/CONTENTS01020304052

/0102030405歷史數(shù)據(jù)總體和樣本偏誤；指標存在失效風險；模型設置偏誤

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4多空持倉比總體/主力多/空持倉會員席位持倉絕對持倉配套擇時策略凈持倉配套擇時策略量分機構國債期貨持倉擇時策略分機構類型凈持倉多空占優(yōu)度凈持倉多空熱力圖日內動量識別與擇時尾盤突擊動量跟蹤開盤動量隔夜缺口機構行為慣性量價因子：趨勢場景、動量場景、反轉場景量價信息技術指標：趨勢類指標的機構共識、關鍵位置的反轉信號、情緒指標的行為分化、成交量異常波動基差期現(xiàn)行為差異與多空情緒量化價移倉換月行為跨期價差5預期與現(xiàn)實的背離和統(tǒng)一601

T合約前二十家會員凈持倉與國債期貨走勢相關度一般前二十家多空持倉比T.CFE1.101.051.000.950.900.850.80111109107105103101999795702

803T_凈值_策略T_凈值_benchmarkTL_凈值_策略TL_凈值_benchmark

1.801.701.601.501.401.301.201.101.000.901.351.301.251.201.151.101.051.00

合約組別勝率

年化收益率年化波動率

夏普比率

最大回撤策略組57.81%6.39%4.29%8.70%6.83%11.48%5.19%9.49%7.83%10.01%5.11%9.70%5.64%6.57%3.86%9.05%4.65%0.490.550.740.941.520.960.881.3620.33%10.45%10.96%9.42%4.32%4.42%9.68%4.10%TSbenchmark

56.80%策略組

55.74%benchmark

58.23%策略組

64.06%benchmark

62.60%策略組

63.83%benchmark

67.33%TFTTL904

通過主力會員凈持倉的相關性得到市場多空力量分布圖示

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TL合約：分機構凈持倉變化T合約：分機構凈持倉變化1106

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各合約在不同入選機構范圍下（不同n值）的夏普比率差異較大TLTTFTS3.002.502.001.501.000.500.00-0.50

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基于動態(tài)調參的蜘蛛網(wǎng)策略策略表現(xiàn)合約策略累計收益率19.08%14.12%21.15%8.36%年化收益率10.06%7.52%最大回撤6.25%8.11%6.37%6.63%4.44%5.00%3.69%3.28%4.27%1.02%0.71%0.71%夏普比率1.54勝率盈虧比1.651.271.491.041.091.020.871.041.091.371.241.43靜態(tài)策略59.18%54.78%58.65%52.33%51.80%51.30%50.00%51.07%51.05%51.97%52.46%53.82%TL合約動量調參策略(30D)動量調參策略(90D)靜態(tài)策略1.0011.11%1.62%1.580.21T合約TF合約TS合約動量調參策略(30D)動量調參策略(90D)靜態(tài)策略16.81%14.67%6.03%3.16%0.612.78%0.471.18%0.05動量調參策略(30D)動量調參策略(90D)靜態(tài)策略12.51%12.80%9.52%2.39%0.582.44%0.571.84%0.83動量調參策略(30D)動量調參策略(90D)11.37%11.68%2.18%1.122.24%1.11141509

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60min60min30min15minTTS30minTL0.4%T

TSTF60min55.02%

54.91%*

60minT

TS國債期貨尾盤動量策略單位累計收益曲線（60min）國債期貨尾盤動量策略單位累計收益曲線（15min）TL.CFE*T.CFE*TF.CFE*TS.CFE*TL.CFET.CFE*TF.CFE*TS.CFE*(元)7.006.005.004.003.002.001.000.00-1.00-2.00(元)7.005.003.001.00-1.00-3.00-5.001711

TL

TSTLT

TF

TSTTFTL15min

30min

60min52%49%-50%T

TFTS國債期貨開盤動量策略單位累計收益曲線（60min）國債期貨隔夜動量策略單位累計收益曲線（60min）TL.CFET.CFE*TF.CFETS.CFETL.CFET.CFE*TF.CFETS.CFE(元)(元)4.007.003.002.001.000.00-1.00-2.005.003.001.00-1.00-3.00-5.00

TTL

TS52.71%

51.7%T2.1%TL

TS181912

HIGH0KLow1單日（12個）cntnDPOqtldKUP2趨勢場景因子池反轉場景因子池動量場景因子池…………

cntnqtld價ATR（26個）MACDcntdcorsMA……std……波動（3個）betawvma

vmavstd量（5個）MAXsumnstdvsumd…………cord量價（3個）corsSOBV2013

成交量(左)開盤價最高價最低價收盤價成交量(左)開盤價最高價最低價收盤價(手)(元)(手)(元)T2506收盤價震蕩下挫但成交量也不斷下降，指示空頭力量邊際轉弱，cors（量價相關性)發(fā)出多頭信號400000HIGH0指標（最高價/收盤價）跌破下方閾值，指向多頭資金主動承接，發(fā)出多頭信號110300000109.1350000300000250000200000150000100000500000109.5109108.9108.7108.5108.3108.1107.9107.7107.5250000200000150000100000500000108.5108量價反向變動提示多頭力量的邊際離場，cors指標持續(xù)下降，發(fā)出空頭信號五一假期后雖然國債期貨略微震蕩走強，但多頭沖高回落的幅度正在擴大，KUP1、HIGH0以及KSFT1同步發(fā)出空頭信號，提示提示多頭動能的邊際收縮。107.5107KUP1指標與KSFT1指標同步發(fā)出多頭信號，完成對多頭拐點的最終確認106.5106105.52025/3/172025/3/242025/3/312025/4/72025/4/142025/4/202025/4/272025/5/42025/5/112025/5/182114

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國債期貨基差與市場情緒往往呈現(xiàn)負相關關系TL基差T基差T.CFE2025年2月，流動性壓力下債市持續(xù)回調，國債期貨基差走闊1.501.301.100.900.700.500.300.10-0.10-0.301101091081071061051041031022024年末，機構搶跑行情再現(xiàn)，國債期貨基差明顯偏窄，后續(xù)隨著資金收緊與止盈需求的抬升逐步走闊2024年初，債市多頭情緒趨向極致，國債期貨基差收斂至0附近2416

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2024年末至2025年初

TL合約跨期價差兩次走向深度倒掛

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歷史數(shù)據(jù)總體和樣本偏