利率市场趋势定量跟踪：利率价量择时信号维持看多

Quantitative Models and Construction Methods - Model Name: Multi-cycle timing model for domestic interest rate price-volume trends Model Construction Idea: The model uses kernel regression algorithms to capture interest rate trend patterns, identifying support and resistance lines based on different investment cycles. It provides composite timing signals by analyzing the shape of interest rate movements across long, medium, and short cycles[10][24][29] Model Construction Process: 1. Data Input: Use 5-year, 10-year, and 30-year government bond YTM data as the basis for analysis[10][24][29] 2. Cycle Definition: Define long, medium, and short cycles with average switching frequencies of monthly, bi-weekly, and weekly, respectively[10][24][29] 3. Signal Generation: - If at least two cycles show downward breakthroughs of the support line and the interest rate trend is not upward, allocate fully to long-duration bonds - If at least two cycles show downward breakthroughs of the support line but the interest rate trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds - If at least two cycles show upward breakthroughs of the resistance line and the interest rate trend is not downward, allocate fully to short-duration bonds - If at least two cycles show upward breakthroughs of the resistance line but the interest rate 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[24][29][29] Model Evaluation: The model demonstrates strong adaptability across different market environments and provides consistent timing signals based on multi-cycle resonance[10][24][29] - Model Name: Multi-cycle timing model for U.S. interest rate price-volume trends Model Construction Idea: The domestic price-volume timing model is applied to the U.S. interest rate market, analyzing long, medium, and short cycles to generate composite timing signals[21][23][24] Model Construction Process: 1. Data Input: Use 10-year U.S. Treasury YTM data for analysis[21][23][24] 2. Cycle Definition: Define long, medium, and short cycles with average switching frequencies of monthly, bi-weekly, and weekly, respectively[21][23][24] 3. Signal Generation: Similar to the domestic model, signals are generated based on the number of cycles showing breakthroughs of support or resistance lines and the direction of interest rate trends[21][23][24] Model Evaluation: The model effectively captures U.S. interest rate trends and provides reliable timing signals for investment decisions[21][23][24] Model Backtesting Results - Domestic Multi-cycle Timing Model - 5-year YTM: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since 2024): 1.86% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.15 - Long-term excess return: 1.07% - Excess return-to-drawdown ratio: 0.62 - Short-term excess return: 0.86% - Excess return-to-drawdown ratio: 2.18[25][27][37] - 10-year YTM: - Long-term annualized return: 6.09% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.23 - Short-term annualized return (since 2024): 2.35% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.07 - Long-term excess return: 1.66% - Excess return-to-drawdown ratio: 1.16 - Short-term excess return: 1.56% - Excess return-to-drawdown ratio: 3.46[28][32][37] - 30-year YTM: - Long-term annualized return: 7.38% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.73 - Short-term annualized return (since 2024): 2.98% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.26 - Long-term excess return: 2.42% - Excess return-to-drawdown ratio: 0.87 - Short-term excess return: 2.87% - Excess return-to-drawdown ratio: 3.21[33][35][37] - U.S. Multi-cycle Timing Model - 10-year YTM: - Composite signal: Long cycle upward breakthrough, medium and short cycles downward breakthrough - Final signal: Bullish[21][23][24]