利率市场趋势定量跟踪：利率价量择时信号整体仍偏多

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 the shape of interest rate movements across different investment cycles [10][24] Model Construction Process: 1. Data Input: Utilize 5-year, 10-year, and 30-year government bond YTM data as the basis for analysis [10][24] 2. Cycle Classification: Divide the investment horizon into long-term (monthly frequency), medium-term (bi-weekly frequency), and short-term (weekly frequency) cycles [10][24] 3. Signal Identification: Detect upward or downward breakthroughs of support and resistance lines for each cycle [10][24] 4. Composite Scoring: Aggregate signals across cycles, assigning scores based on the number of consistent breakthroughs (e.g., 2/3 consistent signals lead to a "buy" or "sell" recommendation) [10][24] Model Evaluation: The model effectively captures multi-cycle resonance in interest rate trends, providing actionable timing signals for bond trading strategies [10][24] - Model Name: Multi-cycle timing model for U.S. interest rate price-volume trends Model Construction Idea: Apply the domestic interest rate price-volume timing model to the U.S. Treasury market [21] Model Construction Process: 1. Data Input: Use 10-year U.S. Treasury YTM data for analysis [21] 2. Cycle Classification: Similar to the domestic model, divide the investment horizon into long-term, medium-term, and short-term cycles [21] 3. Signal Identification: Detect upward or downward breakthroughs of support and resistance lines for each cycle [21] 4. Composite Scoring: Aggregate signals across cycles, assigning scores based on the number of consistent breakthroughs [21] Model Evaluation: The model provides a neutral-to-bullish outlook for U.S. Treasury yields, indicating its adaptability to international markets [21] 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: 3.16 - Long-term excess return: 1.07% - Short-term excess return: 0.85% [25][27] - 10-year YTM: - Long-term annualized return: 6.09% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.22 - Short-term annualized return (since 2024): 2.42% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.19 - Long-term excess return: 1.66% - Short-term excess return: 1.55% [28][32] - 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): 3.11% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.39 - Long-term excess return: 2.42% - Short-term excess return: 2.87% [33][35] - U.S. Multi-cycle Timing Model: - 10-year YTM: - Current signal: Neutral-to-bullish - Long-term annualized return: Not provided - Maximum drawdown: Not provided - Return-to-drawdown ratio: Not provided [21][23] Quantitative Factors and Construction Methods - Factor Name: Interest rate structure indicators (level, term, convexity) Factor Construction Idea: Transform YTM data into structural indicators to analyze the interest rate market from a mean-reversion perspective [7] Factor Construction Process: 1. Level Structure: Calculate the average YTM across maturities (1-10 years) 2. Term Structure: Measure the slope between short-term and long-term YTM 3. Convexity Structure: Assess the curvature of the yield curve [7] Factor Evaluation: The indicators effectively capture the current state of the interest rate market, highlighting deviations from historical averages [7] Factor Backtesting Results - Interest Rate Structure Indicators: - Level Structure: Current reading: 1.64%, historical 10-year percentile: 7% - Term Structure: Current reading: 0.38%, historical 10-year percentile: 16% - Convexity Structure: Current reading: -0.09%, historical 10-year percentile: 1% [7]