国债期货量化系列九：国债期货久期中性利率曲线策略

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The duration-neutral interest rate curve strategy for Treasury bond futures has stable returns. Its main drawback is sensitivity to slippage, especially when market volatility is low. However, it offers significant return potential and certainty during large market fluctuations and can hedge the volatility risks of futures timing strategies or spot bond long strategies. In the market adjustment in Q1 2025, the timing strategy for bond futures suffered large negative impacts and significant net value drawdowns, while the combination of the cross - variety arbitrage strategy and the timing strategy for bond futures still achieved positive returns, with a maximum drawdown of only 0.8% in Q1 2025 [1][34]. - The return sources of the duration - neutral cross - variety arbitrage strategy for Treasury bond futures are interest rate curve fluctuations and basis Carry income. The cross - variety arbitrage strategy is split into two sub - strategies: the spot bond net price duration - neutral spread for predicting the interest rate curve and the bond futures duration - neutral spread considering basis impacts [2][11]. 3. Summary by Directory 3.1 Main Content - The report focuses on the daily arbitrage strategy of the duration - neutral interest rate curve based on Treasury bond futures. The strategy dynamically adjusts the long - short ratio of cross - variety combinations daily based on duration - neutral matching to meet the dynamic duration - neutral requirement and obtain arbitrage income after removing unilateral risks. The return sources are interest rate curve fluctuations and basis Carry income. The strategy is constructed based on basis Carry factors, volume - price factors, interest rate spread factors, and institutional trading behavior and funding factors. Each cross - variety combination is independently modeled, and the single cross - variety combination timing prediction strategy is split into two sub - strategies. Also, due to the low volatility and high slippage cost of Treasury bond futures, the strategy construction needs to reduce turnover [11]. 3.2 Duration - Neutral Combination Construction and Influencing Factor Analysis - Calculate the duration - neutral matching ratio for Treasury bond futures cross - variety combinations and spot bond cross - variety combinations. For Treasury bond futures, select active bonds and the CTD from the basket of deliverable bonds, approximate the Treasury bond futures duration as the CTD duration, and get the ratio of the high - duration to the low - duration for the cross - variety combination. For the active bond spot bond combination, determine the ratio directly based on its duration. Calculate the cumulative spread of the duration - neutral combination based on the dynamic neutral matching ratio and contract return difference/return rate. For the rounding of the duration - neutral matching ratio, retain decimals in the factor signal modeling part and round to integer lots after factor compounding, adding leverage scaling and contract multiples for backtesting. The spread trend of the futures duration - neutral combination is affected by interest rate curve and basis Carry. The basis Carry is positively correlated with the difference between the futures and spot bond duration - neutral cumulative spreads. A widening basis trend benefits the steepening combination, while a converging basis trend benefits the flattening combination [12][13]. 3.3 Duration - Neutral Strategy Modeling 3.3.1 Strategy Factor Pool - The factor pool for the duration - neutral cross - variety arbitrage strategy of bond futures includes basis Carry factors, volume - price factors, and third - party factors. Basis Carry factors have basic and deep basis factors, with deep basis factors optimized from four aspects. Volume - price factors consist of four sub - categories. Third - party factors, sourced from third - party data procurement and simple processing, are valuable in timing strategies. To control slippage, factor frequency is reduced by smoothing the factor original value with the LLT model and then calculating changes, aiming to keep the strategy turnover below 50 times per year [18][20][21]. 3.3.2 Strategy Construction - Build independent strategies for different duration - neutral paired combinations of Treasury bond futures. Split the single cross - variety combination timing prediction strategy into two sub - strategies: predicting the change in the active bond combination duration - neutral spread based on interest rate curves, institutional trading, funding, and volume - price factors, and predicting the change in the futures duration - neutral combination spread based on basis factors and bond futures volume - price indicators. Combine the signals of the two sub - strategies to get the final strategy signal. Provide details on prediction targets, sample sets, factor pools, signal models, factor synthesis, sub - strategy synthesis, and backtesting settings [23]. 3.3.3 Strategy Effect Analysis - Construct medium - short - duration (TS - T) and medium - long - duration (T - TL) combinations. The TS - T strategy outperforms the T - TL strategy. The TS - T combination is affected by basis, volume - price, interest rate curve, and institutional behavior factors, while the T - TL combination is less affected by the basis. From 2021 to the present, the TS - T strategy has a sample - out - of - sample rolling net value Sharpe ratio of 1.31, a Calmar ratio of 1.95, an annualized return of 4%, and a maximum drawdown of 2%. From 2023 to the present, the T - TL strategy has a sample - out - of - sample rolling net value Sharpe ratio of 0.8, a Calmar ratio of 0.96, an annualized return of 6.6%, and a maximum drawdown of 6.9%. The TS - T combination has more stable annual net value performance, while the T - TL combination is more volatile [3][24]. 3.4 Timing Strategy and Cross - Variety Strategy Superposition - The duration - neutral interest rate curve strategy for Treasury bond futures can hedge the volatility risks of futures timing strategies or spot bond long strategies. In the market adjustment in Q1 2025, the combination of the cross - variety arbitrage strategy and the timing strategy for bond futures achieved positive returns, with a maximum drawdown of only 0.8% [34].