证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 12 月 03 日 交易性择时每日一图版本更新说明 ——债市专题报告 核心观点 本报告在原有交易性择时体系基础上进行多资产扩展。自 9 月以来，交易性择时策略 在趋势阶段对利率下行行情形成了较高覆盖度，在回调与震荡时期则主动收敛暴露， 体现出右侧确认与趋势跟随框架下的稳健性。本次迭代进一步引入权益、黄金与商品 择时信号，实现多市场间的交叉验证，有望提升利率交易方向识别的有效性、降低择 时失真与回撤水平，并在复杂宏观环境下增强策略执行与风险管理能力。未来策略优 化将增强空头过滤功能，并加强复合信号在震荡阶段的稳定性。 ❑ 9 月以来交易性择时信号回顾 交易性择时模型在利率下行周期保持了对趋势行情的高敏感度，各类信号在关键 阶段呈现出较强一致性，并在多个交易窗口连续触发复合信号，在捕捉利率主升 段方面表现突出。近期随着利率企稳回调，模型信号明显收敛甚至短暂消失。该 现象并非策略失效，而是由于策略本身逻辑并不承担主动做空判断，而是基于右 侧确认选择降低暴露度，以避免震荡期的无效交易和频繁换手，更好地体现了策 略在复杂行情中的 ...

Core Insights - The weekly timing strategy based on win rate is expected to provide effective signals for investors across different trading frequencies, ensuring coherence, low latency, and stable execution of trades. It can also be cross-verified with daily signals to manage risks and control trading rhythm [1][21][22] Group 1: Reevaluation of Interest Rate Timing System - The existing quantitative interest rate timing system has been constructed from various perspectives, including "odds," "win rate," and "cross-asset," to predict the movements of government bond yields. The odds perspective is more suitable for phases dominated by fundamental signals, while the win rate perspective is better for periods of increased volatility and trend strengthening [10][11] - The basic timing signals have shown significant distortion and lag behind market movements since the odds model was launched, primarily due to the low frequency and lagging nature of the data used [10][11] Group 2: Performance of Trading Timing Signals - Recent trading timing signals have demonstrated strong forward-looking capabilities, with an increasing number of bullish sub-models since October 21, indicating a strengthening bullish sentiment in the market amid easing US-China trade tensions [2][12] - The multi-signal strategy has shown superior net value performance compared to benchmarks during the testing period, with annualized returns of 3.09% for T products and 19.90% for TL products, alongside Sharpe ratios of 2.7 and 4.12 respectively [3][18] Group 3: Long-Cycle Trading Timing Framework - The long-cycle trading timing framework has potential reference value, as recent performance indicates that the trading timing can be applied over longer timeframes, such as weekly and monthly K-lines, without altering the logic of the six sub-strategies [17] - The multi-signal strategy has consistently outperformed benchmarks in the testing period, capturing structural bullish opportunities early and achieving positive returns [17][18]