Guojin Securities Fixed Income | Interest Rate Timing Model: Overall Signal Continues to View Interest Rates as Volatile

Model Signal Interpretation: The volatility signal has been indicating that interest rates will rise starting from March 18, 2026; the trend signal has been indicating that interest rates will fall starting from January 19, 2026. Overall, the model suggests that interest rates are trading in a range. This signal is the objective output of a quantitative model’s automated operation and is provided for reference only.

【Review of the Model’s Historical Signals】

In 2026: From the beginning of the year to January 18, the model’s total signal continued the range-bound signal from the end of last December, with the trend reading bearish and the volatility indicators bullish; then on January 19, the trend indicator turned bullish, on February 3 the volatility signal turned bearish, on February 9 the volatility signal returned to bullish, and on February 25 the volatility signal turned bearish. After that, the volatility signal turned bullish on March 3 and then turned bearish on March 18. Currently, the model’s total signal indicates that interest rates are trading in a range.

In 2025: From the beginning of the year to February 24, the model’s total signal continued the bullish signal from December of the previous year, and both the trend and volatility indicators were bullish. On February 25, the volatility indicator turned bearish, and then on March 11 the trend indicator turned bearish. On April 11, the volatility indicator turned bullish and then returned to bearish on April 21. On April 24, the trend indicator began to turn bullish; on June 5, the volatility indicator turned bullish; on July 3, the trend indicator turned bearish. On July 22, the volatility indicator began to turn bearish. On October 27, the volatility indicator turned bullish, and on November 17 the trend indicator turned bullish and then returned to bearish on December 3. The trend indicator began to turn bullish on December 19 and then turned bearish again on the 29th. Currently, the model’s total signal indicates that interest rates are trading in a range.

In 2024: Since the beginning of the year, the model’s total signal continued the bullish signal from December of the previous year until April 3. On April 7, the volatility indicator first turned bearish within the year. After that, on May 31 the trend indicator first turned bearish; it recovered to bullish on June 27; turned bearish again on July 15; and turned bullish once more on July 23. On October 28, the trend indicator began to turn bearish; on November 1, the volatility indicator began to turn bullish. After that, up to November 8 the trend indicator was bullish and the volatility indicator bearish. On December 2, the volatility indicator recovered to bullish, and into year-end the model’s total signal maintained an outlook of interest rates falling.

In 2023: At the beginning of the year, the trend indicator continued the bearish signal that had been in place since November 11 of the previous year. The volatility indicator turned bullish on January 5 and then turned bearish on February 9. On February 15, the volatility indicator turned bullish again; on February 21 it turned bearish. On March 2, the volatility indicator turned bullish; on March 6, the trend indicator turned bullish. On April 3, the trend indicator turned bearish; on April 10, the trend indicator turned bullish. On July 11, the volatility indicator turned bearish; on September 6, the trend indicator turned bearish. On November 8, the trend indicator turned bullish and then returned to bearish on the 13th. On November 20, the volatility indicator turned bullish and then on December 1 it returned to bearish. On December 14 and December 22, the trend and volatility signals turned bullish, respectively.

In 2022: On March 25, 2022, the model signal changed for the first time: the volatility indicator issued a bearish signal; then on April 18, the trend indicator issued a bearish signal; on May 18 the trend indicator began to turn bullish; on May 27 the volatility indicator also turned bullish. On June 24, the trend indicator turned bearish; on July 5 the volatility indicator turned bearish; on July 14 the trend indicator turned bullish; on August 16 the volatility indicator turned bullish; on September 15 the volatility indicator turned bearish; and on October 20 the volatility indicator turned bullish. On November 10 the volatility signal turned bearish, and on November 11 the trend signal turned bearish. After that, it maintained a bearish signal.

In 2021: On January 15, 2021, the trend signal turned bullish; on February 26, the trend signal turned bearish. The volatility signal turned bullish on August 28, 2020, turned bearish on November 13, 2020, and turned bullish on December 11, 2020. In 2021, it turned bearish on February 22, turned bullish on March 10, and turned bearish after April 8, then recovered to bullish on April 16. On May 19, the trend indicator turned bullish; on July 1 the volatility signal briefly turned bearish, and then on July 6 it recovered to bullish. After that, on August 27 the volatility indicator issued a bearish signal; on October 11 the trend signal issued a bearish signal; and on November 24 it issued a bullish signal. The volatility signal issued a bullish signal on December 3. After that, it maintained a bullish signal.

In 2020: Before May 5, 2020, the model consistently maintained the full bullish signal from December 26, 2019. On May 6, 2020, the volatility signal first turned bearish; then on June 2, the trend signal turned bearish, and the model fully turned bearish. After that, the trend signal has consistently remained bearish.

Application notes for the trend component and the volatility component: ① The trend component belongs to “long-cycle” analysis; the volatility patterns generally hold within a relatively short time window and thus belong to “short-cycle” analysis. ② Trend changes have a degree of “hindsight” (ex post), while volatility changes carry a “forward-looking” characteristic. ③ Trend judgment applies to a “allocation strategy,” while volatility judgment applies to a “trading strategy.”

Risk warnings

Model applicability risk. The interest rate timing model is built using technical analysis methods; the effectiveness of technical indicators differs somewhat across different market environments. Please refer to it with caution.

Model estimation error. Fund duration is estimated based on an internal model, which carries the risk that the estimated values may deviate from the true values.

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Report Information

Securities Research Report: 《Bond Market Mind-Reading》

External release date: April 3, 2026

Report issuing institution: CICC Securities Co., Ltd.

Securities Analyst: Yin Rui Zhe

SAC practice license number: S1130525030009

Email: yinruizhe＠gjzq.com.cn

Securities Analyst: Liu Dong

SAC practice license number: S1130525030008

Email: liu_dong＠gjzq.com.cn

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