热点追踪周报：由创新高个股看市场投资热点（第198期）-20250613

Quantitative Models and Construction Methods - Model Name: 250-Day New High Distance Model Model Construction Idea: This model tracks the distance of the latest closing price from the highest closing price over the past 250 trading days. It is used to identify stocks or indices that are trending near their historical highs, which can serve as market trend indicators[10][17]. Model Construction Process: The formula for the 250-day new high distance is: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_t}{ts_max(Close, 250)} $ - $ Close_t $: Latest closing price - $ ts_max(Close, 250) $: Maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0. If the price has fallen from the high, the distance is a positive value representing the percentage drop[10]. Model Evaluation: This model effectively captures momentum and trend-following characteristics, which are widely supported by academic research and practical strategies[10][17]. - Model Name: Stable New High Stock Screening Model Model Construction Idea: This model identifies stocks that have recently reached new highs and exhibit stable price paths, strong momentum, and consistent trends. It incorporates factors such as analyst attention, relative strength, and price smoothness[23][25]. Model Construction Process: 1. Select stocks that have hit 250-day new highs in the past 20 trading days. 2. Apply the following screening criteria: - Analyst Attention: At least 5 "Buy" or "Overweight" ratings in the past 3 months. - Relative Strength: 250-day return in the top 20% of the market. - Price Stability: Use the following metrics: - Price path smoothness: Ratio of price displacement to total price movement. - Consistency of new highs: Average 250-day new high distance over the past 120 days. - Trend continuation: Average 250-day new high distance over the past 5 days. 3. Rank stocks based on these metrics and select the top 50%[23][25]. Model Evaluation: This model emphasizes the temporal characteristics of momentum, leveraging smoother price paths and consistent trends to enhance returns[23][25]. --- Backtesting Results of Models - 250-Day New High Distance Model: - As of June 13, 2025, the 250-day new high distances for major indices are as follows: - Shanghai Composite Index: 3.23% - Shenzhen Component Index: 11.94% - CSI 300: 9.21% - CSI 500: 9.33% - CSI 1000: 7.65% - CSI 2000: 4.96% - ChiNext Index: 19.86% - STAR 50 Index: 13.66%[11][12][14] - Stable New High Stock Screening Model: - 42 stocks were selected based on the screening criteria. - Distribution by sector: - Manufacturing: 9 stocks (e.g., machinery) - Consumer: 9 stocks (e.g., food and beverage) - Examples of selected stocks: - Manufacturing: Shenghong Technology, Wanchen Group - Consumer: Dongpeng Beverage, Youyou Food[26][31] --- Quantitative Factors and Construction Methods - Factor Name: 250-Day New High Distance Factor Construction Idea: Measures the proximity of a stock's current price to its 250-day high, capturing momentum and trend-following signals[10]. Factor Construction Process: The formula is the same as the 250-day new high distance model: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_t}{ts_max(Close, 250)} $ - $ Close_t $: Latest closing price - $ ts_max(Close, 250) $: Maximum closing price over the past 250 trading days[10]. Factor Evaluation: This factor is widely recognized for its ability to identify leading stocks and sectors during market uptrends[10][17]. - Factor Name: Price Path Smoothness Factor Construction Idea: Quantifies the stability of a stock's price movement, favoring stocks with smoother trends over those with volatile paths[23]. Factor Construction Process: - Calculate the ratio of price displacement to the total price movement over a specified period. - Higher values indicate smoother price paths[23]. Factor Evaluation: Smooth price paths are less likely to attract excessive speculative attention, leading to stronger and more sustainable momentum effects[23]. --- Backtesting Results of Factors - 250-Day New High Distance Factor: - Among 838 stocks that hit 250-day highs in the past 20 days, the highest concentrations were in the pharmaceutical, basic chemical, and machinery industries. - By sector: - Manufacturing: 262 stocks (16.91% of the sector) - Cyclical: 212 stocks (18.95% of the sector) - By index: - CSI 2000: 15.75% of constituents - CSI 1000: 12.80% of constituents - CSI 500: 10.20% of constituents[18][19][31] - Price Path Smoothness Factor: - Applied to the 42 stocks identified by the Stable New High Stock Screening Model. - Stocks with higher smoothness scores demonstrated stronger momentum and trend continuation[23][25][26]