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：2026 年 02 月 25 日 交易性择时多空视角下的每日一图更新 ——利率量化择时系列四 核心观点 本文在前期"多平"的交易性择时框架的基础上，创新性地引入了 VPIN 微观流动性指 标与六大右侧技术指标的"空头镜像"逻辑，成功构建了兼顾胜率与盈亏比的国债期货 多空双向交易体系，并全新升级"每日一图"多维跟踪面板。在低利率时代与传统策略 面临"低波低收"内生矛盾的困局下，该框架旨在寻求收益与稳健配置的最优解。 ❑ 低息时代的困局与"多平"框架的防御底色 在全球经济步入深度的结构性调整周期与低利率时代背景下，面对趋势反复、震 荡偏强的复杂市况，前期构建的"多平（做多/空仓）"择时策略展现出了显著的抗 压性与防御底色。该策略摒弃了左侧博弈，严格遵循在趋势向上时做多、破位或 衰竭时迅速平仓的逻辑，通过过滤无序震荡区间，实现了胜率与收益结构的"非对 称优势"。 ❑ 空头指标体系的创新与立体化预警防线 通过 VPIN 微观预警与交易性择时的深度共振，模型的交易结构大幅优化，正式 从单一的"多平"框架升级为完备的"多空双向"复合框架。202 ...

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]