: High volatility in the energy sector, low volatility in the metals and agricultural sectors[25][29] 7. **Liquidity Factor**: Decreased liquidity levels across all sectors[25][29] 8. **Implied Volatility Factor**: Rising implied volatility levels for both SSE 50 and CSI 1000 options[35] 9. **Skewness Factor**: Decreased skewness for both call and put options on the SSE 50, higher skewness for put options on the CSI 1000 compared to call options[35] 10. **Valuation Factor**: Slightly decreased premium rates for convertible bonds, weakened market activity[36]

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factors - **Construction Idea**: The market style factors track the balance and volatility between different market styles, such as large-cap vs. small-cap and value vs. growth[11][13] - **Construction Process**: - **Style Balance**: Measure the relative performance of large-cap vs. small-cap stocks and value vs. growth stocks to determine the market's style preference[11] - **Style Volatility**: Calculate the fluctuations in the relative performance of these styles over time to assess the stability of the market's style preference[11] - **Evaluation**: The market style factors showed a balanced preference between large-cap and small-cap stocks, as well as between value and growth stocks. Additionally, the volatility of these styles continued to decline, indicating a more stable market environment[11][13] 2. Factor Name: Market Structure Factors - **Construction Idea**: These factors analyze the dispersion of returns, sector rotation, and trading concentration to understand the structural dynamics of the market[11][13] - **Construction Process**: - **Return Dispersion**: Measure the excess return dispersion across industry indices to evaluate the variability in sector performance[11] - **Sector Rotation**: Assess the speed of sector rotation by tracking changes in sector leadership over time[11] - **Trading Concentration**: Calculate the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries to gauge market concentration[11] - **Evaluation**: The market structure factors indicated a decline in return dispersion, slower sector rotation, and reduced trading concentration, suggesting a more evenly distributed market environment[11][13] 3. Factor Name: Market Activity Factors - **Construction Idea**: These factors measure the overall activity and liquidity of the market through volatility and turnover rates[12][13] - **Construction Process**: - **Volatility**: Calculate the index-level volatility to assess market stability[12] - **Turnover Rate**: Measure the turnover rate of the market to evaluate trading activity[12] - **Evaluation**: The market activity factors showed a decline in both volatility and turnover rates, reflecting reduced market activity, likely influenced by the holiday period[12][13] 4. Factor Name: Commodity Market Factors - **Construction Idea**: These factors analyze the performance, momentum, and liquidity of various commodity sectors[27][30] - **Construction Process**: - **Trend Strength**: Measure the strength of price trends in different commodity sectors, such as energy, metals, and agriculture[27] - **Basis Momentum**: Calculate the basis momentum, particularly for the metals sector, to assess the relative strength of futures prices compared to spot prices[27][30] - **Volatility**: Track the volatility levels across commodity sectors to evaluate risk[27][30] - **Liquidity**: Measure the liquidity of commodity sectors to assess trading ease[27][30] - **Evaluation**: The commodity market factors showed mixed performance, with strong trends in energy and metals, weaker trends in agriculture, and high volatility across sectors. Liquidity remained stable overall[27][30] 5. Factor Name: Options Market Factors - **Construction Idea**: These factors analyze the implied volatility and skewness of options to infer market sentiment and expectations[35] - **Construction Process**: - **Implied Volatility**: Measure the implied volatility levels of options on major indices, such as the SSE 50 and CSI 1000, to gauge market uncertainty[35] - **Skewness**: Analyze the skewness of call and put options to understand market expectations for upward or downward movements[35] - **Evaluation**: The options market factors indicated a divergence in sentiment, with increased optimism for small-cap stocks (CSI 1000) and reduced optimism for large-cap stocks (SSE 50). This suggests a potential shift in market preference post-holiday[35] 6. Factor Name: Convertible Bond Market Factors - **Construction Idea**: These factors evaluate the valuation and trading activity of the convertible bond market[38] - **Construction Process**: - **Valuation**: Measure the average conversion premium of convertible bonds to assess their relative attractiveness[38] - **Trading Activity**: Track the trading volume and turnover in the convertible bond market to evaluate market interest[38] - **Evaluation**: The convertible bond market factors showed a slight increase in valuation, with trading activity continuing to recover, indicating improving market sentiment[38] --- Factor Backtesting Results 1. Market Style Factors - **Style Balance**: Balanced between large-cap and small-cap, as well as value and growth[11][13] - **Style Volatility**: Continued decline in volatility, indicating stability[11][13] 2. Market Structure Factors - **Return Dispersion**: Declined, indicating less variability in sector performance[11][13] - **Sector Rotation**: Slowed down, suggesting reduced changes in sector leadership[11][13] - **Trading Concentration**: Decreased, reflecting a more evenly distributed market[11][13] 3. Market Activity Factors - **Volatility**: Declined, indicating reduced market risk[12][13] - **Turnover Rate**: Decreased, reflecting lower trading activity[12][13] 4. Commodity Market Factors - **Trend Strength**: Strong in energy and metals, weak in agriculture[27][30] - **Basis Momentum**: Highest in metals, declined in other sectors[27][30] - **Volatility**: High across all sectors[27][30] - **Liquidity**: Stable overall[27][30] 5. Options Market Factors - **Implied Volatility**: Increased for both SSE 50 and CSI 1000, indicating higher uncertainty[35] - **Skewness**: Positive for CSI 1000 (small-cap optimism), negative for SSE 50 (large-cap caution)[35] 6. Convertible Bond Market Factors - **Valuation**: Slight increase in average conversion premium[38] - **Trading Activity**: Continued recovery in trading volume[38]

Group 1 - The article discusses the implications of social stratification and the influence of family background on individual success, highlighting that successful parents often seek to elevate their children, which can lead to public resentment when resources are perceived to be unfairly allocated [1][2] - It emphasizes the importance of maintaining a clear separation between personal and public matters, particularly in relationships, suggesting that proper procedures should be followed to avoid public backlash [2][3] - The author reflects on the personal costs of infidelity, weighing the emotional and familial consequences against the perceived benefits, ultimately concluding that the risks outweigh the rewards [2][3] Group 2 - The article provides insights into options trading, specifically selling call options as a strategy to generate income while managing risk, using Bitcoin as an example [3][4] - It explains the mechanics of options trading, including the potential outcomes of selling call options and the importance of setting acceptable price points for trades [4][5] - The discussion includes the concept of complexity in financial products, suggesting that more complex instruments may present unique opportunities due to information asymmetry [5]