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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年国债活跃券)
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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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1、30 年国债活跃券 (1)隐含利差 信号组合为隐含利差信号 1、隐含利差信号 2 与叠加信号。以 TL 合约为期货标的,30 年国债活跃券为现货标的,分别对三个信号进行回测,在回测区间均展现出超越持有现券的收益能力。其中信号 1 和叠加信号表现最为突出,年化收益率为 11.74%,较持有 30 年国债活跃券高 1.35%。风险层面,三个信号回测净值的年化波动率均低于持有现券,其中信号 2 的最大回撤最低为-5.51%。风险收益比上,策略的夏普比率、卡玛比率和索提诺比率指标也全面优于持有现券,回测整体验证了基于隐含利差的多头替代策略在TL 合约上的有效性。
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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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