热点追踪周报：由创新高个股看市场投资热点（第201期）-20250704

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - Model Construction Idea: This model tracks the distance of a stock's closing price from its 250-day high to identify market trends and hotspots. It is based on the premise that stocks nearing their 52-week highs tend to outperform, as highlighted in prior research by George (2004) and others[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)} $ Where: - $ Close_t $ represents the latest closing price - $ ts_max(Close, 250) $ represents the maximum closing price over the past 250 trading days If the latest closing price reaches a new high, the distance is 0; otherwise, the distance is positive, indicating the percentage drop from the high[10]. - Model Evaluation: This model effectively captures momentum and trend-following strategies, aligning with the principles of notable investors like William O'Neil and Mark Minervini[10][17]. 2. Model Name: Stable New High Stock Screening Model - Model Construction Idea: This model identifies stocks with stable price paths and consistent upward trends, leveraging the "smooth momentum" effect. Research suggests that stocks with smoother price paths yield higher returns than those with volatile paths[23]. - Model Construction Process: The screening criteria include: - Price Path Smoothness: Measured as the ratio of the absolute value of the past 120-day price change to the sum of absolute daily price changes over the same period[23]. - Analyst Attention: At least five "buy" or "overweight" ratings in the past three months[26]. - Relative Strength: The stock's 250-day return ranks in the top 20% of the market[26]. - Trend Continuity: The average 250-day new high distance over the past 120 days[26]. - Trend Extension: The average 250-day new high distance over the past five days, with the top 50 stocks selected[26]. - Model Evaluation: This model emphasizes the importance of smooth price trajectories and consistent momentum, which are less likely to attract excessive investor attention, thereby enhancing returns[23]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Key Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Stable New High Stock Screening Model - Selected Stocks: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - Sector Distribution: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[27][32] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of a stock's closing price to its 250-day high, capturing momentum and trend-following characteristics[10]. - Factor Construction Process: $ 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 market trends, as supported by academic and practical research[10][17]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the smoothness of a stock's price trajectory, emphasizing consistent upward trends over volatile movements[23]. - Factor Construction Process: $ Price\ Path\ Smoothness = \frac{Absolute\ Value\ of\ 120\ Day\ Return}{Sum\ of\ Absolute\ Daily\ Returns\ over\ 120\ Days} $[23] - Factor Evaluation: This factor highlights stocks with stable momentum, which are less likely to be overreacted to by investors, leading to stronger performance[23]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Key Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Price Path Smoothness Factor - Selected Stocks: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - Sector Distribution: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[27][32]