利率市场趋势定量跟踪20260109：利率价量择时观点看空-20260111

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Domestic Interest Rates - Model Construction Idea: The model uses kernel regression algorithms to identify the support and resistance lines of interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles to generate timing signals[10][22][19] - Model Construction Process: - Data Input: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[10][22] - Cycle Definition: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[10][22] - Signal Generation: - A signal is generated when at least two out of three cycles show consistent directional breakthroughs (upward or downward) - For example, if two cycles show upward breakthroughs, the final signal is "bearish" for interest rates[10][22] - Model Evaluation: The model effectively captures multi-cycle resonance in interest rate trends and provides actionable timing signals[10][22] 2. Model Name: Multi-Cycle Timing Model for US Interest Rates - Model Construction Idea: The domestic multi-cycle timing model is applied to the US Treasury market to assess its effectiveness in a different market environment[19] - Model Construction Process: - Data Input: Yield-to-Maturity (YTM) data for 10-year US Treasury bonds[19] - Cycle Definition: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[19] - Signal Generation: - A signal is generated when at least two out of three cycles show consistent directional breakthroughs - If no consistent breakthroughs are observed, the final signal is "neutral"[19] - Model Evaluation: The model demonstrates adaptability to the US market but currently shows no significant signals, indicating a "neutral" stance[19] --- Model Backtesting Results 1. Multi-Cycle Timing Model for Domestic Interest Rates - 5-Year YTM Model: - Long-term annualized return: 5.46% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.9 - Short-term annualized return (since 2024): 2.04% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.47 - Long-term excess return: 1.06% - Short-term excess return: 0.74%[23][35] - 10-Year YTM Model: - Long-term annualized return: 6.03% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.2 - Short-term annualized return (since 2024): 2.3% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 3.98 - Long-term excess return: 1.63% - Short-term excess return: 1.2%[26][35] - 30-Year YTM Model: - Long-term annualized return: 7.28% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.7 - Short-term annualized return (since 2024): 2.44% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 2.66 - Long-term excess return: 2.39% - Short-term excess return: 2.29%[31][35] 2. Multi-Cycle Timing Model for US Interest Rates - 10-Year YTM Model: - Current signal: Neutral - No significant breakthroughs observed in long, medium, or short cycles[19][21] --- Quantitative Factors and Construction Methods 1. 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: - Level Structure: - Formula: $ \text{Level} = \text{Average YTM across maturities} $ - Current value: 1.64% - Historical percentiles: 29% (3 years), 17% (5 years), 9% (10 years)[7] - Term Structure: - Formula: $ \text{Term} = \text{YTM (10-year)} - \text{YTM (1-year)} $ - Current value: 0.59% - Historical percentiles: 56% (3 years), 41% (5 years), 48% (10 years)[7] - Convexity Structure: - Formula: $ \text{Convexity} = \text{Second derivative of YTM curve} $ - Current value: 0.14% - Historical percentiles: 53% (3 years), 32% (5 years), 32% (10 years)[7] - Factor Evaluation: These indicators provide a comprehensive view of the interest rate market's structural dynamics and are useful for mean-reversion analysis[7] --- Factor Backtesting Results 1. Interest Rate Structure Indicators - Level Structure: Current value: 1.64%, historical percentiles: 29% (3 years), 17% (5 years), 9% (10 years)[7] - Term Structure: Current value: 0.59%, historical percentiles: 56% (3 years), 41% (5 years), 48% (10 years)[7] - Convexity Structure: Current value: 0.14%, historical percentiles: 53% (3 years), 32% (5 years), 32% (10 years)[7]