FIXED INCOME RESEARCH

三候听澜 · 核回归突破择时

126 / 63 / 21 · 因果核回归 · 完整交易周确认
2026-10-30数据截面TL目标期限+1.000综合得分6.32%策略CAGR2018-08-27统一起点
数据截止：2026-10-30 · 标的：招商核回归突破利率择时
FIXED INCOME RESEARCH · 当前判断
一、执行摘要
数据截面 2026-10-30

数据截至 2026-10-30；四模型统一比较区间：2018-08-27 至 2026-10-30。

+1.000当前综合得分 · 利多TL → TL目标 → 可交易期限 · TL2612TL2612收盘实际持仓 · 实际有效久期 18.37 年2026-11-02下一执行日期 · 目标在下一交易日收盘执行
6.32%策略CAGR · 扣真实手续费和1 tick滑点1.00现金超额Sharpe · 净收益减滞后DR007现金-6.31%绝对最大回撤 · 样本前净值基点10.74相对等权IR · 当时可用品种等权为主基准
FIXED INCOME RESEARCH · 当前判断
二、当前信号与历史仓位
数据截面 2026-10-30

126、63、21日收益率轨道分别捕捉中短期变化，至少两周期同向突破后更新候选状态，在完整交易周末确认并延续。 信号历史覆盖 2018-08-27 至 2026-10-30。

当前周期触发

利多126日突破中性21日突破利多63日突破
全量历史：综合得分与收盘实际久期
全量历史：126／63／21日核回归方向

阶梯线展示完整交易周确认后的延续状态，灰线展示收盘实际有效久期；方向矩阵逐日展示三周期突破触发。

当前指标状态与加权贡献
维度指标当前原值参照值历史状态分箱方向加性贡献（适用时）事件年龄/自然日历史独立观测数
突破126日突破+1.6386+1.6849<10%利多—632012
突破21日突破+1.6386+1.6372<10%中性—02117
突破63日突破+1.6386+1.6626<10%利多—162075
最近16个交易日的信号与目标久期
信号日综合得分目标期限调仓提示收盘实际合约实际有效久期/年
2026-10-09+1.000TL维持久期TL261218.16
2026-10-12+1.000TL维持久期TL261218.22
2026-10-13+1.000TL维持久期TL261218.22
2026-10-14+1.000TL维持久期TL261218.20
2026-10-15+1.000TL维持久期TL261218.22
2026-10-16+1.000TL维持久期TL261218.22
2026-10-19+1.000TL维持久期TL261218.21
2026-10-20+1.000TL维持久期TL261218.21
2026-10-21+1.000TL维持久期TL261218.28
2026-10-22+1.000TL维持久期TL261218.24
2026-10-23+1.000TL维持久期TL261218.21
2026-10-26+1.000TL维持久期TL261218.19
2026-10-27+1.000TL维持久期TL261218.19
2026-10-28+1.000TL维持久期TL261218.21
2026-10-29+1.000TL维持久期TL261218.18
2026-10-30+1.000TL维持久期TL261218.37

调仓提示按相邻决策的目标期限比较：红色表示延长久期，绿色表示缩短久期。目标期限、收盘实际合约和实际有效久期分别列示；同品种换月记录在执行流水中。

全量发布信号台账（1,981个决策日）
信号日综合得分目标期限调仓提示收盘实际合约实际有效久期/年
2018-08-27-1.000TS无可比前值TS18122.27
2018-08-28-1.000TS维持久期TS18122.26
2018-08-29-1.000TS维持久期TS18122.26
2018-08-30-1.000TS维持久期TS18122.26
2018-08-31-1.000TS维持久期TS18122.25
2018-09-03-1.000TS维持久期TS18122.25
2018-09-04-1.000TS维持久期TS18122.27
2018-09-05-1.000TS维持久期TS18122.27
2018-09-06-1.000TS维持久期TS18122.27
2018-09-07-1.000TS维持久期TS18122.26
2018-09-10-1.000TS维持久期TS18122.26
2018-09-11-1.000TS维持久期TS18122.25
2018-09-12-1.000TS维持久期TS18122.25
2018-09-13-1.000TS维持久期TS18122.25
2018-09-14-1.000TS维持久期TS18122.24
2018-09-17-1.000TS维持久期TS18122.24
2018-09-18-1.000TS维持久期TS18122.21
2018-09-19-1.000TS维持久期TS18122.21
2018-09-20-1.000TS维持久期TS18122.23
2018-09-21-1.000TS维持久期TS18122.23
2018-09-25-1.000TS维持久期TS18122.19
2018-09-26-1.000TS维持久期TS18121.71
2018-09-27-1.000TS维持久期TS18122.18
2018-09-28-1.000TS维持久期TS18122.18
2018-10-08-1.000TS维持久期TS18122.16
2018-10-09-1.000TS维持久期TS18122.16
2018-10-10-1.000TS维持久期TS18122.16
2018-10-11-1.000TS维持久期TS18121.71
2018-10-12-1.000TS维持久期TS18122.15
2018-10-15-1.000TS维持久期TS18122.14
2018-10-16-1.000TS维持久期TS18122.14
2018-10-17-1.000TS维持久期TS18122.14
2018-10-18-1.000TS维持久期TS18122.14
2018-10-19-1.000TS维持久期TS18122.14
2018-10-22-1.000TS维持久期TS18122.13
2018-10-23-1.000TS维持久期TS18122.12
2018-10-24-1.000TS维持久期TS18122.12
2018-10-25-1.000TS维持久期TS18121.90
2018-10-26-1.000TS维持久期TS18121.90
2018-10-29-1.000TS维持久期TS18122.11
2018-10-30-1.000TS维持久期TS18122.11
2018-10-31-1.000TS维持久期TS18122.11
2018-11-01-1.000TS维持久期TS18122.11
2018-11-02-1.000TS维持久期TS18122.11
2018-11-05-1.000TS维持久期TS18122.10
2018-11-06-1.000TS维持久期TS18122.10
2018-11-07-1.000TS维持久期TS18122.09
2018-11-08-1.000TS维持久期TS18122.09
2018-11-09-1.000TS维持久期TS18122.09
2018-11-12-1.000TS维持久期TS18122.08
2018-11-13-1.000TS维持久期TS18122.08
2018-11-14-1.000TS维持久期TS18122.08
2018-11-15-1.000TS维持久期TS18122.07
2018-11-16+1.000TL延长久期TS18122.07
2018-11-19+1.000TL维持久期T19036.84
2018-11-20+1.000TL维持久期T19036.86
2018-11-21+1.000TL维持久期T19036.84
2018-11-22+1.000TL维持久期T19036.86
2018-11-23+1.000TL维持久期T19036.85
2018-11-26+1.000TL维持久期T19038.21
2018-11-27+1.000TL维持久期T19037.43
2018-11-28+1.000TL维持久期T19037.02
2018-11-29+1.000TL维持久期T19037.04
2018-11-30+1.000TL维持久期T19036.84
2018-12-03+1.000TL维持久期T19036.82
2018-12-04+1.000TL维持久期T19036.83
2018-12-05+1.000TL维持久期T19037.71
2018-12-06+1.000TL维持久期T19037.03
2018-12-07+1.000TL维持久期T19037.03
2018-12-10+1.000TL维持久期T19037.04
2018-12-11+1.000TL维持久期T19037.04
2018-12-12+1.000TL维持久期T19037.03
2018-12-13+1.000TL维持久期T19037.04
2018-12-14+1.000TL维持久期T19037.02
2018-12-17+1.000TL维持久期T19036.81
2018-12-18+1.000TL维持久期T19036.99
2018-12-19+1.000TL维持久期T19036.79
2018-12-20+1.000TL维持久期T19037.04
2018-12-21+1.000TL维持久期T19036.07
2018-12-24+1.000TL维持久期T19037.05
2018-12-25+1.000TL维持久期T19037.18
2018-12-26+1.000TL维持久期T19037.01
2018-12-27+1.000TL维持久期T19036.05
2018-12-28+1.000TL维持久期T19036.98
2019-01-02+1.000TL维持久期T19036.94
2019-01-03+1.000TL维持久期T19036.88
2019-01-04+1.000TL维持久期T19036.96
2019-01-07+1.000TL维持久期T19036.98
2019-01-08+1.000TL维持久期T19036.94
2019-01-09+1.000TL维持久期T19036.94
2019-01-10+1.000TL维持久期T19036.97
2019-01-11+1.000TL维持久期T19036.52
2019-01-14+1.000TL维持久期T19036.53
2019-01-15+1.000TL维持久期T19036.96
2019-01-16+1.000TL维持久期T19036.72
2019-01-17+1.000TL维持久期T19036.44
2019-01-18+1.000TL维持久期T19036.05
2019-01-21+1.000TL维持久期T19036.05
2019-01-22+1.000TL维持久期T19036.05
2019-01-23+1.000TL维持久期T19036.96
2019-01-24+1.000TL维持久期T19036.96
2019-01-25+1.000TL维持久期T19036.77
2019-01-28+1.000TL维持久期T19036.95
2019-01-29+1.000TL维持久期T19036.74
2019-01-30+1.000TL维持久期T19036.93
2019-01-31+1.000TL维持久期T19036.94
2019-02-01+1.000TL维持久期T19036.75
2019-02-11+1.000TL维持久期T19036.70
2019-02-12+1.000TL维持久期T19036.91
2019-02-13+1.000TL维持久期T19036.91
2019-02-14+1.000TL维持久期T19036.92
2019-02-15+1.000TL维持久期T19036.91
2019-02-18+1.000TL维持久期T19036.91
2019-02-19+1.000TL维持久期T19036.69
2019-02-20+1.000TL维持久期T19036.88
2019-02-21+1.000TL维持久期T19066.48
2019-02-22+1.000TL维持久期T19066.92
2019-02-25+1.000TL维持久期T19066.49
2019-02-26+1.000TL维持久期T19067.91
2019-02-27+1.000TL维持久期T19067.89
2019-02-28+1.000TL维持久期T19066.73
2019-03-01+1.000TL维持久期T19066.94
2019-03-04+1.000TL维持久期T19066.91
2019-03-05+1.000TL维持久期T19066.90
2019-03-06+1.000TL维持久期T19066.89
2019-03-07+1.000TL维持久期T19066.86
2019-03-08+1.000TL维持久期T19067.57
2019-03-11+1.000TL维持久期T19066.67
2019-03-12+1.000TL维持久期T19066.85
2019-03-13+1.000TL维持久期T19066.85
2019-03-14+1.000TL维持久期T19066.87
2019-03-15+1.000TL维持久期T19066.66
2019-03-18+1.000TL维持久期T19066.86
2019-03-19+1.000TL维持久期T19066.87
2019-03-20+1.000TL维持久期T19066.86
2019-03-21+1.000TL维持久期T19067.24
2019-03-22+1.000TL维持久期T19066.64
2019-03-25+1.000TL维持久期T19066.61
2019-03-26+1.000TL维持久期T19066.82
2019-03-27+1.000TL维持久期T19066.40
2019-03-28+1.000TL维持久期T19067.25
2019-03-29+1.000TL维持久期T19066.63
2019-04-01+1.000TL维持久期T19066.85
2019-04-02+1.000TL维持久期T19067.58
2019-04-03+1.000TL维持久期T19067.57
2019-04-04+1.000TL维持久期T19066.87
2019-04-08+1.000TL维持久期T19067.35
2019-04-09+1.000TL维持久期T19068.02
2019-04-10+1.000TL维持久期T19067.19
2019-04-11+1.000TL维持久期T19067.19
2019-04-12+1.000TL维持久期T19067.88
2019-04-15+1.000TL维持久期T19067.96
2019-04-16+1.000TL维持久期T19067.72
2019-04-17+1.000TL维持久期T19068.20
2019-04-18+1.000TL维持久期T19067.17
2019-04-19-1.000TS缩短久期T19067.30
2019-04-22-1.000TS维持久期TS19061.90
2019-04-23-1.000TS维持久期TS19062.13
2019-04-24-1.000TS维持久期TS19061.87
2019-04-25-1.000TS维持久期TS19061.87
2019-04-26-1.000TS维持久期TS19061.86
2019-04-29-1.000TS维持久期TS19062.11
2019-04-30-1.000TS维持久期TS19061.87
2019-05-06-1.000TS维持久期TS19061.86
2019-05-07-1.000TS维持久期TS19061.86
2019-05-08-1.000TS维持久期TS19061.83
2019-05-09-1.000TS维持久期TS19061.86
2019-05-10-1.000TS维持久期TS19061.85
2019-05-13-1.000TS维持久期TS19061.84
2019-05-14-1.000TS维持久期TS19061.84
2019-05-15-1.000TS维持久期TS19061.84
2019-05-16-1.000TS维持久期TS19062.07
2019-05-17-1.000TS维持久期TS19061.82
2019-05-20-1.000TS维持久期TS19061.82
2019-05-21-1.000TS维持久期TS19061.82
2019-05-22-1.000TS维持久期TS19061.81
2019-05-23-1.000TS维持久期TS19061.81
2019-05-24-1.000TS维持久期TS19062.05
2019-05-27-1.000TS维持久期TS19092.05
2019-05-28-1.000TS维持久期TS19091.81
2019-05-29-1.000TS维持久期TS19091.78
2019-05-30-1.000TS维持久期TS19092.29
2019-05-31-1.000TS维持久期TS19092.29
2019-06-03-1.000TS维持久期TS19092.28
2019-06-04-1.000TS维持久期TS19092.27
2019-06-05-1.000TS维持久期TS19091.77
2019-06-06-1.000TS维持久期TS19091.77
2019-06-10-1.000TS维持久期TS19091.76
2019-06-11-1.000TS维持久期TS19091.77
2019-06-12-1.000TS维持久期TS19091.77
2019-06-13-1.000TS维持久期TS19091.75
2019-06-14-1.000TS维持久期TS19091.99
2019-06-17-1.000TS维持久期TS19091.98
2019-06-18-1.000TS维持久期TS19091.98
2019-06-19-1.000TS维持久期TS19091.73
2019-06-20-1.000TS维持久期TS19091.98
2019-06-21-1.000TS维持久期TS19091.97
2019-06-24-1.000TS维持久期TS19091.97
2019-06-25-1.000TS维持久期TS19091.72
2019-06-26-1.000TS维持久期TS19091.72
2019-06-27-1.000TS维持久期TS19091.96
2019-06-28-1.000TS维持久期TS19091.96
2019-07-01-1.000TS维持久期TS19092.20
2019-07-02-1.000TS维持久期TS19092.20
2019-07-03-1.000TS维持久期TS19091.71
2019-07-04-1.000TS维持久期TS19091.95
2019-07-05-1.000TS维持久期TS19091.94
2019-07-08-1.000TS维持久期TS19091.94
2019-07-09-1.000TS维持久期TS19091.93
2019-07-10-1.000TS维持久期TS19091.93
2019-07-11-1.000TS维持久期TS19092.15
2019-07-12-1.000TS维持久期TS19091.93
2019-07-15-1.000TS维持久期TS19091.92
2019-07-16-1.000TS维持久期TS19091.92
2019-07-17-1.000TS维持久期TS19092.17
2019-07-18-1.000TS维持久期TS19091.91
2019-07-19-1.000TS维持久期TS19092.16
2019-07-22-1.000TS维持久期TS19091.90
2019-07-23-1.000TS维持久期TS19092.15
2019-07-24-1.000TS维持久期TS19092.15
2019-07-25-1.000TS维持久期TS19091.89
2019-07-26-1.000TS维持久期TS19091.89
2019-07-29-1.000TS维持久期TS19092.14
2019-07-30-1.000TS维持久期TS19091.63
2019-07-31-1.000TS维持久期TS19091.88
2019-08-01-1.000TS维持久期TS19092.13
2019-08-02-1.000TS维持久期TS19092.13
2019-08-05-1.000TS维持久期TS19091.63
2019-08-06-1.000TS维持久期TS19092.12
2019-08-07-1.000TS维持久期TS19092.11
2019-08-08-1.000TS维持久期TS19092.11
2019-08-09+1.000TL延长久期TS19091.86
2019-08-12+1.000TL维持久期T19096.51
2019-08-13+1.000TL维持久期T19096.50
2019-08-14+1.000TL维持久期T19097.19
2019-08-15+1.000TL维持久期T19126.53
2019-08-16+1.000TL维持久期T19128.02
2019-08-19+1.000TL维持久期T19127.23
2019-08-20+1.000TL维持久期T19126.52
2019-08-21+1.000TL维持久期T19126.31
2019-08-22+1.000TL维持久期T19128.00
2019-08-23+1.000TL维持久期T19126.60
2019-08-26+1.000TL维持久期T19126.49
2019-08-27+1.000TL维持久期T19126.49
2019-08-28+1.000TL维持久期T19126.27
2019-08-29+1.000TL维持久期T19127.46
2019-08-30+1.000TL维持久期T19127.97
2019-09-02+1.000TL维持久期T19127.97
2019-09-03+1.000TL维持久期T19126.46
2019-09-04+1.000TL维持久期T19126.45
2019-09-05+1.000TL维持久期T19126.43
2019-09-06+1.000TL维持久期T19126.43
2019-09-09+1.000TL维持久期T19126.43
2019-09-10+1.000TL维持久期T19126.44
2019-09-11+1.000TL维持久期T19127.19
2019-09-12+1.000TL维持久期T19127.95
2019-09-16+1.000TL维持久期T19127.16
2019-09-17+1.000TL维持久期T19127.94
2019-09-18+1.000TL维持久期T19127.93
2019-09-19+1.000TL维持久期T19127.92
2019-09-20+1.000TL维持久期T19126.43
2019-09-23+1.000TL维持久期T19126.42
2019-09-24+1.000TL维持久期T19127.65
2019-09-25+1.000TL维持久期T19127.90
2019-09-26+1.000TL维持久期T19127.91
2019-09-27+1.000TL维持久期T19127.91
2019-09-30+1.000TL维持久期T19127.63
2019-10-08+1.000TL维持久期T19127.59
2019-10-09+1.000TL维持久期T19127.88
2019-10-10+1.000TL维持久期T19127.62
2019-10-11+1.000TL维持久期T19126.15
2019-10-14+1.000TL维持久期T19126.14
2019-10-15+1.000TL维持久期T19127.59
2019-10-16+1.000TL维持久期T19127.85
2019-10-17+1.000TL维持久期T19127.58
2019-10-18+1.000TL维持久期T19127.85
2019-10-21+1.000TL维持久期T19127.83
2019-10-22+1.000TL维持久期T19127.84
2019-10-23+1.000TL维持久期T19127.82
2019-10-24+1.000TL维持久期T19127.55
2019-10-25+1.000TL维持久期T19127.56
2019-10-28+1.000TL维持久期T19127.34
2019-10-29+1.000TL维持久期T19127.81
2019-10-30+1.000TL维持久期T19127.82
2019-10-31+1.000TL维持久期T19127.03
2019-11-01+1.000TL维持久期T19127.03
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2026-10-12+1.000TL维持久期TL261218.22
2026-10-13+1.000TL维持久期TL261218.22
2026-10-14+1.000TL维持久期TL261218.20
2026-10-15+1.000TL维持久期TL261218.22
2026-10-16+1.000TL维持久期TL261218.22
2026-10-19+1.000TL维持久期TL261218.21
2026-10-20+1.000TL维持久期TL261218.21
2026-10-21+1.000TL维持久期TL261218.28
2026-10-22+1.000TL维持久期TL261218.24
2026-10-23+1.000TL维持久期TL261218.21
2026-10-26+1.000TL维持久期TL261218.19
2026-10-27+1.000TL维持久期TL261218.19
2026-10-28+1.000TL维持久期TL261218.21
2026-10-29+1.000TL维持久期TL261218.18
2026-10-30+1.000TL维持久期TL261218.37
FIXED INCOME RESEARCH · 策略与结果
三、策略框架与指标定义
数据截面 2026-10-30

收益率突破轨道形成三票，至少两票同向触发；完整交易周末发布状态，其余日期延续。

从底层指标到最终得分
组别指标构建与方向规则
三周期126 / 63 / 21单边Gaussian核回归，带宽0.4×窗口，只读取当前和过去
轨道拟合值 ± 2×残差标准差残差波动完整63日；收益率低于下轨+1、高于上轨−1、轨内0
状态发布至少两票同向触发日内计算事件；完整交易周末确认；周中延续，首次触发前invalid

三周期因果突破

01单边核回归
$$\widehat y^{(h)}_t=\frac{\sum_{i=0}^{h-1}\exp[-\tfrac12(i/(0.4h))^2]y_{t-i}}{\sum_{i=0}^{h-1}\exp[-\tfrac12(i/(0.4h))^2]},\quad h\in\{126,63,21\}$$

每个拟合点由当期与过去观测加权得到，权重随距离递减。三个周期分别反映中、短期收益率趋势。

02残差轨道与突破票
$$\sigma^{(h)}_t=\operatorname{Std}_{63}(y-\widehat y^{(h)})_t,\quad v^{(h)}_t=\begin{cases}+1&y_t<\widehat y^{(h)}_t-2\sigma^{(h)}_t\\-1&y_t>\widehat y^{(h)}_t+2\sigma^{(h)}_t\\0&\text{otherwise}\end{cases}$$

收益率跌破下轨利多、升破上轨利空；轨内为无触发，残差波动须满63日。

03两票触发与周度确认
$$b_t=\begin{cases}+1&\sum_h\mathbf1(v^{(h)}_t=+1)\geq2\\-1&\sum_h\mathbf1(v^{(h)}_t=-1)\geq2\\b_{t-1}&\text{otherwise}\end{cases}$$

日内事件更新候选状态，按交易所完整周末确认发布；周中沿用已确认状态，首次有效触发前不产生信号。

交易与久期

04四档久期映射
$$D(S)=\begin{cases}\mathrm{TL}&S\geq0.5\\\mathrm{T}&0\leq S<0.5\\\mathrm{TF}&-0.5\leq S<0\\\mathrm{TS}&S<-0.5\end{cases}$$

三元与四衡采用四档；十一观势及三候听澜为TL/TS二元轮动。上市前按可交易期限降级，仍维持1倍名义多头。

05执行与现金收益
$$r^{net}_t=\left(P^{held}_t/P^{held}_{t-1}-1\right)+\frac{\mathrm{DR007}_{t-1}}{100\times252}-c_t$$

T收盘后形成判断并选约，T+1收盘交易，新仓从T+1→T+2区间开始贡献收益。c为真实手续费及单边1 tick滑点；不同合约之间价差不作为收益。

06收盘实际有效久期
$$\mathcal D_t=\sum_k w_{k,t}\frac{D^{CTD}_{k,t}\,P^{CTD,dirty}_{k,t}}{CF_{k,t}\,F_{k,t}}$$

使用实际持有合约的CTD修正久期、脏价和转换因子；组合按收盘实际权重加总，完整成分共同决定组合久期。

方法参考招商多周期突破研究；采用仅含当期及过去数据的核回归代理，三周期触发由完整交易周确认。

T日收盘形成信号并选约 → T+1收盘执行 → 新仓从T+1到T+2的收盘区间计收益。因子按可用日期进入判断，合约按执行日期进入持仓。主策略以1倍名义本金做多所选期限；利多延长久期，利空缩短久期。

FIXED INCOME RESEARCH · 策略与结果
四、仓位与策略净值
数据截面 2026-10-30

2018-08-27 至 2026-10-30；统一起点之前净值为1，首日收益及费用保留；沿用实际持仓与成交记录。

累计收益、相对基准收益与实际持仓久期（双轴）
月历：绝对收益、超额收益与最大回撤
成本后绝对与超额回撤
FIXED INCOME RESEARCH · 策略与结果
五、年度收益与稳健性
数据截面 2026-10-30

首尾年度按实际覆盖日期展示。相对净值CAGR使用净值比，CAGR差按策略与基准年化收益之差计算。

同区间绩效口径
策略策略CAGR相对净值CAGRCAGR差/百分点现金超额SharpeIR绝对最大回撤相对净值最大回撤名义换手合计费用合计订单腿数
三候听澜6.32%1.80%+1.881.000.74-6.31%-3.96%81.00.51%81
可用品种等权4.44%0.00%+0.001.06—-3.10%0.00%64.80.35%557
T长期持有5.02%0.56%+0.581.040.52-3.91%-1.84%64.00.33%64
年度收益（首尾部分年度）
年份可用品种等权三候听澜T长期持有
2018+2.90%+2.65%+4.17%
2019+4.21%+1.73%+4.60%
2020+3.41%+3.47%+3.95%
2021+5.00%+5.64%+6.24%
2022+2.72%+3.02%+3.30%
2023+5.61%+7.89%+6.31%
2024+8.77%+19.77%+7.48%
2025-0.65%+1.78%+0.52%
2026+3.10%+4.69%+2.97%
0/1/2 tick成本情景
策略成本情景策略CAGR现金超额Sharpe绝对最大回撤费用合计
三候听澜1 tick；真实手续费6.32%1.00-6.31%0.51%
可用品种等权1 tick；真实手续费4.44%1.06-3.10%0.35%
T长期持有1 tick；真实手续费5.02%1.04-3.91%0.33%
最近执行、换月与交易成本
strategy_idsignal_dateexecution_datefrom_symbolto_symbolfrom_contractto_contractfrom_directionto_directionreasonorder_countcost_ratenominal_turnoverslippage_ticksfee_statusvariant_id
cms_breakout2022-11-172022-11-18TTT2212T23031.01.0roll20.000105978421289929862.01.0source—
cms_breakout2022-12-092022-12-12TTST2303TS23031.01.0symbol_change20.000104323855192212972.01.0source—
cms_breakout2023-02-162023-02-17TSTSTS2303TS23061.01.0roll20.000102175088260593772.01.0source—
cms_breakout2023-04-282023-05-04TSTLTS2306TL23061.01.0symbol_change20.000157043600859178132.01.0source—
cms_breakout2023-05-152023-05-16TLTLTL2306TL23091.01.0roll20.000212229775310844472.01.0source—
cms_breakout2023-08-142023-08-15TLTLTL2309TL23121.01.0roll20.00020524134521266652.01.0source—
cms_breakout2023-11-222023-11-23TLTLTL2312TL24031.01.0roll20.00020852313200806932.01.0source—
cms_breakout2024-02-082024-02-19TLTLTL2403TL24061.01.0roll20.000195994535377654382.01.0source—
cms_breakout2024-05-142024-05-15TLTLTL2406TL24091.01.0roll20.000193809725644364562.01.0source—
cms_breakout2024-08-142024-08-15TLTLTL2409TL24121.01.0roll20.000185904903020032152.01.0source—
cms_breakout2024-11-202024-11-21TLTLTL2412TL25031.01.0roll20.00018237352908543942.01.0source—
cms_breakout2025-02-142025-02-17TLTLTL2503TL25061.01.0roll20.000171581877313042772.01.0source—
cms_breakout2025-05-152025-05-16TLTLTL2506TL25091.01.0roll20.000172964336075882032.01.0source—
cms_breakout2025-07-252025-07-28TLTSTL2509TS25091.01.0symbol_change20.000107718823335894232.01.0source—
cms_breakout2025-08-212025-08-22TSTSTS2509TS25121.01.0roll24.202501956257707e-052.01.0source—
cms_breakout2025-11-212025-11-24TSTSTS2512TS26031.01.0roll24.197620223457466e-052.01.0source—
cms_breakout2026-02-132026-02-24TSTSTS2603TS26061.01.0roll24.195654629803592e-052.01.0source—
cms_breakout2026-04-172026-04-20TSTLTS2606TL26061.01.0symbol_change20.000111896098275417672.01.0source—
cms_breakout2026-05-202026-05-21TLTLTL2606TL26091.01.0roll20.00018237390072775472.01.0source—
cms_breakout2026-08-242026-08-25TLTLTL2609TL26121.01.0roll20.00017699947576349282.01.0source—
FIXED INCOME RESEARCH · 检验
六、信号与有效性检验
数据截面 2026-10-30

检验采用非重叠事件：T+1收盘入场，持有21个收益区间，于T+22收盘结束；收益扣除开平仓成本并减去现金收益。

综合得分分层：未来约1个月非重叠收益
综合分层事件数未来21区间平均现金超额正收益比例
强空 <−0.529+0.24%62.1%
弱空 [−0.5,0)0——
弱多 [0,0.5)0——
强多 ≥0.565+0.24%63.1%
单指标高低方向组收益（非重叠事件）
指标利多事件数利空事件数利多组未来收益利空组未来收益利多减利空
126日突破225-0.02%+0.08%-0.10%
21日突破61-0.14%+0.57%-0.72%
63日突破123+0.01%+0.33%-0.32%
FIXED INCOME RESEARCH · 判断
七、综合结论与使用边界
数据截面 2026-10-30

2018-08-27 至 2026-10-30：策略年化 6.32%，现金超额Sharpe 1.00，绝对最大回撤 -6.31%；相对可用品种等权IR 0.74，相对净值最大回撤 -3.96%。

126、63、21日收益率轨道分别捕捉中短期变化，至少两周期同向突破后更新候选状态，在完整交易周末确认并延续。

方法参考招商多周期突破研究；采用仅含当期及过去数据的核回归代理，三周期触发由完整交易周确认。

本期综合得分 +1.000，目标期限 TL，可交易合约 TL2612；收盘实际持仓 TL2612，有效久期 18.37 年。