利率市场趋势定量跟踪20260119：长短期利率价量择时观点存在分歧-20260120

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Interest Rates - Model Construction Idea: The model uses kernel regression to identify support and resistance lines in interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles (long, medium, and short) to generate composite timing signals[11][24]. - Model Construction Process: - Data Input: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[11][24]. - Kernel Regression: Applied to capture the support and resistance lines of interest rate trends[11]. - Cycle Classification: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[11][24]. - Signal Generation: - If at least two cycles show downward breakthroughs of support lines, the signal is "bullish" (e.g., 5-year and 10-year YTM signals are bullish) - If at least two cycles show upward breakthroughs of resistance lines, the signal is "bearish" (e.g., 30-year YTM signal is bearish)[11][24]. - Model Evaluation: The model effectively captures multi-cycle resonance in interest rate trends, providing actionable timing signals for different bond maturities[11][24]. 2. Model Name: Multi-Cycle Trading Strategy - Model Construction Idea: The strategy is based on the multi-cycle timing signals generated by the above model. It allocates bond portfolios dynamically based on the direction of interest rate trends and cycle breakthroughs[24][29]. - Model Construction Process: - Portfolio Allocation Rules: - If at least two cycles show downward breakthroughs and the trend is not upward, allocate fully to long-duration bonds. - If at least two cycles show downward breakthroughs but the trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds. - If at least two cycles show upward breakthroughs and the trend is not downward, allocate fully to short-duration bonds. - If at least two cycles show upward breakthroughs but the 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]. - Stop-Loss Mechanism: If the daily excess return of the portfolio falls below -0.5%, adjust holdings to equal-weighted allocation[29]. - Performance Benchmark: Equal-weighted allocation across short, medium, and long durations serves as the benchmark[24][29]. - Model Evaluation: The strategy demonstrates robust performance across different market conditions, with high win rates for both absolute and excess returns over the past 18 years[24][29]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Interest Rates - 5-Year YTM: - Long-term annualized return: 5.46% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.9 - Short-term annualized return (since 2024): 2.09% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.55 - Long-term excess return: 1.06% - Short-term excess return: 0.64%[25][28]. - 10-Year YTM: - Long-term annualized return: 6.03% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.2 - Short-term annualized return (since 2024): 2.34% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.05 - Long-term excess return: 1.63% - Short-term excess return: 1.06%[28][33]. - 30-Year YTM: - Long-term annualized return: 7.28% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.7 - Short-term annualized return (since 2024): 2.47% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 2.7 - Long-term excess return: 2.39% - Short-term excess return: 2.16%[33][37]. 2. Multi-Cycle Trading Strategy - 5-Year YTM: - Annualized return (2008-2025): 2.10%-14.83% - Excess return (2008-2025): 0.29%-2.77%[37]. - 10-Year YTM: - Annualized return (2008-2025): 0.11%-17.08% - Excess return (2008-2025): -0.08%-4.41%[37]. - 30-Year YTM: - Annualized return (2008-2025): -0.36%-19.93% - Excess return (2008-2025): -0.39%-5.48%[37].