利率市场趋势定量跟踪：利率价量择时观点整体转为偏空-20251123

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Interest Rates - Model Construction Idea: The model uses kernel regression algorithms to capture the trend patterns of interest rates, depicting the support and resistance lines of interest rate data. It provides multi-cycle composite timing views based on the pattern breakthrough situations of interest rate trends under different investment cycles[10]. - Model Construction Process: - Data Source: Yield to Maturity (YTM) data of 5-year, 10-year, and 30-year government bonds. - Cycles: Long cycle (monthly), medium cycle (bi-weekly), and short cycle (weekly). - Signal Calculation: - For the 5-year bond YTM: Long cycle upward breakthrough, medium cycle upward breakthrough, short cycle no signal. Final signal: bearish[10]. - For the 10-year bond YTM: Long cycle downward breakthrough, medium cycle upward breakthrough, short cycle no signal. Final signal: neutral to bearish[13]. - For the 30-year bond YTM: Long cycle no signal, medium cycle upward breakthrough, short cycle upward breakthrough. Final signal: bearish[16]. - Model Evaluation: The model effectively captures the trend patterns of interest rates and provides clear timing signals based on multi-cycle analysis[10][13][16]. Model Backtesting Results 1. Multi-Cycle Timing Model for Interest Rates - 5-Year Bond YTM: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since end of 2024): 2.24% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.8 - Long-term excess return: 1.07% - Short-term excess return: 0.81% - Probability of positive annual absolute return: 100% - Probability of positive annual excess return: 100%[25] - 10-Year Bond YTM: - Long-term annualized return: 6.08% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.22 - Short-term annualized return (since end of 2024): 2.69% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.65 - Long-term excess return: 1.65% - Short-term excess return: 1.39% - Probability of positive annual absolute return: 100% - Probability of positive annual excess return: 100%[28] - 30-Year Bond YTM: - Long-term annualized return: 7.36% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.72 - Short-term annualized return (since end of 2024): 3.25% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.54 - Long-term excess return: 2.41% - Short-term excess return: 2.57% - Probability of positive annual absolute return: 94.44% - Probability of positive annual excess return: 94.44%[33]