利率市场趋势定量跟踪：利率择时信号中性偏空

Quantitative Models and Construction Methods - Model Name: Multi-period interest rate timing strategy Model Construction Idea: The model uses multi-period resonance strategies to capture interest rate trends and generate timing signals based on shape recognition algorithms[10][22] Model Construction Process: 1. Signal Generation: Utilize kernel regression algorithms to identify support and resistance lines of interest rate data. Analyze the breakthrough patterns of interest rate trends across long, medium, and short cycles[10][22] 2. Portfolio Construction: - If at least two cycles show downward breakthroughs and the trend is not upward, allocate fully to long-duration bonds - If at least two cycles show downward breakthroughs but the trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds - If at least two cycles show upward breakthroughs and the trend is not downward, allocate fully to short-duration bonds - If at least two cycles show upward breakthroughs but the trend is downward, allocate 50% to medium-duration bonds and 50% to short-duration bonds - In other cases, allocate equally across short, medium, and long durations - Stop-loss mechanism: Adjust holdings to equal-weighted allocation if daily excess returns fall below -0.5%[22] Model Evaluation: The strategy demonstrates strong performance with consistent positive returns and high excess return ratios over the long term[22][23] Model Backtesting Results - Multi-period interest rate timing strategy: - Short-term annualized return: 7.27%[4][22] - Short-term maximum drawdown: 1.56%[4][22] - Short-term return-to-drawdown ratio: 6.23[4][22] - Short-term excess return: 2.2%[4][23] - Long-term annualized return: 6.17%[22] - Long-term maximum drawdown: 1.52%[22] - Long-term return-to-drawdown ratio: 2.26[22] - Long-term excess return: 1.66%[22] - Excess return-to-drawdown ratio: 1.18[22] - Annual absolute return win rate: 100%[23] - Annual excess return win rate: 100%[23] Quantitative Factors and Construction Methods - Factor Name: Interest rate structure indicators (level, term, convexity) Factor Construction Idea: Transform yield-to-maturity (YTM) data of 1-10 year government bonds into structural indicators to analyze market trends from a mean-reversion perspective[7][9] Factor Construction Process: 1. Calculate the level structure indicator as the average YTM across maturities 2. Compute the term structure indicator as the difference between long-term and short-term YTM 3. Derive the convexity structure indicator based on the curvature of the yield curve[7][9] Factor Evaluation: The indicators provide insights into the current state of the interest rate market, showing low levels across all three structures[7][9] - Factor Name: Multi-period interest rate timing signals Factor Construction Idea: Use kernel regression algorithms to identify interest rate trends and generate timing signals based on breakthroughs across long, medium, and short cycles[10] Factor Construction Process: 1. Apply kernel regression to identify support and resistance lines for interest rate data 2. Analyze breakthrough patterns across different cycles (monthly for long-term, bi-weekly for medium-term, weekly for short-term)[10] Factor Evaluation: The signals are effective in capturing market trends, with the latest signals indicating a neutral-to-bearish stance[10] Factor Backtesting Results - Interest rate structure indicators: - Level structure: Current reading is 1.51%, positioned at 6%, 4%, and 2% percentiles for 3, 5, and 10-year historical perspectives, respectively[9] - Term structure: Current reading is 0.3%, positioned at 13%, 8%, and 10% percentiles for 3, 5, and 10-year historical perspectives, respectively[9] - Convexity structure: Current reading is 0.02%, positioned at 18%, 11%, and 11% percentiles for 3, 5, and 10-year historical perspectives, respectively[9] - Multi-period interest rate timing signals: - Long-term signal: Upward breakthrough[10] - Medium-term signal: No signal[10] - Short-term signal: Downward breakthrough[10] - Overall signal: Neutral-to-bearish[10]