1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report explores the application value of the intraday characteristics of the 1 - day Treasury bond repurchase rate (GC001) in stock index futures timing. The high - frequency data of GC001 can capture real - time market capital changes, and the information on the capital side has the ability to predict the short - term trend of stock index futures. The constructed high - frequency repurchase rate index has achieved stable performance on four stock index futures, providing a new perspective for stock index timing [2][64]. - The information contained in the repurchase rate can penetrate the overall market liquidity and risk preference. It can provide effective signals leading traditional volume - price indicators, especially during periods of sudden changes in market liquidity, policy windows, or sentiment turning points [5]. - The sensitivity of small and medium - cap stock indices to GC001 signals is higher than that of large - cap stocks, providing a new theoretical basis for cross - variety arbitrage and style rotation strategies [64]. 3. Summary According to the Table of Contents 3.1 Macro and Capital - side Information Wind Vane: Treasury Bond Repurchase Rate - Traditional stock index futures daily - frequency timing research mostly focuses on volume - price factors, while the exploration of factors based on macro - liquidity or short - term capital is relatively insufficient. The repurchase rate contains rich short - cycle market information and can provide effective signals leading traditional volume - price indicators [5]. - The importance of the repurchase rate includes liquidity monitoring, risk - preference mapping, and policy transmission. Its intraday abnormalities can indicate short - term changes in the capital side, and its changes are related to market risk preference and policy adjustments [6]. 3.2 Basic Concepts 3.2.1 GC001 Basic Concept - GC001 represents the trading rate at which investors lend funds through the Shanghai Stock Exchange with Treasury bonds as collateral for a 1 - day term. It can better reflect short - term (1 - day) changes in the capital side, which is consistent with the logic of daily - frequency stock index futures timing [7]. 3.2.2 GC001 Indicator Logic - GC001 reflects the behavior and attitude of institutional investors. When it is at a high level, the capital market is a "seller's market"; when it is at a low level, it is a "buyer's market". Using the minute - level data at the end of the session to construct daily timing factors can effectively capture valuable information [8][9]. 3.2.3 Derivative Indicator Ideas - Basic feature derivatives: Constructed several basic GC001 derivative features at the minute frequency, including average level, volatility level, growth rate, speed, and volume - price correlation coefficient [10]. - Time - stamp factor derivatives: Expanded a series of factor - construction methods containing time and event information based on previous reports and practiced them during the end - of - session trading period of GC001, which can provide more detailed market behavior analysis [11]. 3.3 Back - testing Settings - Target variable: The goal is to construct a daily - timing strategy for stock indices. The back - test includes four stock index futures varieties, and the prediction target is their corresponding open - to - open returns for the next day [12]. - Back - testing time interval: From May 15, 2019, to April 19, 2025 [12]. - Position - adjustment frequency: Daily adjustment. If the timing signal is always long (short), hold long (short) positions without closing [13]. - Margin: 100%, 1 - times leverage [14]. - Handling fee: Two - sided 0.02% [15]. 3.4 Factor Timing Strategy Test - For each of the four stock index futures (IH, IF, IC, IM), multiple excellent repurchase - rate timing factors were presented. Using the direct timing method, the Sharpe ratios in the full sample were all greater than 0.7 [18][29][34][38]. 3.5 Composite Indicator: High - Frequency Repurchase Rate Index - A high - frequency repurchase rate index was constructed for each stock index futures variety, which can provide a timing signal from the perspective of the macro - fundamental aspects such as the capital side, liquidity, and institutional behavior. - The performance of the high - frequency repurchase rate index in long - short timing was shown. For example, in the full - sample long - short trading of all stock index futures varieties, the annualized return was 22.2%, the annualized return in the past 60 days was 35.7% (with a win rate of 55.0%), and the annualized return in the past 120 days was 23.9% (with a win rate of 51.7%) [61]. 3.6 Conclusion - Based on the high - frequency data of the Treasury bond repurchase rate (GC001), timing factors were systematically constructed, and their effectiveness was verified on stock index futures. The intraday characteristics of GC001, especially the end - of - session fluctuations, can provide a unique source of Alpha for stock index timing [64]. - The high - frequency repurchase index achieved stable performance on four stock index futures, and the sensitivity of small and medium - cap stock indices to GC001 signals is higher than that of large - cap stocks [64].