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].

Group 1: Report Information - Report Name: Golden Industrial Strategy Weekly Report - Analysts: Li Xiaohui (Chief Analyst), Xu Fan (Senior Analyst) - Qualification Numbers: Li Xiaohui (F03120233, Z0019676), Xu Fan (F03107676, Z0022032) [1][2] Group 2: Treasury Bond Futures Analysis Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. The basis declined, the IRR continued to rise, and the inter - period spread was volatile and strong [3]. Timing Strategy - **Ten - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are basis factor, risk asset, and member position, with Sharpe ratios in 2025 of 1.68, 1.93, and 0.59 respectively [3][13]. - **Five - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, intraday volume - price, risk asset, member position, and basis factor, with Sharpe ratios in 2025 of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively [3][14]. - **Two - year Treasury Bonds**: Based on this year's performance, ranked by Sharpe ratio, the factors are high - frequency fund flow, basis factor, intraday volume - price, and member position, with Sharpe ratios in 2025 of 2.45, 1.82, 1.59, and 0.82 respectively [3][15]. Group 3: Commodity CTA Factor and Tracking Strategy Analysis Commodity Factor Performance - Last week, domestic commodities generally showed a strong trend, with the comprehensive index having a prominent weekly increase. Precious metals, non - ferrous metals, and some energy - chemical varieties had high upward intensities, and silver and lithium carbonate both had huge increases of over 17%. The overall profitability of commodity factors recovered. Except for the basic factors such as basis and warehouse receipts with basically flat weekly returns, other types of factors increased to varying degrees, especially the volume - price trend factors, mainly due to the recent rise in market sentiment, and the price trend deviated from the fundamental expectations to some extent. Commodity factors still have long - term expected return capabilities, and the overall performance of commodity factors is still optimistic in the medium - to - long term. However, recent market fluctuations may intensify the strategy's volatility risk, and investors are advised to adopt a balanced allocation approach to prevent risks [20][23]. Tracking Strategy Performance | Strategy Name | Annualized Return | Sharpe Ratio | Calmar | Max Drawdown | Recent One - Week Return | YTD Return | | --- | --- | --- | --- | --- | --- | --- | | CWFT | 9.3% | 1.59 | 1.06 | - 8.81% | 0.92% | 4.70% | | C_frontnext & Short Trend | 11.4% | 1.73 | 1.70 | - 6.72% | 0.33% | 4.19% | | Long CWFT & Short CWFT | 12.1% | 1.35 | 0.92 | - 13.07% | 1.71% | 0.49% | | CS XGBoost | 6.0% | 1.01 | 0.36 | - 16.70% | - 0.09% | - 9.13% | | RuleBased TS Sharp - combine | 12.0% | 1.57 | 1.45 | - 8.26% | 0.39% | 10.83% | | RuleBased TS XGB - combine | 11.9% | 2.08 | 2.65 | - 4.49% | - 0.28% | 8.39% | | CS strategies, EW combine | 12.6% | 1.79 | 1.71 | - 7.38% | 0.89% | - 2.10% | [21] Strategy Comparison - Among the above six strategies, Long CWFT & Short CWFT performed best last week with a return of 1.71%, and CWFT performed best this year with a return of 4.70% [42].

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - The stock index futures market fluctuated last week, with different sectors contributing to the gains of various indices. The basis of each variety showed different trends, and it is recommended to pay attention to the trading opportunities of inter - period positive spreads. The performance of various quantitative strategies in stock index futures, treasury bonds, and commodity CTA factors was also analyzed, and the performance of tracking strategies was evaluated [3][4]. Summary by Relevant Catalogs Stock Index Futures Quantitative Strategy Market Review - The market fluctuated last week. Non - bank and pharmaceutical sectors contributed to the rise of the Shanghai 50 Index, communication and electronics sectors contributed to the rise of the CSI 300 Index, and the electronics sector contributed to the rise of the CSI 500 and CSI 1000 Indices. The trading volume of each variety increased month - on - month, the basis of IH and IF weakened, and the basis of IC and IM strengthened [3][4]. Basis Strategy Recommendation - The basis of each variety fluctuated. IH turned to a discount, IF maintained a shallow discount, and IC and IM maintained a deep discount. 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 spreads. The roll - over strategy recommends going long on the near - term contract and short on the far - term contract [4]. Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the net value of each strategy fluctuated last week. The annualized basis rate factor lost 0.4%, the positive spread factor gained 0.1%, and the momentum factor gained 0.0% (6 - times leverage). The annualized basis rate factor mainly issued positive spread signals. The net value of the cross - variety arbitrage time - series synthetic strategy remained flat last week, and the latest cross - variety signal recommends a 50% position to go long on IC and short on IM, and keep IF/IC positions empty [5][6]. Timing Strategy Tracking - The timing strategy retracted last week. The daily timing strategy for the Shanghai 50 Index made a profit, while the other indices suffered losses. The Shanghai 50, CSI 300, CSI 500, and CSI 1000 Indices had a profit of 0.5%, a loss of 0.2%, a loss of 0.3%, and a loss of 1.3% respectively last week. The latest timing signal is bearish on the Shanghai 50 and CSI 300 Indices and bullish on the CSI 1000 Index [7]. Treasury Bond Futures Quantitative Strategy Market Review - Last week, all four treasury bond futures varieties rose first and then fell. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts were reported at 112.47 yuan, 107.985 yuan, 105.82 yuan, and 102.464 yuan respectively. In terms of the basis of treasury bond futures, the basis declined this week, the IRR continued to rise, and the inter - period spread fluctuated strongly [42]. Timing Strategy - For the 10 - year treasury bond, in terms of this year's performance, ranked by the Sharpe ratio, the basis factor, risk assets, and member positions had Sharpe ratios of 1.68, 1.93, and 0.59 respectively in 2025. For the 5 - year treasury bond, the high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor had Sharpe ratios of 2.51, 2.27, 1.71, 1.33, and 0.78 respectively in 2025. For the 2 - year treasury bond, the high - frequency capital flow, basis factor, intraday volume - price, and member positions had Sharpe ratios of 2.45, 1.82, 1.59, and 0.82 respectively in 2025 [42]. Commodity CTA Factor and Tracking Strategy Performance Factor Performance - Last week, the domestic commodity market was generally weak. Only a few varieties rose, including precious metals, lithium carbonate, polysilicon, and copper. Silver rose by more than 10% last week, while most other industrial products fell, with coking coal falling by more than 10%. For commodity factors, most commodity factors rose last week. The value - based and volume - price trend - based factors rose by nearly 2%, and the term structure - based factors rose by more than 1%. Among the basis - based factors, the basis momentum performed well, while the warehouse receipt - based factors had no returns. In general, it is believed that the recent market volatility may continue, but short - term fluctuations do not change the long - term performance ability of factors. There may be a risk of factor return retraction in the near term, but the overall performance of commodity factors is still optimistic in the medium and long term [59]. Tracking Strategy Performance - The CW FT strategy had an annualized return of 9.5%, a Sharpe ratio of 1.64, a Calmar ratio of 1.08, a maximum drawdown of - 8.81%, a return of 1.05% last week, and a return of 5.64% this year. The C_frontnext & Short Trend strategy had an annualized return of 11.7%, a Sharpe ratio of 1.78, a Calmar ratio of 1.74, a maximum drawdown of - 6.72%, a return of 0.55% last week, and a return of 5.34% this year. The Long CW FT & Short CW FT strategy had an annualized return of 12.2%, a Sharpe ratio of 1.37, a Calmar ratio of 0.93, a maximum drawdown of - 13.07%, a return of - 0.07% last week, and a return of 0.68% this year. The CS XGBoost strategy had an annualized return of 6.1%, a Sharpe ratio of 1.01, a Calmar ratio of 0.36, a maximum drawdown of - 16.70%, a return of - 0.94% last week, and a return of - 9.15% this year. The RuleBased TS Sharp - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 1.59, a Calmar ratio of 1.47, a maximum drawdown of - 8.26%, a return of 1.36% last week, and a return of 11.42% this year. The RuleBased TS XGB - combine strategy had an annualized return of 12.2%, a Sharpe ratio of 2.12, a Calmar ratio of 2.71, a maximum drawdown of - 4.49%, a return of 0.82% last week, and a return of 9.33% this year. The CS strategies, EW combine strategy had an annualized return of 12.8%, a Sharpe ratio of 1.81, a Calmar ratio of 1.73, a maximum drawdown of - 7.38%, a return of 0.06% last week, and a return of - 1.64% this year [60].

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The stock index futures market rebounded significantly last week, with the non - ferrous metals sector contributing to the major gains of the SSE 50 and CSI 300, and the machinery and non - ferrous metals sectors contributing to the major gains of the CSI 500 and CSI 1000. The trading volume of IF, IC, and IM decreased month - on - month, while that of IH increased. The basis of each variety weakened, and it is recommended to pay attention to the trading opportunities of inter - period positive arbitrage and adopt the strategy of going long on the near - term contract and shorting the far - term contract. [3][4] - In the bond futures market, the IRR of bond futures decreased this week, the basis strengthened, and the inter - period spread fluctuated weakly. Attention can be paid to the positive arbitrage space caused by the slight expansion of the inter - period spread. The daily - frequency timing strategy signals for bond futures were mostly long last week. [40] - In the commodity market, the overall performance of the commodity market was mixed last week. The precious metals and non - ferrous metals sectors performed well, while the energy metals, caustic soda, alumina, and glass sectors declined the most. The term - structure factors of commodities rose slightly, but their profitability was significantly lower than that of the price - volume trend and value factors. [55] Summary by Relevant Catalogs Stock Index Futures Quantitative Strategy Stock Index Futures Market Review - The market showed a significant rebound last week. By industry, non - ferrous metals contributed the main gains to the SSE 50 and CSI 300, while machinery and non - ferrous metals contributed the main gains to the CSI 500 and CSI 1000. The trading volume of IF, IC, and IM decreased month - on - month, while that of IH increased. The basis of each variety weakened. [3][4] Stock Index Futures Basis Strategy - The basis of each variety weakened, with IH in contango, IF maintaining a shallow backwardation, and IC and IM maintaining a deep backwardation. The hedging demand in the stock index futures market is still mainly short - side. It is expected that the deep backwardation 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 shorting the far - term contract. [4] Stock Index Futures Arbitrage Strategy Tracking - In terms of inter - period arbitrage strategies, the net value of each strategy was generally profitable last week. The annualized basis rate, positive arbitrage, and momentum factors had a loss of - 0.1%, a profit of 0.1%, and a profit of 0.3% (6 - times leverage) respectively. The annualized basis rate factor mainly gave positive arbitrage signals. [5] - The cross - variety arbitrage time - series synthetic strategy's net value lost last week as the market style shifted towards large - cap stocks. The latest cross - variety signal recommends a 50% position of going long on IF and shorting IC, IM, and keeping IC short - side positions empty. [6] Stock Index Futures Timing Strategy Tracking - Recently, the market has been in a sideways shock with low trading volume, and the overall position of the timing model is bearish. The daily - timing strategy for the SSE 50 and CSI 300 lost last week, while that for the CSI 500 and CSI 1000 made a profit, with losses of 0.4% and 0.8% for the SSE 50 and CSI 300 respectively, and profits of 0.3% and 0.8% for the CSI 500 and CSI 1000 respectively. The position of the timing model is low, and the latest signal is bearish on the CSI 300, with no signals for other indices. [7] Bond Futures Quantitative Strategy Basis and Inter - period Spread - The IRR of bond futures decreased this week, the basis strengthened, and the inter - period spread fluctuated weakly. Attention can be paid to the positive arbitrage space caused by the slight expansion of the inter - period spread. [40] Unilateral Strategy - The bond futures market was in a sideways trend last week. The daily - frequency timing strategy signals were mostly long, with the main long - looking factors including the basis, intraday price - volume, and high - frequency capital flow, and the main short - looking factors including the daily technical indicators and member positions. [41] Interest Rate Timing Signal - The interest rate timing signal predicts an upward movement in interest rates, with a relatively high proportion of long positions in the production factor and inventory factor. [42] Commodity CTA Factor and Tracking Strategy Performance Commodity Factor Performance - The overall performance of the commodity market was mixed last week. The precious metals and non - ferrous metals sectors performed well, with silver, copper, aluminum, and zinc leading the gains, all rising by more than 3%. The energy metals, caustic soda, alumina, and glass sectors declined the most. The term - structure factors of commodities rose slightly, but their profitability was significantly lower than that of the price - volume trend and value factors. It is expected that short - term market fluctuations will continue, but the long - term performance ability of factors remains unchanged. There may be a risk of factor return retracement in the near term, but the overall performance of commodity factors is still optimistic in the medium - to - long term. [55] Tracking Strategy Performance - The annualized returns, Sharpe ratios, Calmar ratios, and maximum drawdowns of different tracking strategies are as follows: CW FT strategy has an annualized return of 9.4%, a Sharpe ratio of 1.61, a Calmar of 1.06, and a maximum drawdown of - 8.81%; C_frontnext & Short Trend strategy has an annualized return of 11.6%, a Sharpe ratio of 1.76, a Calmar of 1.73, and a maximum drawdown of - 6.72%; Long CW FT & Short CW FT strategy has an annualized return of 12.2%, a Sharpe ratio of 1.38, a Calmar of 0.94, and a maximum drawdown of - 13.07%; CS XGBoost strategy has an annualized return of 6.3%, a Sharpe ratio of 1.04, a Calmar of 0.39, and a maximum drawdown of - 15.92%; RuleBased TS Sharp - combine strategy has an annualized return of 12.0%, a Sharpe ratio of 1.56, a Calmar of 1.45, and a maximum drawdown of - 8.26%; RuleBased TS XGB - combine strategy has an annualized return of 12.1%, a Sharpe ratio of 2.10, a Calmar of 2.69, and a maximum drawdown of - 4.49%; CS strategies, EW combine strategy has an annualized return of 12.8%, a Sharpe ratio of 1.82, a Calmar of 1.74, and a maximum drawdown of - 7.38%. [56]