国泰海通｜固收：量价因子在应对突发新闻波动时的表现

Core Viewpoint - The article emphasizes the importance of monitoring market expectations and institutional movements in response to unpredictable major events like the US-China tariff disputes, suggesting that strategies should be adjusted flexibly to balance risk and return [1]. Summary by Sections Phase 1: Accumulation of Bullish Forces Before April 3 Tariff Implementation - The market from late March to early April 2025 can be divided into "consolidation" and "breakout" phases, where indicators such as KUP1, cors, HIGH0, and KSFT1 effectively reflected the accumulation of bullish forces, signaling an impending market turning point [2]. - HIGH0 was the first indicator to issue a bullish signal [2]. - The weak fluctuation in treasury futures alongside rising volume-price correlation indicated a weakening of bearish energy, with cors subsequently issuing a bullish signal [2]. - KUP1 and KSFT1 indicators confirmed the bullish turning point simultaneously [2]. Phase 2: Marginal Exit of Speculative Funds Before May 12 Negotiation Results - In early May 2025, the treasury futures market exhibited characteristics of "price increase with volume decrease," reflecting the marginal withdrawal of speculative funds [2]. - On May 7, KUP1, HIGH0, and KSFT1 simultaneously indicated a contraction in bullish momentum [2]. - The contraction of bullish forces was further confirmed by cors on May 9, with a release of profit-taking demand leading to a subsequent reduction in trading volume [2]. Current Situation and Recommendations - As of late May, the US tariff policy remains volatile, and the intensification of the Russia-Ukraine conflict alongside Middle Eastern risks creates a turbulent overseas environment; however, the domestic bond market remains in a narrow fluctuation pattern [3]. - The KSFT1 indicator has issued a mildly bullish signal, suggesting a release of bearish sentiment, while other indicators have yet to confirm further changes in bullish and bearish forces [3]. - Historical backtesting shows that KSFT1 broke below the threshold on May 28 and May 30, indicating that bearish sentiment may have been sufficiently released, issuing a mildly bullish signal [3]. - Continuous monitoring of the aforementioned volume-price indicators is recommended to capture the movements of major institutional investors [3].