1. Report Industry Investment Rating No information provided. 2. Core Views - Last week, all Treasury bond futures contracts closed down, with the 30 - year and 10 - year contracts experiencing relatively large declines, while the 5 - year and 2 - year contracts had smaller drops. The basis of various Treasury bond futures varieties showed differentiation. The market risk preference weakened, activating the hedging attribute of Treasury bond futures. The downward trend of Treasury bond futures is not likely to reverse when the long - term bullish logic of the stock market remains unchanged and the coupon income of Treasury bonds is not attractive. The short - term hedging trading attribute of the bond market is more obvious when the expected return of equity or risk assets declines marginally [5]. - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. In the commodity factor aspect, in the highly volatile market environment caused by event conflicts, the volatility factor rose nearly 5%, while the value factor measuring spot prices declined significantly. The term structure factor basically closed flat, but has relatively good long - term return capabilities. In the short term, the market may continue to be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile. Investors are advised to diversify risks and avoid over - concentrating their positions [12][14]. 3. Summary by Directory 3.1 Treasury Bond Futures Quantitative Strategy 3.1.1 Treasury Bond Futures Market Review - Last week, all Treasury bond futures contracts closed down. The 30 - year main contract fell 1.47%, the 10 - year main contract fell 0.28%, the 5 - year main contract fell 0.15%, and the 2 - year main contract fell 0.03%. The basis of various varieties was differentiated. The CTD bond of the 10 - year bond was 250025, and its basis on the 13th was about 0.09 yuan, slightly lower than the historical average. The CTD bond of the 30 - year bond was 210014, and its basis on the 13th was 0.58 yuan, slightly higher than the historical average [5]. 3.1.2 Treasury Bond Futures Daily - Frequency Timing Strategy - For the 10 - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.71%, 1.27, and 2.04% respectively. From 2025/11/01 to the present, the corresponding figures were 2.62%, 1.61, and 0.67% respectively [5]. 3.1.3 Unilateral Strategy Performance - The annualized return, annualized volatility, annualized Sharpe ratio, maximum drawdown, and Calmar ratio of the strategy from the full - sample period were 2.71%, 2.13%, 1.27, 2.04%, and 1.32 respectively. After the report was released, the corresponding figures were 2.62%, 1.63%, 1.61, 0.67%, and 3.88 respectively [8]. 3.2 Commodity CTA Factor and Strategy Performance 3.2.1 Commodity Factor Performance - Due to the blockade of the Strait of Hormuz and the unclear end of the US - Iran war, crude oil and energy - chemical industry chain varieties rose significantly last week, driving most industrial products up. The volatility factor rose nearly 5%, the value factor declined significantly, and the term structure factor basically closed flat. In the short term, the market may be volatile due to geopolitical games, and the performance of CTA commodity factors may also be volatile [12][14]. 3.2.2 Tracking Strategy Performance - CWFT strategy: Annualized return 9.4%, Sharpe ratio 1.62, Calmar 1.07, maximum drawdown - 8.81%, recent one - week return 1.14%, and year - to - date return 2.77%. - C_frontnext & Short Trend strategy: Annualized return 11.7%, Sharpe ratio 1.78, Calmar 1.74, maximum drawdown - 6.72%, recent one - week return 1.39%, and year - to - date return 3.85%. - Long CWFT & Short CWFT strategy: Annualized return 13.0%, Sharpe ratio 1.45, Calmar 0.99, maximum drawdown - 13.07%, recent one - week return 2.92%, and year - to - date return 7.41%. - CS XGBoost strategy: Annualized return 5.0%, Sharpe ratio 0.81, Calmar 0.23, maximum drawdown - 21.40%, recent one - week return 0.57%, and year - to - date return - 5.03%. - RuleBased TS Sharp - combine strategy: Annualized return 11.5%, Sharpe ratio 1.51, Calmar 1.39, maximum drawdown - 8.26%, recent one - week return 3.33%, and year - to - date return 0.15%. - RuleBased TS XGB - combine strategy: Annualized return 10.9%, Sharpe ratio 1.90, Calmar 2.21, maximum drawdown - 4.95%, recent one - week return 0.63%, and year - to - date return - 3.09%. - CS strategies, EW combine strategy: Annualized return 13.0%, Sharpe ratio 1.86, Calmar 1.76, maximum drawdown - 7.38%, recent one - week return 2.03%, and year - to - date return 4.70% [13].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - Last week, all Treasury bond futures contracts closed higher, except for the two - year - term contract which closed down 0.05%. The 30 - year, ten - year, and five - year contracts rose 0.58%, 0.11%, and 0.05% respectively. The market risk preference weakened, activating the hedging property of Treasury bond futures. The downward trend of Treasury bond futures is not likely to reverse when the long - term bull market logic of the stock market remains unchanged and the coupon yield of Treasury bonds is not attractive. Only when the expected return of equity or risk assets declines marginally, the short - term hedging trading property of the bond market becomes more obvious [5]. - Last week, the domestic commodity market generally declined, with silver having the largest decline. Gold and silver dropped significantly due to external hedging and cooling speculation. The term structure and price - volume trend factors, which performed well before, were weak last week. The basis factors rose by more than 1.5% on average, the warrant factors closed slightly flat, and other factors generally declined by more than 2%. The volatility of commodity factor returns is increasing, and investors are advised to focus on commodity factors with long - term expected return capabilities [16][19][20]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Quantitative Strategy - **Market Review**: The 30 - year, ten - year, and five - year Treasury bond futures contracts closed higher last week, while the two - year contract closed down. The basis of each variety was differentiated. The CTD bond of the ten - year bond was 250018, with a basis of about 0.05 yuan on the 6th, which was the same as the historical average. The CTD bond of the 30 - year bond was 210005, with a basis of 0.19 yuan on the 6th, higher than the historical average [5]. - **Daily - frequency Timing Strategy for Treasury Bond Futures**: For the ten - year Treasury bond, from 2021/01/01 to the present, the annualized return, Sharpe ratio, and maximum drawdown of the single - leverage portfolio were 2.45%, 1.16, and 1.89% respectively. Since the report was released (2025/11/01 to the present), the corresponding figures were 4.24%, 2.95, and 0.59% respectively [5]. - **Single - side Strategy Performance**: The construction method can be found in "Sorting and Optimization of Daily - frequency Timing Factors for Treasury Bond Futures". The large - category factors include basis, daily technical, intraday price - volume, high - frequency capital flow, member positions, and risk assets. The signals are generated by equal - weighting and averaging within large - category factors, and the positive or negative sign of the average is used as the long - short signal. The back - testing details are that the strategy uses the VWAP of the first ten minutes of the next day's opening as the trading price and buys with single leverage [11][14]. 3.2 Commodity CTA Factor and Strategy Performance - **Commodity Factor Performance**: Last week, the domestic commodity market generally declined, with silver having the largest decline. The term structure and price - volume trend factors, which performed well before, were weak, while the basis factors rose by more than 1.5% on average, the warrant factors closed slightly flat, and other factors generally declined by more than 2%. The volatility of commodity factor returns is increasing [16][19][20]. - **Tracking Strategy Performance**: - CWFT strategy: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.04, maximum drawdown of - 8.81%, recent one - week return of - 0.92%, and year - to - date return of 0.56% [17]. - C_frontnext & Short Trend strategy: Annualized return of 11.1%, Sharpe ratio of 1.70, Calmar of 1.65, maximum drawdown of - 6.72%, recent one - week return of - 0.47%, and year - to - date return of - 0.17% [17]. - Long CWFT & Short CWFT strategy: Annualized return of 12.0%, Sharpe ratio of 1.35, Calmar of 0.92, maximum drawdown of - 13.07%, recent one - week return of - 1.58%, and year - to - date return of 0.73% [17]. - CS XGBoost strategy: Annualized return of 5.4%, Sharpe ratio of 0.88, Calmar of 0.26, maximum drawdown of - 21.19%, recent one - week return of 2.60%, and year - to - date return of - 2.86% [17]. - RuleBased TS Sharp - combine strategy: Annualized return of 11.2%, Sharpe ratio of 1.47, Calmar of 1.36, maximum drawdown of - 8.26%, recent one - week return of - 1.64%, and year - to - date return of - 2.20% [17]. - RuleBased TS XGB - combine strategy: Annualized return of 11.3%, Sharpe ratio of 1.97, Calmar of 2.52, maximum drawdown of - 4.49%, recent one - week return of 1.24%, and year - to - date return of - 1.88% [17]. - CS strategies, EW combine strategy: Annualized return of 12.5%, Sharpe ratio of 1.78, Calmar of 1.69, maximum drawdown of - 7.38%, recent one - week return of - 0.72%, and year - to - date return of 0.82% [17]. - **Strategy Details**: - CWFT combination: A simple composite combination of Carry, Warrant, Futurespot, and Trend factors, with equal weights within the same large category and a 5:2:2:1 weight for different large categories [23]. - C_frontnext & Short Trend combination: It aims to hedge the negative returns of short - term price fluctuations without changing the position direction of long - term spread factors, with C_frontnext as the main factor and Short Trend as the secondary factor [23]. - Long CWFT & Short CWFT combination: The four types of C, W, Fs, and T factors are equally weighted and compounded within the category and then compounded with a 5:2:2:1 ratio, with the long - cycle CWFT factor as the main factor and the short - cycle CWFT factor as the secondary factor [23]. - CS XGB combination: A time - series factor XGB combination based on all market varieties, trained with samples from 20091231 - 20191231 [23]. - RuleBased TS Sharp - weighted combination: A time - series factor strategy based on rule - based long - short signals, obtained by overlaying rules on the factor library and coarse - grained window parameters, and then a Sharpe - weighted combination is obtained after in - sample screening [23]. - RuleBased TS XGB combination: A time - series factor strategy based on rule - based long - short signals, obtained by overlaying rules on the factor library and coarse - grained window parameters, and then an XGBoost combination is obtained after in - sample screening [23]. - **Strategy Performance Comparison**: Among the six strategies, CS XGBoost performed the best last week with a return of 2.60%, and Long CWFT & Short CWFT performed the best year - to - date with a return of 0.73%. The equal - weighted composite strategy of the above cross - sectional strategies has an annualized return of 12.5%, a Sharpe ratio of 1.78, a Calmar of 1.69, a maximum drawdown of - 7.38%, a recent one - week return of - 0.72%, and a year - to - date return of 0.82% [40].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The market fluctuated last week, with the market style favoring large - cap stocks and the Shanghai Composite 50 Index rising. The financial sector contributed to the main gains of the Shanghai Composite 50 and CSI 300, while electronics and power equipment contributed to the main losses of the CSI 500 and CSI 1000 [3]. - The trading volume of each futures variety increased month - on - month, and the basis of IF, IC, and IM strengthened. The hedging demand in the stock index futures market is still mainly short - side. It is expected that the deep discount pattern of IC and IM will continue, and it is recommended to pay attention to the trading opportunities of inter - period positive arbitrage. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. - The performance of commodity factors was generally poor last week, with only volatility - related factors rising significantly. The term - structure factors fell by more than 1%. Although short - term market fluctuations may continue, the long - term performance of commodity factors is still optimistic [62]. 3. Summary by Directory 3.1 Stock Index Futures 3.1.1 Market Review - The market fluctuated last week, with the market style favoring large - cap stocks. The Shanghai Composite 50 Index rose. The financial sector contributed to the main gains of the Shanghai Composite 50 and CSI 300, while electronics and power equipment contributed to the main losses of the CSI 500 and CSI 1000 [3]. - The trading volume of each variety increased month - on - month, and the basis of IF, IC, and IM strengthened. IH was at a premium, IF maintained a shallow discount, and the discounts of IC and IM converged [4]. 3.1.2 Basis Strategy - It is expected that the deep discount pattern of IC and IM will continue. It is recommended to pay attention to the trading opportunities of inter - period positive arbitrage, and the roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the basis converged last week, showing a reverse arbitrage market. The annualized basis rate factor, positive arbitrage factor, and momentum factor had a profit of 0.6%, a loss of 0.8%, and a loss of 0.8% respectively (6 - times leverage). The annualized basis rate factor mainly gave reverse arbitrage signals [5]. - The net value of the cross - variety arbitrage time - series synthetic strategy had a small loss last week. The latest cross - variety signal recommends a 50% position to go long on IC and short on IM, and keep IF/IC positions empty [6]. 3.1.4 Timing Strategy Tracking - The net value of the timing strategy was differentiated last week. The Shanghai Composite 50 and CSI 300 had losses, while the CSI 500 and CSI 1000 had profits. The Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 had losses of 0.9%, 1.2%, and profits of 0.2%, 1.0% respectively last week. The latest timing signal is bearish on the Shanghai Composite 50 and CSI 1000 [7]. 3.2 Treasury Bond Futures 3.2.1 Market Review - Last week, the four treasury bond futures varieties all rose first and then fell. The 30 - year main contract was reported at 112.47 yuan, the 10 - year main contract at 107.985 yuan, the 5 - year main contract at 105.82 yuan, and the 2 - year main contract at 102.464 yuan. The basis of treasury bond futures decreased this week, the IRR continued to rise, and the inter - period spread fluctuated strongly [45]. 3.2.2 Timing Strategy - For the 10 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are the basis factor, risk assets, and member positions, with Sharpe ratios of 1.68, 1.93, and 0.59 respectively in 2025 [45][55]. - For the 5 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor, with Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively in 2025 [45][56]. - For the 2 - year treasury bond, in terms of this year's performance, ranked by Sharpe ratio, the factors are high - frequency capital flow, basis factor, intraday volume - price, and member positions, with Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively in 2025 [45][57]. 3.3 Commodity CTA 3.3.1 Factor Performance - Last week, the number of rising and falling domestic commodity varieties was relatively balanced. The composite index first fell and then rose but remained flat overall. There was obvious sector differentiation. Anti - involution varieties had significant gains, with lithium carbonate rising by more than 10% weekly, and coking coal and polysilicon also rising by more than 7%. The agricultural products, especially oilseeds and oils, had the largest declines. The overall profitability of commodity factors was poor. After a sharp rise the week before last, they generally declined, and only volatility - related factors rose significantly. The term - structure factors fell by more than 1%, as the varieties with large recent increases still had a contango structure, resulting in heavy losses for short positions [62]. 3.3.2 Tracking Strategy Performance - CWFT strategy: Annualized return of 9.2%, Sharpe ratio of 1.57, Calmar ratio of 1.04, maximum drawdown of - 8.81%, recent one - week return of - 1.80%, and year - to - date return of 3.74% [63]. - C_frontnext & Short Trend strategy: Annualized return of 11.4%, Sharpe ratio of 1.72, Calmar ratio of 1.70, maximum drawdown of - 6.72%, recent one - week return of - 1.41%, and year - to - date return of 3.86% [63]. - Long CWFT & Short CWFT strategy: Annualized return of 11.8%, Sharpe ratio of 1.32, Calmar ratio of 0.90, maximum drawdown of - 13.07%, recent one - week return of - 1.86%, and year - to - date return of - 1.19% [63]. - CS XGBoost strategy: Annualized return of 6.1%, Sharpe ratio of 1.01, Calmar ratio of 0.36, maximum drawdown of - 16.70%, recent one - week return of 0.10%, and year - to - date return of - 9.05% [63]. - RuleBased TS Sharp - combine strategy: Annualized return of 12.0%, Sharpe ratio of 1.56, Calmar ratio of 1.45, maximum drawdown of - 8.26%, recent one - week return of - 0.91%, and year - to - date return of 10.40% [63]. - RuleBased TS XGB - combine strategy: Annualized return of 12.0%, Sharpe ratio of 2.10, Calmar ratio of 2.68, maximum drawdown of - 4.49%, recent one - week return of - 0.58%, and year - to - date return of 8.70% [63]. - CS strategies, EW combine strategy: Annualized return of 12.5%, Sharpe ratio of 1.77, Calmar ratio of 1.69, maximum drawdown of - 7.38%, recent one - week return of - 1.34%, and year - to - date return of - 2.97% [63].