Group 1: Report Industry Investment Rating - No information provided in the content Group 2: Core Viewpoints of the Report - Optimizing the position strategy can effectively enhance the real - world performance of the quantitative framework, which is a multiplier method for increasing returns, especially in volatile markets [2][6][111] - Binary full - position strategies can capture returns efficiently in obvious trends but come with high volatility, drawdown risks, and high turnover and commission costs; threshold step - by - step addition strategies have low trading frequency but limited ability to capture returns in volatile markets (except for the LG model) [2][111] - Single continuous strategies perform well in volatile markets. Linear and normal strategies show high return stability, while Sigmoid, Atanh, and Atanh - Sigmoid strategies have significant advantages in volatility control, suitable for risk - averse investors. The GRU model shows stable performance in improving odds, while the strategy advantages of LG, SVM and other models are environment - dependent [2][111] - In terms of turnover and commission consumption, single continuous strategies such as Sigmoid and Atanh can reduce turnover and commission consumption in volatile markets, and investors should focus more on returns rather than commission costs [2][111] Group 3: Summary According to the Table of Contents 3.1 Multi - factor Model's Position Strategy Introduction - **Multi - long and short full - position strategy**: It is a binary extreme position management mode, which can be used as a performance benchmark and a reference for other strategies. It performs poorly in bull markets and better in volatile markets, and is more suitable for non - linear models in volatile markets [12][32][33] - **Threshold multi - long and short full - position strategy and step - by - step addition strategy**: The threshold full - position strategy introduces a fuzzy interval filtering mechanism to reduce misjudgment risks and improve the overall risk - return ratio. The step - by - step addition strategy can reduce turnover and trading costs but may sacrifice some returns, except for the LG model in volatile markets [13][14][53] - **Continuous strategies based on different risk preferences and mapping functions**: Continuous strategies can convert binary probability signals into position adjustment signals, which can be divided into risk - seeking, risk - averse, and risk - neutral types according to risk preferences. Different mapping functions such as linear, Sigmoid, normal, Atanh, and Atanh - Sigmoid are used [18] 3.2 Strategy Back - testing - **Back - testing sample interval and key parameters**: The trading target is the Treasury bond futures T contract. The period from January 1, 2024, to December 31, 2024, is regarded as a bull market, and the period from January 1, 2025, to May 9, 2025, is regarded as a volatile market [31] - **Benchmark results of multi - long and short full - position strategy**: It has little effect on increasing returns in bull markets and performs better in volatile markets. Non - linear models such as RF and SVM can better handle the problem of return increase in volatile markets [33][34] - **Threshold full - position strategy and step - by - step position adjustment strategy**: The threshold strategy can optimize the odds of investment strategies in both bull and volatile markets, but the application effect depends on the model type and market environment. The step - by - step position adjustment strategy can significantly reduce turnover and trading costs but usually sacrifices some returns, except for the LG model in volatile markets [37][40][53] - **Analysis of the effect of single continuous strategies**: In volatile markets, continuous position strategies can significantly improve the odds of strategies without increasing the prediction win rate. Different strategies such as Atanh and Sigmoid have different risk - return characteristics, and their turnover is related to the model and market environment [58][73][74] - **Rediscussion of the impact of trading commissions**: The key is to increase returns rather than reduce costs. Although different models and strategies have different commission consumption, the impact of commissions on returns is relatively small, and investors should focus on return enhancement [94][97][110] 3.3 Summary and Strategy Recommendations - Different position management strategies play an important role in return acquisition and risk control. Investors should choose appropriate models and strategies according to their risk preferences and market conditions [111]

Core Viewpoint - The article emphasizes the importance of optimizing position strategies in quantitative frameworks for predicting bond futures, rather than solely focusing on the prediction accuracy of price movements [1][3]. Group 1: Position Strategy Optimization - The study tests various position strategies, including a full position strategy as a benchmark, a threshold-based full position strategy, and a gradual accumulation strategy that incorporates a fuzzy interval filtering mechanism [1][3]. - Continuous trading strategies convert binary probability signals into position adjustment signals, allowing for categorization based on risk preferences, such as risk-seeking, risk-averse, and risk-neutral types [1][3]. Group 2: Model and Market Conditions - The report references a multi-factor model for bond market timing, utilizing recent data to train models for predicting the next trading day, with specific market conditions defined for 2024 and 2025 [2]. - The combination of various position strategies is crucial, particularly in volatile markets, where appropriate strategy selection can significantly enhance overall model performance [3]. Group 3: Performance Insights - Binary full position strategies effectively capture returns during clear trends but come with higher volatility and transaction costs [3]. - Gradual accumulation strategies show lower trading frequency advantages, reducing transaction costs, but may have limited return capture in sideways markets [3]. - Single continuous strategies demonstrate strong performance in volatile markets, with specific strategies like Sigmoid and Atanh showing significant advantages in volatility control, especially for risk-averse investors [3].

Group 1 - The report emphasizes the importance of optimizing position strategies to enhance the performance of quantitative frameworks in the bond market [1][4][12] - It highlights that the choice of position strategy can significantly impact the overall model's performance, especially in volatile market conditions [4][19][50] - The report discusses various position strategies, including full long/short strategies, threshold-based strategies, and gradual accumulation strategies, each with distinct advantages and disadvantages [20][24][25][26] Group 2 - The report presents a detailed analysis of the backtesting results for different strategies, indicating that the full long/short strategy performs well in trending markets but may incur high transaction costs [47][50][51] - It notes that threshold strategies can filter out low-confidence signals, improving the risk-reward ratio in both bull and volatile markets [55][56] - Gradual adjustment strategies are shown to reduce turnover and trading costs, although they may sacrifice some potential returns, particularly in volatile markets [57][58] Group 3 - The report categorizes continuous strategies based on risk preferences, utilizing different mapping functions to adjust positions according to the strength of the signals [32][34][39] - It discusses the effectiveness of various mapping functions, such as linear, Sigmoid, normal, Atanh, and Atanh-Sigmoid strategies, in managing positions based on market signals [33][36][38][39] - The analysis indicates that non-linear models, particularly in volatile markets, can enhance performance and manage risks more effectively than linear models [51][52]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The sentiment in the bond market has shifted from "bullish but not buying" to a stage where some bulls are "wavering." The short - term trading themes are broad - based monetary policy and the fundamentals. The 10 - year Treasury bond is oscillating around 1.65% - 1.70%, and the bond market is likely to be range - bound in the short term. The impact of positive events on the bond market is rapid this year. The proportion of capital gain demand in the comprehensive return has been continuously increasing, so the duration should be maintained, and leverage can be appropriately increased if the funding rate declines [2]. - From the perspective of market sentiment, the bond market has changed from "bullish but not buying" to a stage where some bulls are "wavering." This week, some bulls have turned neutral, the number of institutions with bearish views has increased by one, and the sentiment index has declined [3]. - The fundamentals and broad - based monetary policy are the "battlefields" for the bulls and bears among the sellers. As of May 19, the number of fixed - income sellers with bullish views has decreased to 10, the number of those with bearish views has increased to 3, and the number of those with neutral views has risen to 17 [3]. - Among the buyers, those with neutral views also account for more than half, and the proportion of institutions with bullish views has decreased. The overall view of fixed - income buyers is neutral - bullish. Currently, there are 10 bullish, 16 neutral, and 3 bearish institutions [3]. - In the Treasury bond futures market, the positive arbitrage space for the TS contract has decreased, and it may still be in a premium state. One can consider participating in the game of the TS contract rising [6]. Summary According to Relevant Catalogs 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest - rate Bonds - The seller sentiment index has decreased compared to last week. The weighted index this week is 0.18 (neutral - bullish, down 0.10 from last week), and the unweighted index is 0.28 (down 0.14 from last week). Currently, institutions generally hold a neutral - bullish view, with 10 bullish, 17 neutral, and 3 bearish. 33% of institutions are bullish, with keywords such as the long - term trend of Sino - US decoupling despite tariff fluctuations, a possible LPR cut this week, and the expected continuation of monetary easing; 57% are neutral, with keywords such as high macro - environment uncertainty, waiting for a new market trigger after the double - cut and tariff easing, and the bond market may have a narrow - range oscillation; 10% are bearish, with keywords such as the exhaustion of the double - cut benefits, the lack of support for the bond market reflected by the non - rising funding rate, and the central bank may take measures to maintain the bank's net interest margin and push up the long - term bond yield after the tariff cut [13]. 1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The buyer sentiment index has decreased compared to last week. This week's sentiment index is 0.18 (neutral - bullish, down 0.22 from last week). Currently, institutions generally hold a neutral - bullish view, with 10 bullish, 16 neutral, and 3 bearish. 35% of institutions are bullish, with keywords such as continuous loosening of the funding side, the economy still needing policy support, and the reduction of funding costs; 55% are neutral, with keywords such as fluctuations in Sino - US economic and trade expectations, frequent policy disturbances, unclear fundamental expectations, differentiated interest - rate trends, limited adjustment space but repeated directions; 10% are bearish, with keywords such as the marginal weakening of easing expectations, the enhanced expectation of economic fundamental repair, frequent funding disturbances, and increased long - end supply pressure [14]. 1.3 Credit Bonds - Market hot topics include policies to promote science - and - technology innovation bonds and implicit debt accountability. Multiple departments have introduced policies to promote the construction of science - and - technology innovation bonds, and it is expected that future issuance increments will be for financial institutions and private enterprises, covering more science - and - technology innovation fields. The Ministry of Finance has emphasized local government implicit debt governance again, and the issuance supervision of urban investment bonds has become stricter, with risks being relatively controllable in the short term [18]. 1.4 Convertible Bonds - This week, institutions generally hold a neutral - bullish view, with 2 bullish and 6 neutral. 25% of institutions are bullish, with keywords such as the positive impact of the double - cut and the end of the earnings disclosure period, the increased risk appetite in the convertible bond market, and the strong equity market becoming an important support for convertible bonds; 75% are neutral, with keywords such as the current high valuation of convertible bonds, low cost - effectiveness, a possible range - bound oscillation pattern, and the need for incremental funds or overall underlying stock repair for a stronger market [20]. 2. Treasury Bond Futures Tracking 2.1 Futures Trading - In terms of futures prices, except for the increase in the TS contract price, the prices of other futures contracts have decreased. As of May 16, the prices of the Treasury TS/TF/T/TL contracts are 102.38 yuan, 105.72 yuan, 108.48 yuan, and 118.91 yuan respectively, with changes of +0.04 yuan, - 0.38 yuan, - 0.58 yuan, and - 1.46 yuan compared to last Friday. - In terms of Treasury bond futures open interest, except for the increase in the TS contract open interest, the open interest of other futures contracts has decreased. As of May 16, the open interest of the TS/TF/T/TL futures contracts is 84,000 lots, 79,000 lots, 100,000 lots, and 50,000 lots respectively, with changes of +702 lots, - 64,061 lots, - 76,980 lots, and - 31,940 lots compared to last Friday. - The trading volume of Treasury bond futures has increased across the board. As of May 16, from a 5 - day moving average perspective, the trading volumes of the TS/TF/T/TL futures contracts are 132.9 billion yuan, 98.5 billion yuan, 131.1 billion yuan, and 155.6 billion yuan respectively, with increases of 40.2 billion yuan, 25.9 billion yuan, 44.7 billion yuan, and 39.9 billion yuan compared to last Friday. - The trading volume - to - open - interest ratio of Treasury bond futures has increased across the board. As of May 16, from a 5 - day moving average perspective, the trading volume - to - open - interest ratios of the TS/TF/T/TL futures contracts are 1.01, 0.98, 1.03, and 2.58 respectively, with increases of 0.49, 0.49, 0.56, and 1.33 compared to last Friday [24][25]. 2.2 Spot Bond Trading - The turnover rate of 30 - year Treasury bonds has decreased. On May 16, the turnover rate was 2.32%, down 0.10 percentage points from last week and 0.41 percentage points from Monday, with a weekly average turnover rate of 3.33%. The turnover rate of interest - rate bonds has decreased. On May 16, the turnover rate was 0.89%, down 0.05 percentage points from last week and 0.22 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds has increased. On May 16, the turnover rate was 5.81%, up 0.17 percentage points from last week but down 1.54 percentage points from Monday [35][36]. 2.3 Basis Trading - In terms of basis trends in the past week, the basis of the TF main contract has narrowed, while the basis of other main contracts has widened. As of May 16, the basis (CTD) of the TS/TF/T/TL main contracts is - 0.07 yuan, +0.05 yuan, +0.11 yuan, and +0.17 yuan respectively, with changes of - 0.03 yuan, +0.10 yuan, +0.17 yuan, and +0.05 yuan compared to last Friday. - In terms of net basis, the net basis of the TS main contract has widened, while the net basis of other main contracts has narrowed. As of May 16, the net basis (CTD) of the TS/TF/T/TL main contracts is - 0.05 yuan, +0.03 yuan, +0.02 yuan, and +0.03 yuan respectively, with changes of - 0.06 yuan, +0.12 yuan, +0.08 yuan, and +0.09 yuan compared to last Friday. - In terms of IRR, the IRR of the TS contract has increased, while the IRR of other main contracts has decreased. As of May 16, the IRR (CTD) of the TS/TF/T/TL main contracts is 1.79%, 1.32%, 1.46%, and 1.39% respectively, with changes of +0.35%, - 1.02%, - 0.66%, and - 0.56% compared to last Friday. The TS main contract's basis is negative this week, and the weekly average IRR is 1.65%, at a relatively high level. Since the funding side is generally in a stage of loosening this week, with the weekly average DR007 at 1.54%, one can pay attention to the positive arbitrage strategy of the TS contract [41][44][45]. 2.4 Inter - delivery Spread and Inter - product Spread - In terms of inter - delivery spread, the spread of the T contract has widened, while the spreads of other main futures contracts have narrowed. As of May 16, the near - month minus far - month spreads of the TS/TF/T/TL contracts are - 0.11 yuan, - 0.20 yuan, - 0.17 yuan, and - 0.34 yuan respectively, with changes of +0.09 yuan, +0.14 yuan, - 0.00 yuan, and +0.19 yuan compared to last Friday. - In terms of inter - product spread, the spreads of the 2*TS - TF and 4*TS - T contracts have widened, while the spreads of other main futures contracts have narrowed. As of May 16, the values of 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL are 99.04 yuan, 102.93 yuan, 301.01 yuan, and 206.50 yuan respectively, with changes of +0.43 yuan, - 0.25 yuan, +0.62 yuan, and - 0.29 yuan compared to last Friday. Currently, the downward space for long - term interest rates is limited. If the central bank takes measures to ease liquidity, there may be downward opportunities for the medium - and short - term. There is considerable room for gaming in short - term Treasury bond futures, and it is recommended to continue to pay attention to the strategy of going long on the short - end and short on the long - end to steepen the yield curve [51][52].