- Term structure
- Basis
- Basis momentum
- Roll return
- Storage
- Inventory level
- Warehouse receipt change rate
- Open interest change
- Price/volume indicators
- Liquidity
- Momentum
- Skewness
- Volatility
- Coefficient of Variance
- Macro signals
- CNY beta
- Inflation beta
- Get dominant future contracts and calculate restoration prices
- Calculate signals
- Construct portfolios
- Calculate portfolio returns
Results are Published on Wind, See 《申万宏源——挖掘商品期货风险溢价因子》