Constructing an Indicator System for Bond Futures: A Quantitative Perspective
In discretionary trading, indicators serve as auxiliary decision-making tools; in systematic trading (CTA), they become the raw material for constructing factors. For Chinese government bond futures (T/TF/TS), naively applying generic technical analysis is insufficient. Instead, one should build an indicator system grounded in three dimensions: macro inertia, volatility regime, and term structure. Trend Factors: Capturing Macro Inertia The underlying asset of government bond futures is the risk-free interest rate. Interest rate cycles are driven by macroeconomic fundamentals (GDP, CPI) and monetary policy operations (MLF, OMO), exhibiting strong trend persistence. Trend-following factors aim to capture this structural momentum. ...