债市策略思考：基于利率择时模型的再思考

Core Insights - As of July 4, 2025, the interest rate timing model has maintained a bullish signal since June, indicating a stable upward trend in the bond market [1][10] - The model's predictions align with the actual performance of the TL bond, which rose by 1.01 yuan, a 0.85% increase in June [1][10] Model Performance Review - The timing model effectively identified multiple buying windows in 2024, with a high correlation between predicted results and periods of declining interest rates [2][11] - Since May 14, 2024, the strategy's net value reached 1.179, outperforming the benchmark net value (TL) by a cumulative excess of 4.22% [2][17] - The model demonstrated strong excess return capabilities during bullish cycles but showed significant drawdowns during bearish periods, indicating a need for improvement in recognizing short-selling scenarios [2][14][17] Subsequent Optimization - The model's performance in bearish market conditions is limited due to insufficient training data from the newly listed 30-year Treasury futures (TL) [2][18] - To enhance the model's ability to identify bearish trends, historical data from the 10-year Treasury futures (T), which has a high price correlation with TL, will be utilized for training [2][19]