热点追踪周报：由创新高个股看市场投资热点（第203期）-20250718

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance - Model Construction Idea: This model tracks the distance of a stock or index from its 250-day high to identify market trends and hotspots. It is based on the premise that stocks nearing their 52-week high tend to outperform, as supported by prior research (e.g., George@2004, William O'Neil's CANSLIM system, and Mark Minervini's "Stock Market Wizard").[11][18][21] - Model Construction Process: The 250-day new high distance is calculated as follows: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - $\text{Close}{t}$: Latest closing price - $\text{ts_max(Close, 250)}$: 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 positive, indicating the percentage drop.[11] - Model Evaluation: This model effectively identifies market leaders and trends, aligning with momentum and trend-following strategies.[11][18] 2. Model Name: Stable New High Stock Screening - Model Construction Idea: This model focuses on identifying stocks with stable momentum characteristics, emphasizing smooth price paths and consistent new highs. Research suggests that smoother momentum stocks outperform those with jumpy price paths (e.g., Bali et al., 2011; Da et al., 2012).[25][27] - Model Construction Process: Stocks are screened from the pool of those hitting 250-day highs in the past 20 trading days based on the following criteria: - Analyst Attention: At least 5 "Buy" or "Overweight" ratings in the past 3 months - Relative Strength: Top 20% in 250-day price performance - Price Stability: Evaluated using two metrics: - Price Path Smoothness: Ratio of price displacement to price path length - New High Consistency: Average 250-day new high distance over the past 120 days - Trend Continuation: Average 250-day new high distance over the past 5 days Stocks meeting these criteria are ranked, and the top 50% are selected.[25][27] - Model Evaluation: This model captures stocks with strong and stable momentum, leveraging underreaction to smooth price paths for enhanced returns.[25][27] --- Model Backtesting Results 1. 250-Day New High Distance - Indices: - Shanghai Composite: 0.00% - Shenzhen Component: 5.06% - CSI 300: 4.64% - CSI 500: 3.65% - CSI 1000: 0.91% - CSI 2000: 0.00% - ChiNext Index: 10.71% - STAR 50 Index: 10.59%[12][13][15] 2. Stable New High Stock Screening - Selected Stocks: 46 stocks, including Shenghong Technology, Borui Pharmaceutical, and Shijia Photon[28][33] - Sector Distribution: - Manufacturing: 14 stocks (e.g., machinery) - Technology: 13 stocks (e.g., computers)[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of a stock's price to its 250-day high, serving as a momentum indicator.[11] - Factor Construction Process: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ - $\text{Close}{t}$: Latest closing price - $\text{ts_max(Close, 250)}$: Maximum closing price over the past 250 trading days[11] - Factor Evaluation: Effectively identifies momentum leaders and market trends.[11][18] 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the smoothness of a stock's price trajectory, with smoother paths indicating stronger momentum.[25][27] - Factor Construction Process: $ \text{Price Path Smoothness} = \frac{\text{Price Displacement}}{\text{Price Path Length}} $ - Price Displacement: Net change in price over a period - Price Path Length: Sum of absolute daily price changes over the same period[27] - Factor Evaluation: Highlights stocks with stable momentum, leveraging underreaction to smooth price paths.[25][27] 3. Factor Name: New High Consistency - Factor Construction Idea: Measures the average proximity to 250-day highs over a specified period, indicating sustained momentum.[27] - Factor Construction Process: $ \text{New High Consistency} = \text{Mean(250 Day New High Distance over 120 Days)} $[27] - Factor Evaluation: Captures stocks with consistent momentum, emphasizing sustainability.[27] 4. Factor Name: Trend Continuation - Factor Construction Idea: Measures short-term proximity to 250-day highs, indicating recent momentum strength.[27] - Factor Construction Process: $ \text{Trend Continuation} = \text{Mean(250 Day New High Distance over 5 Days)} $[27] - Factor Evaluation: Identifies stocks with strong short-term momentum, complementing longer-term factors.[27] --- Factor Backtesting Results 1. 250-Day New High Distance - Indices: - Shanghai Composite: 0.00% - Shenzhen Component: 5.06% - CSI 300: 4.64% - CSI 500: 3.65% - CSI 1000: 0.91% - CSI 2000: 0.00% - ChiNext Index: 10.71% - STAR 50 Index: 10.59%[12][13][15] 2. Price Path Smoothness - Selected Stocks: 46 stocks, including Shenghong Technology, Borui Pharmaceutical, and Shijia Photon[28][33] 3. New High Consistency - Selected Stocks: 46 stocks, with top sectors being manufacturing (14 stocks) and technology (13 stocks)[28][33] 4. Trend Continuation - Selected Stocks: 46 stocks, with top sectors being manufacturing (14 stocks) and technology (13 stocks)[28][33]