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]

研究员： 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 免责声明 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完 整性不做任何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是 否符合其特定状况。本报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发 布。如引用、刊发，需注明出处为瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修 改。 端本期货 国债期货日报 2025/5/6 | 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 109.045 | 0% T主力成交量 | 49555 | -366↓ | | | TF主力收盘价 | 106.060 | -0.04% TF主力成交量 | 46541 | -627↓ | | | TS主力收盘价 | 102.308 | -0.06% TS主力成交量 | 2836 ...