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In general id say commerce is most profitable considering it's buildings give considerable commerce buffs and trade influence. Not to mention city harbors which for someone like Sun Jian at least give +10% faction-wide commerce each.
I wouldn't listen to the other guy about trade agreements, since it can easily be managed. Some warlords maybe unreliable, but lesser factions are rather dependable long as they aren't vassals. Besides if trade partners are lacking you can simply convert your administrators in to vassals and do trade with them.
Now about industry + commerce specifically: Considering the Wu Xing system, each industry building decreases the cost of blue buildings (commerce) by 10% which should be taken advantage of. For a small city with three building slots that is going to be an industry / commerce hub, you should build it like this for maximum yields: i) state workshop, ii) inn, iii) private workshop. These three together yield the most for the three building slots in general. When you upgrade your city further for fourth slot, then you should add marketplace.
Now, the above is the rule of thumb. But since life isn't as simple as that, you have to take into account which commandery specifically we are talking about and what specialty buildings it has as it will have a direct effect on what the priority will be. For instance, for Jianye specifically due to its specialty buildings it is more profitable mathematically to go i) state workshop, ii) inn iii) marketplace (essentially swapping marketplace and private workshop for third and fourth place).
I recommend 'Serious Trivia' on youtube because he has very good video guides on commanderies and what's best way to build each commandery, but again remember the 'best' is relative, not definite.
With any building the generate commerce it effectively works in the same way as income from peasantry or industry. So within a province you control if you have a building that says +100 income from commerce and another which gives 50% increase to trade from commerce you should get a fixed 150 income, irrelevant of any external trade agreements you have.
The value of trade with other factions is determined by a separate figure called your trade power, although it can also be boosted by commerce generating buildings and reforms (blue branch, with some purple).