国债期货跨期价差系列专题五：基于 LSTM 的时序预测与策略改进研究 广发期货研究所 电 话：020-88818009 E-Mail：zhangxiaozhen@gf.com.cn 摘要： 在前两篇研究系统梳理国债期货跨期价差的定价逻辑及多因 子量化套利方法的基础上，本文进一步引入时序建模框架，重点考 察在既有基本面因子体系下，显式纳入时间维度信息是否能够提升 跨期价差走势的预测能力与策略表现。具体而言，本文构建了基于 长短期记忆网络（LSTM）的跨期价差方向预测模型，以净基差、 IRR、资金利率等核心因子作为输入，并以跨期价差涨跌方向作为 监督信号进行二分类建模。模型训练阶段使用全部国债期货合约样 本，2024 年及以前的数据作为训练集，2025 年数据作为严格样本 外测试集。 预测结果显示，LSTM 模型在 TS、T、TF 三个品种上的样本 外二分类准确率分别为 54.11%、53.67% 和 56.28%。进一步回测 表明，在 T 与 TF 品种上，LSTM 模型的样本外收益风险特征优 于 DNN，其中 T 合约的年化收益率为 6.83%，夏普比率为 1.70， TF 合约的年化收益率为 7.63%，夏 ...

Core Insights - The report discusses the increasing attention on the "negative duration" strategy in the bond market, particularly in the context of a bearish market trend observed in the second half of the year, where most pure bond funds experienced significant net value declines, while some managed to rise against the trend [5][6][19]. - The report highlights that executing a negative duration strategy can yield positive returns even during periods of rising bond yields, contrasting with traditional long-duration strategies that are prone to losses in a declining market [6][19]. Market Trends - The bond market has shown a clear bearish trend in the second half of the year, characterized by multiple consecutive declines, with the 30-year active treasury futures price dropping from 121 to 114, reflecting a yield increase of nearly 40 basis points [5][13]. - The report notes that the market downturn is not merely a fluctuation but exhibits distinct characteristics of a bear market, influenced by factors such as the "stock-bond seesaw" effect and "anti-involution" policies [5][16]. Strategy Implementation - The negative duration strategy is being executed by brokerage proprietary trading desks, which establish short positions in treasury futures while simultaneously borrowing and selling long-term treasury bonds to capitalize on the price declines during rising interest rates [6][19]. - The report indicates a notable increase in the borrowing balance of 30-year treasury bonds by brokerage firms since mid-November, reflecting the implementation of short-selling strategies [20][21]. Fund Performance - Some public funds have successfully utilized treasury futures to implement a temporary negative duration strategy, resulting in net value increases during a period of rising interest rates, while other similar funds saw significant declines [7][22]. - The report emphasizes that public funds are allowed to participate in treasury futures trading, albeit with restrictions on position sizes and trading volumes, which provides a regulatory framework for executing negative duration strategies [22]. Future Outlook - The report anticipates that the focus on negative duration strategies may increase in a low-interest-rate environment characterized by heightened market volatility, with expectations of wide fluctuations in long-term treasury yields, specifically forecasting the 10-year yield to oscillate between 1.8% and 1.9%, and the 30-year yield between 2.2% and 2.4% [27].

Group 1: Bond and Equity Market Dynamics - The recent convergence of stock and bond market trends has garnered significant attention, with the 10-day correlation between the TL contract of government bond futures and the CSI 300 index reaching a historical high since July 2025 [2] - Despite this, the negative correlation observed in intraday trading remains, indicating that the relationship between government bond futures and equity markets has entered a new phase, characterized by increased complexity rather than a simple "see-saw" dynamic [2][3] - The current linkage between government bond futures and equity markets is influenced by multiple factors, including expectations of equity rebounds, adjustments in bond market positions due to leverage constraints, and the use of bond futures as a rapid trading tool by equity investors [2] Group 2: Future Outlook for Government Bond Futures - The simplistic daily correlation of "equities down means bond futures up" is expected to be less prevalent moving forward, as market participants deepen their understanding of bond futures, transitioning to a more nuanced pricing phase [3] - The potential for government bond futures to exhibit better resilience against declines is noted, particularly if there are marginal changes in growth stabilization expectations, suggesting an upward gaming space for bond futures [3] Group 3: AI in Financial Institutions - The release of DeepSeek R1 in 2025 is anticipated to significantly enhance general model reasoning capabilities and reduce costs, marking a pivotal moment for AI deployment in financial institutions [6] - AI applications are increasingly penetrating core business and back-office functions within financial institutions, with the potential to reshape business processes and organizational structures, ushering in a new era of financial digitization [6][8] - Large financial institutions are focusing on self-research and private deployment of AI models, while smaller institutions are pursuing cost-effective solutions through lightweight models and agile development [8]

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].