Quantitative Models and Construction Methods Model 1: Commodity Term Structure Model - **Construction Idea**: This model captures the state of commodity contango and backwardation using the roll yield factor, dynamically going long on commodities with high roll yields and short on those with low roll yields[23][24] - **Construction Process**: - Identify the roll yield for each commodity - Rank commodities based on their roll yields - Go long on commodities with the highest roll yields and short on those with the lowest roll yields - **Evaluation**: The model has shown good performance recently, particularly in the industrial metals and agricultural products sectors[23][24] Model 2: Commodity Time Series Momentum Model - **Construction Idea**: This model captures medium to long-term trends in domestic commodities using multiple technical indicators, dynamically going long on assets with upward trends and short on those with downward trends[23][24] - **Construction Process**: - Use technical indicators to identify trends in commodity prices - Rank commodities based on their trend strength - Go long on commodities with the strongest upward trends and short on those with the strongest downward trends - **Evaluation**: The model has underperformed recently, with significant losses in the black and energy chemical sectors[33][35] Model 3: Commodity Cross-Sectional Inventory Model - **Construction Idea**: This model captures changes in the domestic commodity fundamentals using the inventory factor, dynamically going long on assets with decreasing inventories and short on those with increasing inventories[23][24] - **Construction Process**: - Identify inventory levels for each commodity - Rank commodities based on their inventory changes - Go long on commodities with the largest inventory decreases and short on those with the largest inventory increases - **Evaluation**: The model has shown mixed performance, with significant losses in the agricultural products sector[39][41] Model Backtesting Results Commodity Term Structure Model - **Recent Two-Week Return**: 1.69%[26] - **Year-to-Date Return**: 3.09%[28] - **Top Contributors**: Glass (1.27%), PVC (0.32%), Rubber (0.31%)[30] - **Top Detractors**: Sugar (-0.16%), PTA (-0.24%), Methanol (-0.25%)[30] Commodity Time Series Momentum Model - **Recent Two-Week Return**: -1.22%[26] - **Year-to-Date Return**: -3.17%[33] - **Top Contributors**: Soybean Oil (0.26%), LPG (0.16%), Soybean Meal (0.07%)[37] - **Top Detractors**: Rebar (-0.28%), Soda Ash (-0.30%), Cotton (-0.33%)[37] Commodity Cross-Sectional Inventory Model - **Recent Two-Week Return**: -0.56%[26] - **Year-to-Date Return**: 3.42%[39] - **Top Contributors**: Corn (0.54%), Polypropylene (0.27%), Nickel (0.22%)[43] - **Top Detractors**: PVC (-0.26%), Cotton (-0.39%), Soybean Oil (-0.46%)[43]

1. Report Industry Investment Rating - No information provided on the industry investment rating 2. Report's Core View - The domestic crude oil futures contract 2509 is expected to maintain a weak and volatile trend, with a short - term and medium - term outlook of volatility, and an intraday view of weak volatility [1][5] 3. Summary Based on Relevant Catalogs 3.1 Time - frame Views - Short - term: The short - term view of crude oil 2509 is volatile [1] - Medium - term: The medium - term view of crude oil 2509 is volatile [1] - Intraday: The intraday view of crude oil 2509 is weakly volatile, and the reference view is a weak run [1][5] 3.2 Core Logic - Supply side: Eight major oil - producing countries in OPEC and non - OPEC decided to increase production by 547,000 barrels per day in September this year. Although OPEC+ started to relax voluntary production cuts in April, the production increase has not reached the target. OPEC's June production increased by 349,000 barrels per day, and the 8 countries in the agreement's production - increase period increased production by 394,000 barrels per day [5] - Macro - environment: Macro sentiment has weakened due to Trump's proposed tariff collection in the US, and supply pressure is prominent. Against this backdrop, on Wednesday night, the domestic crude oil futures 2509 contract closed 1.23% lower at 498.0 yuan per barrel [5] 3.3 Market Performance and Forecast - On Wednesday night, the domestic crude oil futures 2509 contract closed 1.23% lower at 498.0 yuan per barrel. It is expected to maintain a weakly volatile trend on Thursday [5]

Report Industry Investment Rating - Not provided Report's Core View - The domestic crude oil futures contract 2509 is expected to run weakly, with short - term, medium - term, and intraday trends showing an overall weakening tendency. The main reason is the supply pressure caused by the planned production increase of major oil - producing countries [1][5]. Summary by Relevant Catalogs Time - cycle Views - Short - term (within one week): The crude oil 2509 contract is expected to be in a volatile state [1]. - Medium - term (two weeks to one month): The crude oil 2509 contract is expected to be in a volatile state [1]. - Intraday: The crude oil 2509 contract is expected to be volatile and weak, and it is expected to maintain this trend on Tuesday [1][5]. Price and Market Performance - On the night session of Monday this week, the domestic crude oil futures 2509 contract closed slightly lower by 1.28% to 510.2 yuan/barrel [5]. Core Logic - Eight major oil - producing countries among OPEC and non - OPEC oil - producing countries decided to increase production by 547,000 barrels per day in September this year. Although OPEC+ began to relax voluntary production cuts in April, the actual production increase has far not reached the target. OPEC's monthly report shows that OPEC+ production increased by 349,000 barrels per day in June, and the production of the 8 countries in the agreement production - increase period increased by 394,000 barrels per day [5].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Report's Core View - The domestic crude oil futures contract 2509 is expected to run weakly, with a short - term, medium - term, and intraday view of being volatile, and the intraday view is specifically volatile and weak [1][5]. - The geopolitical risk premium increase was the main driver for the recent oil price rebound, but after the digestion of previous positive factors, the contract 2509 closed significantly lower by 2.86% to 513.0 yuan/barrel on the night session of last Friday, and is expected to maintain a volatile and weak trend on Monday [5]. 3. Summary by Related Content Time - cycle and View - For the crude oil 2509 contract, the short - term view is volatile, the medium - term view is volatile, and the intraday view is volatile and weak, with an overall view of weak operation [1]. Price Movement and Logic - Geopolitical risks, such as the Trump administration's tough stance on Russia and potential energy trade restrictions, along with OPEC+ maintaining the September production increase plan but with actual supply growth possibly falling short of expectations, and summer demand peak and tight inventory, were the reasons for the previous oil price rebound [5]. - After the digestion of previous positive factors, the domestic crude oil futures 2509 contract closed 2.86% lower to 513.0 yuan/barrel on the night session of last Friday, and is expected to be volatile and weak on Monday [5].

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Report's Core View - The domestic crude oil futures contract 2509 is expected to run strongly, with short - term, medium - term, and intraday trends being oscillatory, oscillatory, and oscillatory but bullish respectively [1][5]. 3. Summary by Related Content Price Movement and View - The short - term, medium - term, and intraday trends of crude oil 2509 are oscillatory, oscillatory, and oscillatory but bullish respectively, with a reference view of bullish operation [1]. - On Tuesday night, the domestic crude oil futures 2509 contract closed up 2.49% to 527.5 yuan/barrel, and it is expected to maintain an oscillatory but bullish trend on Wednesday [5]. Core Logic - The macro - atmosphere is bullish, with the third round of Sino - US economic and trade talks in Sweden. According to the consensus, the 24% suspended reciprocal tariffs by the US and China's counter - measures will be extended as scheduled, improving the macro - factor and boosting the risk appetite in the commodity market [5]. - US President Trump's disappointment with Russian President Putin and shortening of the deadline for Putin have enhanced the geopolitical sentiment in the oil market [5].

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core View of the Report - The report predicts that the domestic crude oil futures 2509 contract will maintain a volatile and slightly bullish trend. The geopolitical risks and improved macro - factors have led to a recovery in risk appetite in the commodity market, causing the oil price to jump. The domestic crude oil closed up 2.06% to 515.9 yuan/barrel on the night session of Monday this week, and it is expected to remain volatile and slightly bullish on Tuesday [1][5]. 3) Summary by Related Catalogs A. Time - based Viewpoints - **Short - term**: The short - term view of crude oil 2509 is volatile [1]. - **Medium - term**: The medium - term view of crude oil 2509 is volatile, and the medium - term view of crude oil (SC) is also volatile [1][5]. - **Intraday**: The intraday view of crude oil 2509 is volatile and slightly bullish, and the intraday view of crude oil (SC) is also volatile and slightly bullish [1][5]. B. Core Logic - Geopolitical risks have emerged, and the geopolitical factor is that the US President Trump's remarks about being disappointed with Russian President Putin and shortening the deadline became the focus of the crude oil futures market, causing the oil price to jump [1][5]. - Macro - factors have improved. The US and Europe reached a trade agreement last weekend, and China and the US will hold an economic and trade meeting in Sweden at the end of this month, which led to a recovery in risk appetite in the commodity market [5].

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The domestic crude oil futures contract 2509 is expected to run strongly, with short - term, medium - term, and intraday trends being oscillatory, oscillatory, and oscillatory - bullish respectively. The improvement of macro factors leads to a bullish trend, and although some major oil - producing countries plan to increase production in August, the negative impact is gradually digested, and the future space for further expansion of production is limited [1][5]. 3. Summary by Relevant Catalogs 3.1 Price and Trend - The domestic crude oil futures 2509 contract slightly rose 0.56% to 507.1 yuan/barrel in the night session on Thursday, and is expected to maintain an oscillatory - bullish trend on Friday [5]. 3.2 Time - cycle Views - Short - term (within one week): The trend of crude oil 2509 is oscillatory [1]. - Medium - term (two weeks to one month): The trend of crude oil 2509 is oscillatory [1]. - Intraday: The trend of crude oil 2509 is oscillatory - bullish [1][5]. 3.3 Core Logic - Macro factors have improved. The US and Japan reached a trade agreement, China and the US will hold an economic and trade meeting in Sweden from July 27th to 30th, and there are rumors that Europe and the US will also reach a tariff agreement, which has significantly increased the risk appetite of the commodity market [5]. - Although 8 major oil - producing countries in OPEC and non - OPEC decided to increase production by 548,000 barrels per day in August, exceeding market expectations, the negative impact of the production increase is gradually digested, and the future space for further expansion of production is limited as the original production - increase plan of the oil - producing countries is gradually realized [5].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The crude oil 2509 contract is expected to run strongly, with short - term, medium - term, and intraday trends being oscillatory, oscillatory, and oscillatory and slightly stronger respectively [1][5]. - After a significant decline, the confidence of oil market bulls has increased again, and the geopolitical premium has rebounded. Although 8 major oil - producing countries decided to increase production by 548,000 barrels per day in August, exceeding market expectations, the negative impact of increased production is gradually being digested, and the room for further production expansion in the future is limited. The domestic crude oil futures 2509 contract may maintain an oscillatory and stable trend on Wednesday [5]. 3. Summary by Related Catalog 3.1 Variety Morning Meeting Minutes - For the crude oil 2509 contract, the short - term view is oscillatory, the medium - term view is oscillatory, and the intraday view is oscillatory and slightly stronger. The reference view is a strong operation, and the core logic is that there are differences between long and short positions, and crude oil is oscillating and stabilizing [1]. 3.2 Price Quotes and Driving Logic of Main Varieties - Commodity Futures Energy and Chemicals Sector - The intraday view of crude oil (SC) is oscillatory and slightly stronger, and the medium - term view is oscillatory. The reference view is a strong operation. After a significant decline, the confidence of oil market bulls has increased, and the geopolitical premium has rebounded. Despite the planned production increase in August, the negative impact is being digested, and future production expansion space is limited. On Tuesday night, domestic and international crude oil futures prices were oscillatory and slightly weaker. The domestic crude oil futures 2509 contract closed slightly lower by 0.55% at 503.8 yuan per barrel, and is expected to be oscillatory and stable on Wednesday [5].

Report Summary Investment Rating - No specific investment rating for the industry is provided in the report. Core View - The crude oil market is expected to run strongly, with short - term and medium - term trends being volatile, and the intraday trend being volatile and slightly stronger. The domestic crude oil futures 2509 contract is expected to maintain a volatile and stable trend on Tuesday [1][5]. Summary by Related Catalogs 1. Market Trends - For the crude oil 2509 contract, the short - term trend is volatile, the medium - term trend is volatile, and the intraday trend is volatile and slightly stronger, with a reference view of strong operation [1]. 2. Price and Logic - After a significant decline, the confidence of oil market bulls has increased again, and the geopolitical premium has rebounded. Although eight major oil - producing countries in OPEC and non - OPEC decided to increase production by 548,000 barrels per day in August, exceeding market expectations, the negative impact of the production increase is gradually digested, and the future room for further production expansion is limited. Last Friday night, domestic and international crude oil futures prices showed a volatile and slightly weaker trend. The domestic crude oil futures 2509 contract closed down 1.20% to 509.1 yuan per barrel [5].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - The crude oil 2509 contract is expected to run strongly, with a short - term and medium - term view of consolidation and an intraday view of a slight upward consolidation [1][5]. 3. Summary According to Relevant Catalogs Price and Market Conditions - After a significant decline, the confidence of oil market bulls has increased, and the geopolitical premium has rebounded. The domestic crude oil futures 2509 contract slightly rose 0.41% to 513.2 yuan/barrel on the night of last Friday [5]. Market Logic - Although eight major oil - producing countries in OPEC and non - OPEC decided to increase production by 548,000 barrels per day in August, exceeding market expectations, as the negative impact of increased production is digested and the original production - increase plan of oil - producing countries is gradually realized, the room for further production expansion in the future is limited [5].