T(10年期国债期货)

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利率量化择时系列二:胜率视角下的利率交易择时策略
ZHESHANG SECURITIES· 2025-07-31 08:49
Core Insights - The report focuses on a trading timing strategy based on win rate, optimizing a multi-signal trading strategy structured around "trend identification, rhythm control, and signal integration" for interest rate futures T and TL [1][11][46] Group 1: Trading Timing Strategies - The report distinguishes between fundamental timing and trading timing, with fundamental timing focusing on macroeconomic factors and trading timing emphasizing market behavior and technical indicators [1][12] - A multi-signal strategy is proposed to enhance robustness, combining various sub-strategies to maintain signal stability and reduce trading frequency [3][45] Group 2: Sub-Strategies Overview - The report introduces several sub-strategies including low-latency trend identification, moment-based timing, single/double moving averages, channel filtering, and nine-turn sequence recognition [29][39][42] - Each sub-strategy is designed to address specific issues such as lagging signals and high-frequency noise, aiming for clearer structures and better adaptability in the interest rate futures market [28][30][38] Group 3: Performance Metrics - Backtesting results show that the multi-signal strategy for T yielded an annualized return of 8.63% with a Sharpe ratio of 3.04 and a win rate of 70.37%, while TL achieved an annualized return of 23.22% with a Sharpe ratio of 3.78 and a win rate of 80.77% [3][46][48] - The multi-signal strategy effectively mitigated significant drawdowns in February and July 2025, demonstrating strong defensive capabilities during volatile market conditions [47][48]
瑞达期货国债期货日报-20250506
Rui Da Qi Huo· 2025-05-06 11:21
1. Report Industry Investment Rating - No relevant content provided 2. Report's Core View - After the Politburo meeting at the end of April met expectations and the short - term negative impact of tariffs was fully priced in by the market, the bond market is likely to return to being fundamentally driven, and the interest rate center may decline further [2]. - The market expects the Fed to restart rate cuts around June, which may be a window for the central bank to implement monetary easing. Reserve requirement ratio cuts may take precedence over interest rate cuts. Attention should be paid to the Fed's interest rate decision on May 8th [2]. - Given the recent intensifying differentiation in the bond market, with short - term bond futures significantly weaker than long - term ones, if the short - end shows no signs of stabilization, beware of the risk of long - end bond price corrections. Wait for the short - end to stabilize before making band allocations [2]. 3. Summary by Relevant Catalogs 3.1 Futures Disk - T主力收盘价为109.045,涨幅0%,成交量49555,减少366;TF主力收盘价106.060,跌幅0.04%,成交量46541,减少627;TS主力收盘价102.308,跌幅0.06%,成交量28361,增加430;TL主力收盘价120.970,涨幅0.11%,成交量61695,增加2011 [2]. 3.2 Futures Spreads - TL2509 - 2506价差为0.34,增加0.10;T2509 - 2506价差为0.17,增加0.03;TF2509 - 2506价差为0.33,增加0.04;TS2509 - 2506价差为0.28,增加0.02;T06 - TL06价差为 - 11.93,减少0.16;TF06 - T06价差为 - 2.99,减少0.08;TS06 - T06价差为 - 6.74,减少0.10;TS06 - TF06价差为 - 3.75,减少0.02 [2]. 3.3 Futures Positions - T主力持仓量189565,增加1545;T前20名多头持仓198120,增加3917;T前20名空头持仓209900,增加4231;T前20名净空仓11780,增加314;TF主力持仓量155595,减少1941;TF前20名多头持仓168105,减少209;TF前20名空头持仓183683,减少235;TF前20名净空仓15578,减少26;TS主力持仓量93460,增加212;TS前20名多头持仓108265,增加2849;TS前20名空头持仓126081,增加2354;TS前20名净空仓17816,减少495;TL主力持仓量102169,减少560;TL前20名多头持仓106317,增加619;TL前20名空头持仓111916,增加1308;TL前20名净空仓5599,增加689 [2]. 3.4 Top Two CTD (Clean Prices) - 220003.IB(6y)净价107.4645,减少0.0173;240025.IB(6y)净价99.0955,增加0.0482;240014.IB(4y)净价101.6515,增加0.0378;220027.IB(4y)净价105.7009,增加0.0344;240024.IB(1.7y)净价99.3344,增加0.0157;240003.IB(1.9y)净价100.9807,增加0.0346;200012.IB(18y)净价138.2641,减少0.0471;210005.IB(18y)净价137.0061,减少0.1458 [2]. 3.5 Active Treasury Bond Yields - 1年期收益率1.4500%,减少0.40bp;3年期收益率1.4750%,减少2.25bp;5年期收益率1.5000%,减少0.75bp;7年期收益率1.5800%,持平;10年期收益率1.6210%,减少0.50bp [2]. 3.6 Short - Term Interest Rates - 银质押隔夜利率1.6582%,减少12.18bp;Shibor隔夜利率1.7020%,减少5.80bp;银质押7天利率1.7456%,减少20.44bp;Shibor7天利率1.7070%,减少5.50bp;银质押14天利率1.7300%,减少17.00bp;Shibor14天利率1.7370%,减少4.40bp [2]. 3.7 LPR Rates - 1年期LPR为3.10%,持平;5年期LPR为3.6%,持平 [2]. 3.8 Open Market Operations - 发行规模4050亿,到期规模10870亿,利率1.5%,期限7天,净回笼6820亿 [2]. 3.9 Industry News - 中国人民银行行长潘功胜出席并主持东盟与中日韩财长和央行行长会,会议通过在清迈倡议多边化下新设以人民币等可自由使用货币出资的快速融资工具相关安排 [2]. - 中国台湾地区货币政策主管部门表示未参与台美经贸工作小组,美国财政部未要求台币升值,不会操纵汇率,密切关注资金进出 [2]. 3.10 Market Conditions - 周二国债现券收益率小幅走弱,国债期货短弱长强,大额逆回购到期,DR007加权利率维持在1.72%附近 [2]. 3.11 Domestic Fundamentals - 政策前置发力提振内需,经济数据表现强劲,社零、固投、工增小幅超预期,失业率环比改善;金融数据小幅超预期,政府债支撑社融,但私人部门融资意愿仍需提振;核心通胀改善,但工业价格数据仍偏弱;抢出口效应推动出口超预期回升,但持续性可能不佳 [2]. 3.12 Overseas Situation - 美国4月PMI小幅回落,非农增长、CPI、PPI、社零数据均不及预期,美国各部门对关税态度分歧剧烈,关税或虎头蛇尾 [2]. 3.13 Key Events to Watch - 5月8日02:00美国至5月7日美联储利率决定(上限);5月8日19:00英国至5月8日央行利率决定;5月8日20:30美国至5月3日当周初请失业金人数(万人) [3]