FIXED INCOME RESEARCH

十一观势 · 技术趋势择时

真实T期货因果收益链 · 十一指标等权投票
2026-10-30数据截面TL目标期限+0.455综合得分5.34%策略CAGR2018-08-27统一起点
数据截止：2026-10-30 · 标的：广发11指标国债期货技术择时
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。

+0.455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
5.34%策略CAGR · 扣真实手续费和1 tick滑点0.87现金超额Sharpe · 净收益减滞后DR007现金-4.75%绝对最大回撤 · 样本前净值基点10.38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

十一项趋势票等权合成净票数。价格相对趋势线走弱、动量下行时缩短久期；多头票占优时延长久期。 信号历史覆盖 2018-08-27 至 2026-10-30。

当前十一项趋势方向

利空DEMA利空HULLMA利多KAMA利多MADisplaced利多MICD利多MTM利多PPO利空RSIH利多T3利多TMA利多WMA
全量历史：综合得分与收盘实际久期
全量历史：十一指标方向（利多／利空／中性／无效）

综合线展示十一项趋势票的净得分，灰线对应实际持仓久期；方向矩阵按十一项指标和全部决策日展开。

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
技术指标DEMA+130.8486+130.8713>90%利空-0.090902714
技术指标HULLMA+130.8486+131.3818>90%利空-0.090992730
技术指标KAMA+130.8486+130.7396>90%利多+0.0909212815
技术指标MADisplaced+130.8486+130.5000>90%利多+0.0909182781
技术指标MICD+0.0216+0.000025–75%利多+0.0909112716
技术指标MTM+0.4527+0.000025–75%利多+0.0909212802
技术指标PPO+0.0023+0.002025–75%利多+0.0909172753
技术指标RSIH-3.1298+0.000025–75%利空-0.090902723
技术指标T3+130.8486+130.5226>90%利多+0.0909182595
技术指标TMA+130.8486+130.6248>90%利多+0.0909212783
技术指标WMA+130.8486+130.7692>90%利多+0.0909182787
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
2026-10-09-0.273TS维持久期TS26121.68
2026-10-12+0.636TL延长久期TS26121.68
2026-10-13+0.636TL维持久期TL261218.22
2026-10-14+0.636TL维持久期TL261218.20
2026-10-15+0.636TL维持久期TL261218.22
2026-10-16+0.818TL维持久期TL261218.22
2026-10-19+0.818TL维持久期TL261218.21
2026-10-20+1.000TL维持久期TL261218.21
2026-10-21+0.818TL维持久期TL261218.28
2026-10-22+0.818TL维持久期TL261218.24
2026-10-23+0.818TL维持久期TL261218.21
2026-10-26+0.818TL维持久期TL261218.19
2026-10-27+0.818TL维持久期TL261218.19
2026-10-28+0.818TL维持久期TL261218.21
2026-10-29+0.818TL维持久期TL261218.18
2026-10-30+0.455TL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
2018-08-28-0.818TS维持久期TS18122.26
2018-08-29-0.818TS维持久期TS18122.26
2018-08-30-0.636TS维持久期TS18122.26
2018-08-31-0.636TS维持久期TS18122.25
2018-09-03-0.818TS维持久期TS18122.25
2018-09-04-0.818TS维持久期TS18122.27
2018-09-05-1.000TS维持久期TS18122.27
2018-09-06-0.636TS维持久期TS18122.27
2018-09-07-0.636TS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
2018-09-13-0.818TS维持久期TS18122.25
2018-09-14-0.818TS维持久期TS18122.24
2018-09-17-0.818TS维持久期TS18122.24
2018-09-18-0.818TS维持久期TS18122.21
2018-09-19-0.818TS维持久期TS18122.21
2018-09-20-1.000TS维持久期TS18122.23
2018-09-21-0.818TS维持久期TS18122.23
2018-09-25-0.818TS维持久期TS18122.19
2018-09-26-0.818TS维持久期TS18121.71
2018-09-27+0.091TL延长久期TS18122.18
2018-09-28+0.455TL维持久期T18126.72
2018-10-08+0.091TL维持久期T18127.47
2018-10-09+0.636TL维持久期T18127.34
2018-10-10+0.636TL维持久期T18127.58
2018-10-11+0.818TL维持久期T18127.12
2018-10-12+1.000TL维持久期T18127.12
2018-10-15+1.000TL维持久期T18127.19
2018-10-16+1.000TL维持久期T18127.17
2018-10-17+1.000TL维持久期T18127.43
2018-10-18+1.000TL维持久期T18127.14
2018-10-19+1.000TL维持久期T18127.15
2018-10-22+0.818TL维持久期T18127.16
2018-10-23+1.000TL维持久期T18127.14
2018-10-24+1.000TL维持久期T18127.13
2018-10-25+1.000TL维持久期T18127.12
2018-10-26+0.818TL维持久期T18127.12
2018-10-29+1.000TL维持久期T18127.45
2018-10-30+0.818TL维持久期T18126.89
2018-10-31+0.818TL维持久期T18127.69
2018-11-01+0.818TL维持久期T18128.20
2018-11-02+0.818TL维持久期T18128.23
2018-11-05+0.818TL维持久期T18128.01
2018-11-06+0.818TL维持久期T18128.20
2018-11-07+0.818TL维持久期T18127.43
2018-11-08+0.818TL维持久期T18127.13
2018-11-09+0.818TL维持久期T18127.14
2018-11-12+0.818TL维持久期T18126.87
2018-11-13+0.818TL维持久期T18127.07
2018-11-14+0.818TL维持久期T18127.42
2018-11-15+0.818TL维持久期T19037.13
2018-11-16+1.000TL维持久期T19036.83
2018-11-19+0.818TL维持久期T19036.84
2018-11-20+0.818TL维持久期T19036.86
2018-11-21+0.818TL维持久期T19036.84
2018-11-22+0.818TL维持久期T19036.86
2018-11-23+0.818TL维持久期T19036.85
2018-11-26+0.818TL维持久期T19038.21
2018-11-27+0.818TL维持久期T19037.43
2018-11-28+0.818TL维持久期T19037.02
2018-11-29+0.818TL维持久期T19037.04
2018-11-30+0.818TL维持久期T19036.84
2018-12-03+0.818TL维持久期T19036.82
2018-12-04+0.818TL维持久期T19036.83
2018-12-05+0.818TL维持久期T19037.71
2018-12-06+0.818TL维持久期T19037.03
2018-12-07+0.818TL维持久期T19037.03
2018-12-10+0.818TL维持久期T19037.04
2018-12-11+0.818TL维持久期T19037.04
2018-12-12+0.818TL维持久期T19037.03
2018-12-13+0.273TL维持久期T19037.04
2018-12-14-0.455TS缩短久期T19037.02
2018-12-17-0.636TS维持久期TS19031.67
2018-12-18-0.455TS维持久期TS19032.21
2018-12-19-0.273TS维持久期TS19031.66
2018-12-20+0.273TL延长久期TS19031.66
2018-12-21+0.091TL维持久期T19036.07
2018-12-24-0.455TS缩短久期T19037.05
2018-12-25+0.091TL延长久期TS19032.19
2018-12-26+0.455TL维持久期T19037.01
2018-12-27+0.455TL维持久期T19036.05
2018-12-28+0.636TL维持久期T19036.98
2019-01-02+0.818TL维持久期T19036.94
2019-01-03+0.636TL维持久期T19036.88
2019-01-04+0.636TL维持久期T19036.96
2019-01-07+0.818TL维持久期T19036.98
2019-01-08+0.818TL维持久期T19036.94
2019-01-09+0.818TL维持久期T19036.94
2019-01-10+0.818TL维持久期T19036.97
2019-01-11+0.818TL维持久期T19036.52
2019-01-14+0.636TL维持久期T19036.53
2019-01-15+0.455TL维持久期T19036.96
2019-01-16+0.818TL维持久期T19036.72
2019-01-17+0.818TL维持久期T19036.44
2019-01-18+0.636TL维持久期T19036.05
2019-01-21+0.455TL维持久期T19036.05
2019-01-22+0.273TL维持久期T19036.05
2019-01-23-0.273TS缩短久期T19036.96
2019-01-24-0.273TS维持久期TS19031.69
2019-01-25-0.455TS维持久期TS19031.69
2019-01-28-0.455TS维持久期TS19032.12
2019-01-29-0.091TS维持久期TS19032.12
2019-01-30-0.091TS维持久期TS19032.12
2019-01-31+0.091TL延长久期TS19031.67
2019-02-01-0.455TS缩短久期T19036.75
2019-02-11+0.455TL延长久期TS19032.08
2019-02-12+0.273TL维持久期T19036.91
2019-02-13-0.091TS缩短久期T19036.91
2019-02-14-0.455TS维持久期TS19031.52
2019-02-15-0.455TS维持久期TS19032.08
2019-02-18-0.455TS维持久期TS19032.07
2019-02-19-0.091TS维持久期TS19032.07
2019-02-20+0.091TL延长久期TS19032.06
2019-02-21+0.091TL维持久期T19066.48
2019-02-22+0.091TL维持久期T19066.92
2019-02-25-1.000TS缩短久期T19066.49
2019-02-26-1.000TS维持久期TS19032.05
2019-02-27-1.000TS维持久期TS19032.04
2019-02-28-1.000TS维持久期TS19031.59
2019-03-01-1.000TS维持久期TS19062.27
2019-03-04-1.000TS维持久期TS19062.26
2019-03-05-1.000TS维持久期TS19062.23
2019-03-06-0.818TS维持久期TS19062.25
2019-03-07+0.636TL延长久期TS19062.25
2019-03-08+0.636TL维持久期T19067.57
2019-03-11+0.273TL维持久期T19066.67
2019-03-12+0.636TL维持久期T19066.85
2019-03-13+0.636TL维持久期T19066.85
2019-03-14+0.091TL维持久期T19066.87
2019-03-15+0.273TL维持久期T19066.66
2019-03-18-0.091TS缩短久期T19066.86
2019-03-19-0.455TS维持久期TS19062.22
2019-03-20-0.273TS维持久期TS19062.22
2019-03-21+0.273TL延长久期TS19062.22
2019-03-22+0.636TL维持久期T19066.64
2019-03-25+0.636TL维持久期T19066.61
2019-03-26+0.636TL维持久期T19066.82
2019-03-27+0.818TL维持久期T19066.40
2019-03-28+0.818TL维持久期T19067.25
2019-03-29+0.636TL维持久期T19066.63
2019-04-01-0.636TS缩短久期T19066.85
2019-04-02-0.818TS维持久期TS19062.19
2019-04-03-0.818TS维持久期TS19062.19
2019-04-04-0.818TS维持久期TS19062.19
2019-04-08-1.000TS维持久期TS19062.18
2019-04-09-1.000TS维持久期TS19062.16
2019-04-10-1.000TS维持久期TS19062.16
2019-04-11-1.000TS维持久期TS19062.16
2019-04-12-1.000TS维持久期TS19062.16
2019-04-15-1.000TS维持久期TS19061.92
2019-04-16-1.000TS维持久期TS19061.91
2019-04-17-1.000TS维持久期TS19061.91
2019-04-18-0.818TS维持久期TS19061.91
2019-04-19-0.818TS维持久期TS19061.90
2019-04-22-0.818TS维持久期TS19061.90
2019-04-23-0.818TS维持久期TS19062.13
2019-04-24-1.000TS维持久期TS19061.87
2019-04-25-0.818TS维持久期TS19061.87
2019-04-26-0.818TS维持久期TS19061.86
2019-04-29-0.818TS维持久期TS19062.11
2019-04-30-0.273TS维持久期TS19061.87
2019-05-06+0.091TL延长久期TS19061.86
2019-05-07+0.091TL维持久期T19066.68
2019-05-08+0.273TL维持久期T19067.24
2019-05-09+0.636TL维持久期T19066.68
2019-05-10+0.818TL维持久期T19066.68
2019-05-13+1.000TL维持久期T19066.65
2019-05-14+1.000TL维持久期T19066.75
2019-05-15+1.000TL维持久期T19067.08
2019-05-16+1.000TL维持久期T19067.09
2019-05-17+1.000TL维持久期T19066.67
2019-05-20+1.000TL维持久期T19066.67
2019-05-21+0.818TL维持久期T19097.37
2019-05-22+0.818TL维持久期T19097.14
2019-05-23+0.818TL维持久期T19097.12
2019-05-24+0.818TL维持久期T19097.90
2019-05-27-0.091TS缩短久期T19098.18
2019-05-28+0.818TL延长久期TS19091.81
2019-05-29+1.000TL维持久期T19097.09
2019-05-30+1.000TL维持久期T19096.68
2019-05-31+1.000TL维持久期T19097.35
2019-06-03+1.000TL维持久期T19096.66
2019-06-04+1.000TL维持久期T19097.09
2019-06-05+1.000TL维持久期T19097.07
2019-06-06+1.000TL维持久期T19096.45
2019-06-10+0.818TL维持久期T19096.44
2019-06-11+0.818TL维持久期T19097.86
2019-06-12+0.818TL维持久期T19098.13
2019-06-13+0.818TL维持久期T19097.38
2019-06-14+0.818TL维持久期T19097.36
2019-06-17+0.818TL维持久期T19097.83
2019-06-18+0.818TL维持久期T19097.62
2019-06-19+0.818TL维持久期T19097.62
2019-06-20+0.818TL维持久期T19097.62
2019-06-21+0.818TL维持久期T19097.83
2019-06-24+0.818TL维持久期T19097.84
2019-06-25+0.818TL维持久期T19097.83
2019-06-26+0.273TL维持久期T19098.10
2019-06-27-0.091TS缩短久期T19096.86
2019-06-28+0.636TL延长久期TS19091.96
2019-07-01+0.818TL维持久期T19096.36
2019-07-02+1.000TL维持久期T19098.04
2019-07-03+1.000TL维持久期T19097.76
2019-07-04+0.818TL维持久期T19097.00
2019-07-05+0.818TL维持久期T19097.01
2019-07-08+0.818TL维持久期T19097.01
2019-07-09+0.818TL维持久期T19097.00
2019-07-10+0.818TL维持久期T19096.37
2019-07-11+0.818TL维持久期T19096.14
2019-07-12+0.818TL维持久期T19096.36
2019-07-15+0.818TL维持久期T19096.14
2019-07-16+0.818TL维持久期T19096.36
2019-07-17+0.818TL维持久期T19096.36
2019-07-18+0.818TL维持久期T19096.34
2019-07-19+0.818TL维持久期T19096.34
2019-07-22+0.818TL维持久期T19097.11
2019-07-23+0.818TL维持久期T19097.11
2019-07-24+0.273TL维持久期T19097.55
2019-07-25+0.636TL维持久期T19097.54
2019-07-26+0.636TL维持久期T19098.02
2019-07-29+0.091TL维持久期T19098.02
2019-07-30+0.091TL维持久期T19098.37
2019-07-31+0.455TL维持久期T19096.52
2019-08-01+0.455TL维持久期T19097.08
2019-08-02+0.636TL维持久期T19097.06
2019-08-05+0.636TL维持久期T19097.03
2019-08-06+0.636TL维持久期T19096.60
2019-08-07+0.636TL维持久期T19096.07
2019-08-08+0.818TL维持久期T19096.52
2019-08-09+0.818TL维持久期T19096.31
2019-08-12+0.818TL维持久期T19096.51
2019-08-13+0.818TL维持久期T19096.50
2019-08-14+0.818TL维持久期T19097.19
2019-08-15+0.818TL维持久期T19126.53
2019-08-16+0.818TL维持久期T19128.02
2019-08-19+0.818TL维持久期T19127.23
2019-08-20+0.818TL维持久期T19126.52
2019-08-21+0.273TL维持久期T19126.31
2019-08-22+0.273TL维持久期T19128.00
2019-08-23+0.273TL维持久期T19126.60
2019-08-26+0.273TL维持久期T19126.49
2019-08-27+0.273TL维持久期T19126.49
2019-08-28-0.091TS缩短久期T19126.27
2019-08-29+0.455TL延长久期TS19121.81
2019-08-30-0.091TS缩短久期T19127.97
2019-09-02-0.455TS维持久期TS19121.80
2019-09-03-0.455TS维持久期TS19121.80
2019-09-04-0.091TS维持久期TS19121.79
2019-09-05+0.455TL延长久期TS19121.79
2019-09-06+0.455TL维持久期T19126.43
2019-09-09+0.091TL维持久期T19126.43
2019-09-10-0.091TS缩短久期T19126.44
2019-09-11-0.273TS维持久期TS19121.77
2019-09-12-1.000TS维持久期TS19121.77
2019-09-16-1.000TS维持久期TS19121.75
2019-09-17-1.000TS维持久期TS19121.75
2019-09-18-1.000TS维持久期TS19121.76
2019-09-19-1.000TS维持久期TS19121.76
2019-09-20-1.000TS维持久期TS19121.75
2019-09-23-1.000TS维持久期TS19121.75
2019-09-24-1.000TS维持久期TS19121.74
2019-09-25-1.000TS维持久期TS19121.74
2019-09-26-1.000TS维持久期TS19121.74
2019-09-27-1.000TS维持久期TS19121.74
2019-09-30-1.000TS维持久期TS19121.73
2019-10-08-1.000TS维持久期TS19121.68
2019-10-09-1.000TS维持久期TS19121.70
2019-10-10-1.000TS维持久期TS19121.70
2019-10-11-1.000TS维持久期TS19121.95
2019-10-14-1.000TS维持久期TS19121.92
2019-10-15-1.000TS维持久期TS19121.68
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2026-09-15-0.273TS维持久期TS26121.75
2026-09-16+0.091TL延长久期TS26121.74
2026-09-17+0.091TL维持久期TL261218.18
2026-09-18+0.273TL维持久期TL261218.15
2026-09-21+0.273TL维持久期TL261218.23
2026-09-22+0.636TL维持久期TL261218.21
2026-09-23+0.455TL维持久期TL261218.18
2026-09-24+0.636TL维持久期TL261218.21
2026-09-28+0.273TL维持久期TL261218.19
2026-09-29+0.818TL维持久期TL261218.13
2026-09-30-0.636TS缩短久期TL261218.17
2026-10-08-0.818TS维持久期TS26121.69
2026-10-09-0.273TS维持久期TS26121.68
2026-10-12+0.636TL延长久期TS26121.68
2026-10-13+0.636TL维持久期TL261218.22
2026-10-14+0.636TL维持久期TL261218.20
2026-10-15+0.636TL维持久期TL261218.22
2026-10-16+0.818TL维持久期TL261218.22
2026-10-19+0.818TL维持久期TL261218.21
2026-10-20+1.000TL维持久期TL261218.21
2026-10-21+0.818TL维持久期TL261218.28
2026-10-22+0.818TL维持久期TL261218.24
2026-10-23+0.818TL维持久期TL261218.21
2026-10-26+0.818TL维持久期TL261218.19
2026-10-27+0.818TL维持久期TL261218.19
2026-10-28+0.818TL维持久期TL261218.21
2026-10-29+0.818TL维持久期TL261218.18
2026-10-30+0.455TL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

综合分=十一指标方向票之和/11；全部完成预热后，正分选TL、负分选TS。

从底层指标到最终得分
组别指标构建与方向规则
技术票1/11MTM / WMA / RSIHMTM15与0；价格与WMA30；RSI15−EMA70与0比较
技术票1/11MICD / HULLMA / KAMAMICD平滑5/8/70/6；Hull EMA6/70及√70；KAMA5/4/50
技术票1/11MADisplaced / T3 / DEMASMA35移位5；T3 EMA30递推三层；DEMA50
技术票1/11TMA / PPOSMA15再SMA15；PPO EMA18/60与自身EMA9比较
统一输入真实T期货因果收益链价格侧高于参照为+1，低于−1，相等延续；换月不引入新旧合约价差；11项完整预热

十一项技术趋势与聚合

01MTM · 价格动量
$$A_t=P_t-P_{t-15},\quad B_t=0$$

A高于B利多，低于利空；P为同合约收益拼接的真实T期货因果链。

02WMA · 加权均线
$$A_t=P_t,\quad B_t=\frac{\sum_{i=0}^{29}(30-i)P_{t-i}}{\sum_{j=1}^{30}j}$$

近期价格权重更高，价格相对30日加权均线判趋势。

03RSIH · 相对强弱偏离
$$R_t=100\frac{\operatorname{SMMA}_{15}(\max(\Delta P,0))_t}{\operatorname{SMMA}_{15}(|\Delta P|)_t},\quad A_t=R_t-E_{70}(R)_t,\ B_t=0$$

比较RSI与自身平滑趋势，不以70/30超买超卖阈值作判断。SMMA的递推系数为1/n。

04MICD · 平滑动量差
$$M_t=\operatorname{SMMA}_5(\Delta P)_t,\quad A_t=\operatorname{SMMA}_6\!\left[\operatorname{SMA}_8(M_{t-1})-\operatorname{SMA}_{70}(M_{t-1})\right],\ B_t=0$$

先平滑日动量，再用前一日已知动量构建8/70差并平滑，保留原实现的1日位移。

05HULLMA · 快慢EMA复合
$$A_t=P_t,\quad B_t=E_{\operatorname{round}(\sqrt{70})}(2E_6(P)-E_{70}(P))_t$$

这是当前实现的EMA型Hull变体，不替换成标准WMA型Hull。

06KAMA · 自适应均线
$$ER_t=\frac{|P_t-P_{t-5}|}{\sum_{i=0}^{4}|\Delta P_{t-i}|},\quad a_t=\left[ER_t(2/5-2/51)+2/51\right]^2$$
$$K_t=a_tP_t+(1-a_t)K_{t-1},\quad A_t=P_t,\ B_t=K_t$$

5日效率比控制平滑速度；零波动时ER取0，首次完整效率比后初始化均线。

07移位均线
$$A_t=P_t,\quad B_t=\operatorname{SMA}_{35}(P)_{t-5}$$

与5日前已形成的35日均线比较，方向为趋势跟随。

08T3 · 三层广义EMA
$$G(X)=1.5E_{30}(X)-0.5E_{30}(E_{30}(X)),\quad A_t=P_t,\ B_t=G(G(G(P)))_t$$

每层为两级EMA组合，递推三层，全部子窗口完成预热。

09DEMA · 双指数均线
$$A_t=P_t,\quad B_t=2E_{50}(P)_t-E_{50}(E_{50}(P))_t$$

以双指数组合减少均线滞后，价格相对参照值决定方向。

10TMA · 双重简单均线
$$A_t=P_t,\quad B_t=\operatorname{SMA}_{15}(\operatorname{SMA}_{15}(P))_t$$

双重15日平均形成平滑趋势参照。

11PPO · 百分比价格振荡
$$A_t=\frac{E_{18}(P)_t-E_{60}(P)_t}{E_{60}(P)_t},\quad B_t=E_9(A)_t$$

比较快慢EMA相对差与其9日信号线，相对差高于信号线为利多，低于为利空。

12十一项投票
$$v^j_t=\operatorname{sign}(A^j_t-B^j_t),\quad S_t=\frac1{11}\sum_{j=1}^{11}v^j_t$$

相等时延续上一有效方向；十一项全部有效才发布，正分TL、负分TS。净票数刻画多种趋势定义下的方向共识。

交易与久期

13四档久期映射
$$D(S)=\begin{cases}\mathrm{TL}&S\geq0.5\\\mathrm{T}&0\leq S<0.5\\\mathrm{TF}&-0.5\leq S<0\\\mathrm{TS}&S<-0.5\end{cases}$$

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。

14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。

15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。

方法源于广发十一项技术指标研究；输入使用真实T期货因果收益链，方向票反映价格、动量及平滑趋势的相对位置。

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
十一观势5.34%0.86%+0.900.870.38-4.75%-4.17%448.02.53%448
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）
年份可用品种等权十一观势T长期持有
2018+2.90%+3.21%+4.17%
2019+4.21%+3.45%+4.60%
2020+3.41%+3.59%+3.95%
2021+5.00%+5.76%+6.24%
2022+2.72%+1.63%+3.30%
2023+5.61%+8.90%+6.31%
2024+8.77%+13.91%+7.48%
2025-0.65%+1.15%+0.52%
2026+3.10%+0.91%+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
十一观势1 tick；真实手续费5.34%0.87-4.75%2.53%
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
gf_technical2026-04-092026-04-10TLTSTL2606TS26061.01.0symbol_change20.00011264076940756692.01.0source—
gf_technical2026-04-132026-04-14TSTLTS2606TL26061.01.0symbol_change20.000112218041853939672.01.0source—
gf_technical2026-05-202026-05-21TLTLTL2606TL26091.01.0roll20.00018237390072775472.01.0source—
gf_technical2026-06-102026-06-11TLTSTL2609TS26091.01.0symbol_change20.000112159855702829672.01.0source—
gf_technical2026-06-162026-06-17TSTLTS2609TL26091.01.0symbol_change20.00011138863599531052.01.0source—
gf_technical2026-06-222026-06-23TLTSTL2609TS26091.01.0symbol_change20.000111602284429165982.01.0source—
gf_technical2026-06-252026-06-26TSTLTS2609TL26091.01.0symbol_change20.00011126659364341182.01.0source—
gf_technical2026-07-012026-07-02TLTSTL2609TS26091.01.0symbol_change20.000111764806115846512.01.0source—
gf_technical2026-07-022026-07-03TSTLTS2609TL26091.01.0symbol_change20.000111899084134512912.01.0source—
gf_technical2026-07-032026-07-06TLTSTL2609TS26091.01.0symbol_change20.000111621138673590072.01.0source—
gf_technical2026-07-062026-07-07TSTLTS2609TL26091.01.0symbol_change20.000111582058209987252.01.0source—
gf_technical2026-07-172026-07-20TLTSTL2609TS26091.01.0symbol_change20.000111542393486039012.01.0source—
gf_technical2026-07-222026-07-23TSTLTS2609TL26091.01.0symbol_change20.000110736128181171252.01.0source—
gf_technical2026-07-282026-07-29TLTSTL2609TS26091.01.0symbol_change20.000110798374264073882.01.0source—
gf_technical2026-07-302026-07-31TSTLTS2609TL26091.01.0symbol_change20.000110202581612473372.01.0source—
gf_technical2026-08-242026-08-25TLTLTL2609TL26121.01.0roll20.00017699947576349282.01.0source—
gf_technical2026-08-272026-08-28TLTSTL2612TS26121.01.0symbol_change20.000109938080206663062.01.0source—
gf_technical2026-09-162026-09-17TSTLTS2612TL26121.01.0symbol_change20.000109619148739138262.01.0source—
gf_technical2026-09-302026-10-08TLTSTL2612TS26121.01.0symbol_change20.000109103810455518532.01.0source—
gf_technical2026-10-122026-10-13TSTLTS2612TL26121.01.0symbol_change20.000108393612598102932.01.0source—
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 <−0.521+0.23%66.7%
弱空 [−0.5,0)14+0.56%92.9%
弱多 [0,0.5)16-0.10%56.2%
强多 ≥0.543+0.26%53.5%
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
DEMA4846+0.26%+0.21%+0.05%
HULLMA2767+0.17%+0.26%-0.09%
KAMA6727+0.20%+0.32%-0.11%
MADisplaced6925+0.23%+0.26%-0.04%
MICD4351+0.36%+0.13%+0.23%
MTM5638+0.17%+0.34%-0.18%
PPO4945+0.29%+0.17%+0.12%
RSIH4747+0.22%+0.26%-0.04%
T36727+0.26%+0.18%+0.08%
TMA6232+0.20%+0.31%-0.12%
WMA6430+0.21%+0.30%-0.10%
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 5.34%，现金超额Sharpe 0.87，绝对最大回撤 -4.75%；相对可用品种等权IR 0.38，相对净值最大回撤 -4.17%。

十一项趋势票等权合成净票数。价格相对趋势线走弱、动量下行时缩短久期；多头票占优时延长久期。

方法源于广发十一项技术指标研究；输入使用真实T期货因果收益链，方向票反映价格、动量及平滑趋势的相对位置。

本期综合得分 +0.455，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。