热点追踪周报：由创新高个股看市场投资热点（第197期）-20250606

• The report introduces a quantitative model called "250-day new high distance" to track market trends and identify investment hotspots. The model is based on the concept that stocks nearing their 52-week high tend to outperform those far from their 52-week high, as supported by research from [George@2004] and other notable investors like William O'Neil and Mark Minervini. The formula for calculating the 250-day new high distance is: $ 250 \text{ day new high distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ where $\text{Close}{t}$ represents the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days. If the latest closing price reaches a new high, the distance is 0; otherwise, it is a positive value indicating the percentage drop from the high. [11] - The report evaluates the "250-day new high distance" model as an effective tool for identifying market trends and leading stocks, emphasizing its ability to highlight momentum and trend-following strategies. [11][18] - The report also introduces a composite factor for selecting "stable new high stocks" from the pool of stocks that have reached a 250-day new high in the past 20 trading days. The selection criteria include: 1. Analyst attention: At least 5 buy or overweight ratings in the past 3 months 2. Relative stock strength: Top 20% of market-wide 250-day returns 3. Price stability: Evaluated using two metrics: - Price path smoothness: Stock price displacement ratio - Innovation high persistence: Time-series average of the 250-day new high distance over the past 120 days 4. Trend continuation: Time-series average of the 250-day new high distance over the past 5 days, selecting the top 50 stocks based on ranking. [23][26] Model Testing Results - The "250-day new high distance" model shows the following results for major indices as of June 6, 2025: - Shanghai Composite Index: 2.99% - Shenzhen Component Index: 11.41% - CSI 300 Index: 8.98% - CSI 500 Index: 8.98% - CSI 1000 Index: 6.94% - CSI 2000 Index: 4.25% - ChiNext Index: 20.03% - STAR 50 Index: 12.00% [2][12][31] - The "stable new high stocks" factor identified 38 stocks from the pool of 777 stocks that reached a 250-day new high in the past 20 trading days. These stocks were distributed across sectors as follows: - Manufacturing: 11 stocks - Consumer: 8 stocks - Other sectors include finance, technology, and healthcare [3][27][32]