证券研究报告 | 金融工程 2026 年 1 月 11 日 利率价量择时观点看空 ——利率市场趋势定量跟踪 20260109 利率市场结构变化 - 10 年期国债到期收益率录得 1.88%，相对上周升高 3.09BP。当前 利率水平、期限和凸性结构读数分别为 1.64%、0.59%、0.14%， 从均值回归视角看，目前处于水平结构点位中性偏低、期限结构 点位中性偏高、凸性结构点位中性偏高的状态。 利率价量周期择时信号：5 年期看空、10 年期看空、30 年期看空 美债价量周期择时信号：中性震荡 - 基于美国市场 10 年期国债 YTM 数据判断的多周期择时信号为： 长周期无信号、中周期无信号、短周期无信号。综合来看，当前 合计下行突破 0 票、上行突破 0 票，最终信号的综合评分结果为 中性震荡。 国内利率价量多周期择时策略表现 - 自 2024 年底以来，基于 5/10/30 年期国债 YTM 价量趋势的交易策 略年化收益率分别为 2.04%、2.3%、2.44%，最大回撤为 0.71%、 0.96%、1.75%，收益回撤比为 3.47、3.98、2.66，相对业绩基准的 超额收益率为 0.74%、1.2% ...

证券研究报告 | 金融工程 2026 年 1 月 4 日 利率价量择时观点转向中性 ——利率市场趋势定量跟踪 20251231 利率市场结构变化 美债价量周期择时信号：中性震荡 风险提示：本报告基于对历史数据的分析，当市场环境变化时，存在失效 风险。 专题报告 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 梁雨辰 S1090523070008 liangyuchen2@cmschina.com.cn 敬请阅读末页的重要说明 - 10 年期国债到期收益率录得 1.84%，相对上周升高 0.68BP。当前 利率水平、期限和凸性结构读数分别为 1.58%、0.55%、0.06%， 从均值回归视角看，目前处于水平结构点位偏低、期限结构点位 中性偏高、凸性结构点位中性偏低的状态。 利率价量周期择时信号：5 年期中性震荡、10 年期中性震荡、30 年期 中性偏多 - 基于 5 年国债 YTM 测算的利率多周期择时信号为：长周期无信号、 中周期无信号、短周期向上突破。综合来看，当前合计下行突破 0 票、上行突破 1 票，最终信号的综合评分结果为中性震荡。 - 基于 10 年国债 ...

证券研究报告 | 金融工程 2025 年 12 月 21 日 利率价量择时观点看多程度加深 ——利率市场趋势定量跟踪 20251219 利率市场结构变化 - 10 年期国债到期收益率录得 1.83%，相对上周下降 0.88BP。当前 利率水平、期限和凸性结构读数分别为 1.6%、0.48%、0.02%，从 均值回归视角看，目前处于水平结构点位偏低、期限结构点位中 性偏低、凸性结构点位中性偏低的状态。 利率价量周期择时信号：5 年期中性震荡、10 年期看多、30 年期看多 美债价量周期择时信号：中性偏多 - 基于美国市场 10 年期国债 YTM 数据判断的多周期择时信号为： 长周期无信号、中周期向下突破、短周期无信号。综合来看，当 前合计下行突破 1 票、上行突破 0 票，最终信号的综合评分结果 为中性偏多。 国内利率价量多周期择时策略表现 - 自 2024 年底以来，基于 5/10/30 年期国债 YTM 价量趋势的交易策 略年化收益率分别为 2.15%、2.47%、3.07%，最大回撤为 0.73%、 0.98%、1.72%，收益回撤比为 3.64、4.28、3.35，相对业绩基准的 超额收益率为 0.8% ...

Quantitative Models and Construction Methods - **Model Name**: Multi-cycle timing model for domestic interest rate price-volume trends **Model Construction Idea**: The model uses kernel regression algorithms to capture interest rate trend patterns, identifying support and resistance lines based on the shape of interest rate movements across different investment cycles [10][24] **Model Construction Process**: 1. **Data Input**: Utilize 5-year, 10-year, and 30-year government bond YTM data as the basis for analysis [10][24] 2. **Cycle Classification**: Divide the investment horizon into long-term (monthly frequency), medium-term (bi-weekly frequency), and short-term (weekly frequency) cycles [10][24] 3. **Signal Identification**: Detect upward or downward breakthroughs of support and resistance lines for each cycle [10][24] 4. **Composite Scoring**: Aggregate signals across cycles, assigning scores based on the number of consistent breakthroughs (e.g., 2/3 consistent signals lead to a "buy" or "sell" recommendation) [10][24] **Model Evaluation**: The model effectively captures multi-cycle resonance in interest rate trends, providing actionable timing signals for bond trading strategies [10][24] - **Model Name**: Multi-cycle timing model for U.S. interest rate price-volume trends **Model Construction Idea**: Apply the domestic interest rate price-volume timing model to the U.S. Treasury market [21] **Model Construction Process**: 1. **Data Input**: Use 10-year U.S. Treasury YTM data for analysis [21] 2. **Cycle Classification**: Similar to the domestic model, divide the investment horizon into long-term, medium-term, and short-term cycles [21] 3. **Signal Identification**: Detect upward or downward breakthroughs of support and resistance lines for each cycle [21] 4. **Composite Scoring**: Aggregate signals across cycles, assigning scores based on the number of consistent breakthroughs [21] **Model Evaluation**: The model provides a neutral-to-bullish outlook for U.S. Treasury yields, indicating its adaptability to international markets [21] Model Backtesting Results - **Domestic Multi-cycle Timing Model**: - **5-year YTM**: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since 2024): 1.86% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.16 - Long-term excess return: 1.07% - Short-term excess return: 0.85% [25][27] - **10-year YTM**: - Long-term annualized return: 6.09% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.22 - Short-term annualized return (since 2024): 2.42% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.19 - Long-term excess return: 1.66% - Short-term excess return: 1.55% [28][32] - **30-year YTM**: - Long-term annualized return: 7.38% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.73 - Short-term annualized return (since 2024): 3.11% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.39 - Long-term excess return: 2.42% - Short-term excess return: 2.87% [33][35] - **U.S. Multi-cycle Timing Model**: - **10-year YTM**: - Current signal: Neutral-to-bullish - Long-term annualized return: Not provided - Maximum drawdown: Not provided - Return-to-drawdown ratio: Not provided [21][23] Quantitative Factors and Construction Methods - **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**: 1. **Level Structure**: Calculate the average YTM across maturities (1-10 years) 2. **Term Structure**: Measure the slope between short-term and long-term YTM 3. **Convexity Structure**: Assess the curvature of the yield curve [7] **Factor Evaluation**: The indicators effectively capture the current state of the interest rate market, highlighting deviations from historical averages [7] Factor Backtesting Results - **Interest Rate Structure Indicators**: - **Level Structure**: Current reading: 1.64%, historical 10-year percentile: 7% - **Term Structure**: Current reading: 0.38%, historical 10-year percentile: 16% - **Convexity Structure**: Current reading: -0.09%, historical 10-year percentile: 1% [7]

Quantitative Models and Construction Methods - **Model Name**: Multi-cycle timing model for domestic interest rate price-volume trends **Model Construction Idea**: The model uses kernel regression algorithms to capture interest rate trend patterns, identifying support and resistance lines based on different investment cycles. It provides composite timing signals by analyzing the shape of interest rate movements across long, medium, and short cycles[10][24][29] **Model Construction Process**: 1. **Data Input**: Use 5-year, 10-year, and 30-year government bond YTM data as the basis for analysis[10][24][29] 2. **Cycle Definition**: Define long, medium, and short cycles with average switching frequencies of monthly, bi-weekly, and weekly, respectively[10][24][29] 3. **Signal Generation**: - If at least two cycles show downward breakthroughs of the support line and the interest rate trend is not upward, allocate fully to long-duration bonds - If at least two cycles show downward breakthroughs of the support line but the interest rate trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds - If at least two cycles show upward breakthroughs of the resistance line and the interest rate trend is not downward, allocate fully to short-duration bonds - If at least two cycles show upward breakthroughs of the resistance line but the interest rate 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][29] **Model Evaluation**: The model demonstrates strong adaptability across different market environments and provides consistent timing signals based on multi-cycle resonance[10][24][29] - **Model Name**: Multi-cycle timing model for U.S. interest rate price-volume trends **Model Construction Idea**: The domestic price-volume timing model is applied to the U.S. interest rate market, analyzing long, medium, and short cycles to generate composite timing signals[21][23][24] **Model Construction Process**: 1. **Data Input**: Use 10-year U.S. Treasury YTM data for analysis[21][23][24] 2. **Cycle Definition**: Define long, medium, and short cycles with average switching frequencies of monthly, bi-weekly, and weekly, respectively[21][23][24] 3. **Signal Generation**: Similar to the domestic model, signals are generated based on the number of cycles showing breakthroughs of support or resistance lines and the direction of interest rate trends[21][23][24] **Model Evaluation**: The model effectively captures U.S. interest rate trends and provides reliable timing signals for investment decisions[21][23][24] Model Backtesting Results - **Domestic Multi-cycle Timing Model** - **5-year YTM**: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since 2024): 1.86% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.15 - Long-term excess return: 1.07% - Excess return-to-drawdown ratio: 0.62 - Short-term excess return: 0.86% - Excess return-to-drawdown ratio: 2.18[25][27][37] - **10-year YTM**: - Long-term annualized return: 6.09% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.23 - Short-term annualized return (since 2024): 2.35% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.07 - Long-term excess return: 1.66% - Excess return-to-drawdown ratio: 1.16 - Short-term excess return: 1.56% - Excess return-to-drawdown ratio: 3.46[28][32][37] - **30-year YTM**: - Long-term annualized return: 7.38% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.73 - Short-term annualized return (since 2024): 2.98% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.26 - Long-term excess return: 2.42% - Excess return-to-drawdown ratio: 0.87 - Short-term excess return: 2.87% - Excess return-to-drawdown ratio: 3.21[33][35][37] - **U.S. Multi-cycle Timing Model** - **10-year YTM**: - Composite signal: Long cycle upward breakthrough, medium and short cycles downward breakthrough - Final signal: Bullish[21][23][24]