量化专题报告：国债期货席位择时能力的动态筛选

研究院量化组 摘要 研究员 本报告作为前序报告《国债期货席位风格分化下的信号重构》的补充和扩展，针对席位信号持续性问题提出动态优化方案，通过滚动筛选机制提升策略稳健性，核心结论如下： 高天越0755-23887993gaotianyue@htfc.com从业资格号：F3055799投资咨询号：Z0016156 (1)固定样本期暴露时效性缺陷。实证发现席位择时能力存在动态演变（如十年期国债期货上某席位在原本的样本期后的多头择时能力出现明显提升），静态的筛选机制容易导致有效席位错失与失效席位滞留。 李逸资0755-23887993liyizi@htfc.com从业资格号：F03105861投资咨询号：Z0021365 (2)滚动筛选与参数优化，实现信号可持续。为了解决固定样本期带来的时效性问题，我们对席位进行滚动筛选，并通过对三个核心参数进行参数优化，实现了比原有方法更高的夏普比率和卡玛比率。 (3)例如在2023年以来，T在多头择时的回测中实现夏普比率2.8891，卡玛比率2.5143，而在多空择时的回测上则实现了夏普比率2.2728，卡玛比率3.0710。 李光庭0755-23887993liguangting@htfc.com从业资格号：F03108562投资咨询号：Z0021506 联系人 黄煦然0755-23887993huangxuran@htfc.com从业资格号：F0310959 投资咨询业务资格：证监许可【2011】1289号 目录 摘要......................................................................................................................................................................................................1从席位数据到合成信号......................................................................................................................................................................4■回顾..............................................................................................................................................................................................................4席位的滚动筛选..................................................................................................................................................................................7■固定样本期的问题......................................................................................................................................................................................7■解决方案......................................................................................................................................................................................................7■两年期国债期货..........................................................................................................................................................................................8■五年期国债期货........................................................................................................................................................................................11■十年期国债期货........................................................................................................................................................................................13■三十年期国债期货....................................................................................................................................................................................16总结....................................................................................................................................................................................................18 图表 图1:某席位蜘蛛网策略多空择时回测表现丨单位：无...............................................................................................................4图2:某席位蜘蛛网策略多头择时回测表现丨单位：无...............................................................................................................5图3:某席位蜘蛛网策略空头择时回测表现丨单位：无...............................................................................................................5图4:合成信号生成框架（一）.......................................................................................................................................................6图5:合成信号生成框架（二）.......................................................................................................................................................6图6:某席位蜘蛛网策略多头和空头择时回测表现丨单位：无...................................................................................................7图7:TS滚动合成信号回测表现（只多头）丨单位：无...............................................................................................................8图8:TS滚动合成信号和固定合成信号回测表现对比（只多头）丨单位：无...........................................................................9图9:TS滚动合成信号回测表现（多空）丨单位：无.................................................................................................................10图10:TS滚动合成信号和固定合成信号回测表现对比（多空）丨单位：无...........................................................................10图11:TF滚动合成信号回测表现（只多头）丨单位：无...........................................................................................................11图12:TF滚动合成信号和固定合成信号回测表现对比（只多头）丨单位：无.......................................................................12图13:TF滚动合成信号回测表现（多空）丨单位：无...............................................................................................................12图14:TF滚动合成信号和固定合成信号回测表现对比（多空）丨单位：无...........................................................................13图15:T滚动合成信号回测表现（只多头）丨单位：无.............................................................................................................14图16:T滚动合成信号和固定合成信号回测表现对比（只多头）丨单位：无.........................................................................14图17:T滚动合成信号回测表现（多空）丨单位：无.....................................................................