The Commodity Index of Mandarin is as follows:
Basically, based on this, you can clearly perceive the general trend of the entire futures, as well as the ups and downs of each sector, and then form a guide for which product to operate.
So where do these indices come from?
Reference address: Wenhua Index - Wenhua Financial Information Co., Ltd. (wenhua.com.cn)
1 Index classification
1) Indices of each variety
The weighted average of each month's contract of each product is taken as the weight of the contract position, the total position is 1, each position is the proportion, and the price is used as the parameter, multiplied by the respective weights and then accumulated to obtain the weighted price of the product
As shown in the figure, there are 11 effective contracts on June 1, with a total open interest of 2,562,136 lots. The weighted price of each contract is obtained by multiplying the price of each contract by the ratio of its own open interest to the total open interest, and finally the weighted price is added up. That is, the index price of the product on that day is 4695.509523, and the rounded integer is 4696
2) Sector Index
The official document of the sector index states that the arithmetic average of each index is used. As for the distribution of weights, it is not clearly stated. The possible methods of guessing are: 1) based on the initial data, 2) based on yesterday’s closing, 3) based on the current The data at the beginning of the month is the benchmark, 4) the data at the end of the month is the benchmark
In the actual calculation, it is found that the weight calculated based on the above month-end data is the smallest error between the sector index and Wenhua on the day. The following data is calculated for the index test of the grain sector starting from July 1, 2022
The data corresponding to the calculation of the weight coefficient on June 30 is:
| date | corn price | bean price | Grain Index | corn factor | bean-coefficient |
| June 30 | 2784 | 5944 | 276.15 | 0.049595905 | 0.023229307 |
Calculation method:
Corn coefficient: grain index/2/corn price=0.023229307
Bean 1 coefficient: grain index/2/bean 1 price=0.049595905
Then use the calculated coefficients as the basis for calculating the grain index in July, respectively calculate the number of points for beans and corn, and add them together to get the actual number of points for the grain index.
Through the table, it can be found that there is a little error with the grain index released by Wenhua, so the actual sector index calculation should still need some adjustments, and it is not yet possible to fully correspond