热点追踪周报：由创新高个股看市场投资热点（第204期）-20250725

Quantitative Models and Construction Methods - Model Name: 250-Day New High Distance Model Construction Idea: The model tracks the distance of the latest closing price from the highest closing price in the past 250 trading days to identify stocks or indices that are close to their recent highs, which can serve as market trend indicators[11][19] Model Construction Process: The formula for calculating the 250-day new high distance is: $ 250 \text{-day new high distance} = 1 - \frac{\text{Closet}}{\text{ts_max(Close, 250)}} $ - Closet represents the latest closing price - ts_max(Close, 250) represents the maximum closing price in the past 250 trading days If the latest closing price reaches a new high, the distance is 0; if the price falls from the new high, the distance is a positive value indicating the degree of decline[11] Model Evaluation: The model effectively captures momentum and trend-following strategies, which have been validated by various studies[11][19] Quantitative Factors and Construction Methods - Factor Name: Stable Momentum Factor Factor Construction Idea: The factor focuses on stocks with smooth price paths and consistent momentum, as smoother trajectories tend to generate stronger momentum effects[26][28] Factor Construction Process: Stocks are filtered based on the following criteria: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: Top 20% in terms of 250-day price change across the market - Price Stability: - Price Path Smoothness: Calculated using the ratio of price displacement to price path length - Momentum Continuity: Average 250-day new high distance over the past 120 days - Trend Extension: Average 250-day new high distance over the past 5 days Stocks meeting these criteria are ranked, and the top 50% are selected[26][28] Factor Evaluation: The factor leverages behavioral finance insights, such as the "boiling frog effect," to identify stocks with underappreciated momentum, enhancing its predictive power[26][28] Model Backtesting Results - 250-Day New High Distance Model: - Indices: - Shanghai Composite Index: 0.33% - Shenzhen Component Index: 2.84% - CSI 300: 3.03% - CSI 500: 0.49% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 8.24% - STAR 50 Index: 6.45%[12][13][16] Factor Backtesting Results - Stable Momentum Factor: - Selected Stocks: 44 stocks identified as stable momentum stocks, including Borui Pharmaceutical, Shijia Photon, Zhongcai Technology, etc[29][31][33] - Sector Distribution: - Manufacturing: 13 stocks - Cyclical: 11 stocks - Others: Remaining stocks distributed across various sectors[29][31][33]