利率市场趋势定量跟踪：利率价量择时观点看多程度加深-20251221

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model Based on Bond YTM - 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 shape breakthrough situations of interest rate trends in different investment cycles[10][18]. - Model Construction Process: - Data Source: 5-year, 10-year, and 30-year government bond YTM data. - Signal Calculation: - Long cycle: monthly frequency - Medium cycle: bi-weekly frequency - Short cycle: weekly frequency - Signal Interpretation: - 5-year bond YTM: Long cycle no signal, medium cycle downward breakthrough, short cycle no signal. Final signal: neutral oscillation[10][12]. - 10-year bond YTM: Long cycle downward breakthrough, medium cycle downward breakthrough, short cycle downward breakthrough. Final signal: bullish[13][15]. - 30-year bond YTM: Long cycle no signal, medium cycle downward breakthrough, short cycle downward breakthrough. Final signal: bullish[16][17]. - Model Evaluation: The model effectively captures the trend patterns of interest rates and provides clear timing signals based on multi-cycle analysis. Model Backtesting Results 1. Multi-Cycle Timing Model Based on 5-Year Bond YTM - Annualized Return: 2.15% since the end of 2024[4][22]. - Maximum Drawdown: 0.73%[4]. - Return-Drawdown Ratio: 3.64[4]. - Excess Return: 0.8% relative to the performance benchmark[4]. - Probability of Positive Annual Absolute Return: Close to 100% since 2008[4]. 2. Multi-Cycle Timing Model Based on 10-Year Bond YTM - Annualized Return: 2.47% since the end of 2024[4][25]. - Maximum Drawdown: 0.98%[4]. - Return-Drawdown Ratio: 4.28[4]. - Excess Return: 1.32% relative to the performance benchmark[4]. - Probability of Positive Annual Absolute Return: Close to 100% since 2008[4]. 3. Multi-Cycle Timing Model Based on 30-Year Bond YTM - Annualized Return: 3.07% since the end of 2024[4][30]. - Maximum Drawdown: 1.72%[4]. - Return-Drawdown Ratio: 3.35[4]. - Excess Return: 2.78% relative to the performance benchmark[4]. - Probability of Positive Annual Absolute Return: Close to 100% since 2008[4].