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TL合约净基差指标回测净值曲线(中债-30年国债指数)
TL合约净基差指标回测净值曲线(中债-30年国债指数)
行业数据
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所属报告:
【广发期货】国债期货基差系列三:TL合约多头替代前景探讨-251223(21页).pdf
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图3上周国际黄金基差显著回升(美元/盎司)
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2026-01-20
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郑州商品交易所:菜籽油:基差(日度)
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2026-01-14
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大连商品交易所:大豆油:基差(日度)
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2026-01-14
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大连商品交易所:棕榈油:基差(日度)
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2026-01-14
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鸡蛋全国均价基差
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2026-01-14
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(3)净基差 信号组合为净基差信号 1、基差信号 2 与叠加信号,同样对三个信号进行回测,由于基差信号 2 已进行过回测,因此主要观察净基差信号 1 与叠加信号。收益层面,信号 1 与叠加信号的回测区间总收益与年化收益率均高于持有指数,年化收益率为 12.18%,较持有中债指数高 0.54%。风险端,两类信号的年化波动率均低于持有指数。风险收益比上,两类信号的回测夏普比率、卡玛比率和索提诺比率指标均优于持有指数。
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【广发期货】国债期货基差系列三:TL合约多头替代前景探讨-251223(21页).pdf
期现货多头回测绩效
TL合约隐含利差指标回测绩效表(中债-30年国债指数)
TL合约隐含利差指标回测绩效表(30年国债活跃券)
TL合约隐含利差指标回测绩效表(30年国债ETF)
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