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TL合约基差指标回测绩效表(中债-30年国债指数)
TL合约基差指标回测绩效表(中债-30年国债指数)
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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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(2)基差 信号组合为基差信号 1、基差信号 2 与叠加信号。以 TL 合约为期货标的,中债-30 年国债指数为现货标的,分别对三个信号进行回测。收益端,信号 1 和叠加信号的回测区间总收益率与年化收益率略高于持有指数,年化收益率为 11.94%,较持有中债指数高 0.30%,而信号 2 的年化收益率要显著低于持有指数,仅为 10.34%。风险控制上,信号 2 的年化波动率和最大回撤均略低于单纯持有指数。风险收益比方面,信号 1 和叠加信号的夏普比率、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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