Group 1: Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: March 17, 2026 [2] - Report Author: Guotou Futures Research Institute, Financial Engineering Group [2] Group 2: Industry Investment Rating - Not provided in the report Group 3: Core Viewpoints - The proportion of long positions in commodities decreased slightly this week, mainly due to the decline in the strength of agricultural product factors. The relatively strong sectors in the cross - section are energy - chemical and black, while the relatively weak one is the agricultural product sector. Short - term price - volume factors are highly volatile due to macro factors [3]. Group 4: Commodity Factor Analysis Overall Commodity Situation - The short - term cross - section differentiation of agricultural products narrowed, and short - term factors declined marginally. The short - term momentum of the chemical industry as a whole declined, with asphalt showing relatively little change. The short - term momentum of the black sector increased marginally, and iron ore was relatively strong in the cross - section. The short - cycle momentum differentiation of the non - ferrous sector expanded, and aluminum and tin were strong in the term structure. The time - series momentum of gold fluctuated within a narrow range, and the position factor of silver rebounded [3]. Factor Performance | Sector | Momentum Time - series | Momentum Cross - section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black | 0 | 0.09 | 0 | - 0.08 | | Non - ferrous | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy - chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [6] Group 5: Strategy Net Value and Fundamental Factor Analysis Methanol - In terms of strategy net value, the inventory factor weakened by 0.22%, the spread factor decreased by 0.21%, and the synthetic factor decreased by 0.23%. This week, the comprehensive signal turned neutral. On the fundamental factors, the import volume of methanol released a short signal on the supply side; the demand side was neutral to bearish; the inventory side turned bullish; the spread side was neutral to bullish [5]. Float Glass - Strategy net value: The supply factor strengthened by 0.02%, the demand factor increased by 0.21%, the inventory factor increased by 0.18%, the profit factor increased by 0.04%, and the synthetic factor increased by 0.17%. This week, the comprehensive signal was bearish. On the fundamental factors, the demand side turned neutral, the inventory side continued to be bearish, the profit side turned neutral, and the spread side was neutral to bearish [8]. Iron Ore - Strategy net value: The supply factor decreased by 0.79% last week, and the comprehensive factor weakened by 0.16%. This week, the comprehensive signal changed from neutral to bullish. The supply side signal changed from bearish to bullish, the demand side signal changed from bullish to bearish, the inventory side signal remained neutral, and the spread side signal turned bullish [8]. Aluminum - Strategy net value: Last week, the demand factor increased by 0.5%, the inventory factor strengthened by 0.59%, the spread factor decreased by 0.35%, and the synthetic factor strengthened by 0.15%. This week, the comprehensive signal remained bearish. The supply side signal remained neutral, the inventory side bearish signal weakened, and the spread side signal remained bullish [8].

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - On March 10, 2026, equity index futures rose, while most commodities declined, with energy & chemicals and agricultural products falling across the board [2][9]. - China's imports and exports in RMB terms rose 17.1% and 19.2% YoY respectively in Jan - Feb 2026, showing continued steady improvement and strong resilience [34]. - Trump said he will lift some sanctions to stabilize international oil prices, and the Islamic Revolutionary Guard Corps stated that Iran will decide when the war ends [1][34]. 3. Summary by Directory 3.1 China Futures 3.1.1 Overview - On March 10, equity index futures (IM and IC) rose 1.6%. In commodity futures, the top three gainers were Silver (up 7.1% with open interest decreasing 5.8% month - on - month), Platinum (up 4.3% with open interest decreasing 0.9% month - on - month), and Lithium Carbonate (up 4.2% with open interest increasing 0.6% month - on - month). The top three decliners were SCFIS(Europe) (down 13.9% with open interest decreasing 10.9% month - on - month), Crude Oil (down 10.8% with open interest decreasing 13.3% month - on - month), and Methanol (down 7.6% with open interest decreasing 16.2% month - on - month) [9][10][11]. 3.1.2 Daily Raise - **Gold**: On March 10, the Gold main contract rose 0.8% to 1150.0 yuan/g (SHFE). Short - term may operate in a range - bound manner. Geopolitical risks in the Middle East persist, and China's central bank has increased its gold holdings for the 16th consecutive month. Long - term trend is optimistic as the weakening of U.S. dollar credibility remains unchanged [15][16][17]. - **Silver**: On March 10, the main contract of Silver rose 7.1% to 22758 yuan/kg (SHFE). It may remain range - bound, and the gold - silver ratio is likely to strengthen in oscillations in the short term. Short - term macro drivers are under pressure, and its own spot fundamentals are softening. Long - term trend is expected to align with gold [21][22][23]. - **Lithium Carbonate**: On March 10, the main contract of Lithium Carbonate rose 4.2% to 163000 yuan/ton (GFEX). Energy price increase expectations boost energy storage demand. In March, the fundamental outlook is strong, but downstream performance needs to be observed. Expect prices to stay range - bound [27][28][29]. 3.2 China News 3.2.1 Macro News - China's imports and exports in RMB terms rose 17.1% and 19.2% YoY respectively in Jan - Feb 2026, with total trade hitting 7.73 trillion yuan [34]. - Trump will lift some oil - related sanctions to stabilize oil prices, and the military operation against Iran will end "soon" but "not" this week [34]. - Iran's Islamic Revolutionary Guard Corps stated that Iran will decide when the war ends [34]. - Israel launched an air strike on Iran's capital Tehran on March 10th, targeting local nuclear laboratories [34]. 3.2.2 Trading News - Multiple exchanges adjusted price limits, trading margin ratios, trading fee standards, and minimum opening & closing order sizes for various futures contracts on March 10, 2026 [35][39][41].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - On January 26, equity index futures and CGB futures were mixed, and most commodities rose, with precious metals leading the gains [2][4][11][13][14] - Geopolitical risks and the dollar credit crisis are key drivers for the upward movement of precious metals. The long - term upward trend of gold and silver is expected to persist, and the annual target ranges are revised up [19][22][24] - Platinum prices are expected to fluctuate with an upward bias in the medium to long term due to supply - demand fundamentals and macro liquidity [27][31][32] 3. Summary by Directory 3.1 China Futures 3.1.1 Overview - On January 26, in equity index futures, IH rose 0.5% and IM dropped 2.2%; in CGB futures, TL rose 0.20% and TF dropped 0.02%. In commodity futures, the top three gainers were silver (up 12.8% with a 2.0% month - on - month increase in open interest), platinum (up 9.7% with a 3.7% month - on - month increase in open interest), and palladium (up 7.2% with a 0.9% month - on - month decrease in open interest). The top three decliners were lithium carbonate (down 6.6% with a 5.0% month - on - month decrease in open interest), live hog (down 1.0% with a 1.5% month - on - month increase in open interest), and iron ore (down 0.9% with a 0.1% month - on - month decrease in open interest) [11][12][13][14] 3.1.2 Daily Raise 3.1.2.1 Gold & Silver - On January 26, gold and silver prices surged sharply. SHFE Gold rose 3.67% and SHFE Silver jumped 12.78%. Spot London Gold broke through $5,100 per ounce intraday, and Spot London Silver approached $110 per ounce [18][22] - Geopolitical risks and the dollar credit crisis are key drivers for the upward movement. The Fed's independence risk has become the core focus. Short - term overheating risks are increasing, but the long - term upward trend is expected to persist, and the annual target ranges are revised up [19][22][24] 3.1.2.3 Platinum - On January 26, platinum rose 9.7% to 744.70 yuan/g. Supply - demand fundamentals and macro liquidity support the medium - to - long - term upward trend. South African floods may disrupt supply, and geopolitical tensions are a source of volatility. Long - term, supply risks and expanding demand support a long - position view [27][31][32] 3.2 China News 3.2.1 Macro News - The Chinese Foreign Ministry responded to reports that British Prime Minister Keir Starmer will visit China this week, stating that relevant information will be released in a timely manner [36][37] - A policy document on accelerating the cultivation of new growth drivers for service consumption will be launched soon [36][37] 3.2.2 Industry News - The CSRC further expands the scope of futures market open varieties, adding 14 new international specific products accessible to overseas investors [38][39] - The SHFE adjusts price limit ranges and margin ratios for futures contracts of nickel, aluminium oxide, lead, zinc and stainless steel [38][39] - The CSRC approves the registration of TSR 20 Options, LSFO Options and Copper(BC) Options [38][39]