Guoxin Securities·2025-08-08 11:10Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - Model Construction Idea: This model tracks the distance of stock prices or indices from their 250-day high to identify market trends and hotspots. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][19]. - Model Construction Process: The 250-day new high distance is calculated using the formula: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_t}{ts_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ 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. If the price has fallen from the high, the distance is a positive value representing the percentage drop[11]. - Model Evaluation: This model effectively identifies stocks or indices with strong momentum and highlights market leaders during upward trends[11][19]. 2. Model Name: Stable New High Stock Screening Model - Model Construction Idea: This model focuses on identifying stocks that exhibit stable momentum characteristics, such as smooth price paths and consistent new highs, which are less likely to be influenced by extreme short-term fluctuations[25]. - Model Construction Process: The screening process involves the following steps: 1. Analyst Attention: Stocks must have at least five "Buy" or "Overweight" ratings in the past three months[27]. 2. Relative Strength: Stocks must rank in the top 20% of the market based on their 250-day price performance[27]. 3. Price Stability: Stocks are scored based on two indicators: - Price Path Smoothness: Measured by the ratio of price displacement to the total price movement over the past 120 days[25][27]. - New High Consistency: The average 250-day new high distance over the past 120 days[27]. 4. Trend Continuity: The average 250-day new high distance over the past five days is used to select the top 50 stocks[27]. - Model Evaluation: This model emphasizes the importance of smooth momentum and consistent trends, which are often overlooked by investors, leading to stronger momentum effects[25][27]. --- Backtesting Results of Models 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.12% - Shenzhen Component Index: 3.19% - CSI 300: 3.55% - CSI 500: 0.53% - CSI 1000: 0.35% - CSI 2000: 0.23% - ChiNext Index: 8.48% - STAR 50 Index: 7.39%[12][32] 2. Stable New High Stock Screening Model - Selected Stocks: 50 stocks were identified, including Borui Pharmaceutical, Shenghong Technology, and Huaguang Energy[28][33]. - Sector Distribution: - Manufacturing: 18 stocks - Cyclical: 13 stocks - Leading industries: Machinery in manufacturing and basic chemicals in cyclical sectors[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: This factor measures the relative position of a stock's closing price to its 250-day high, capturing momentum and trend-following characteristics[11]. - 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[11]. - Factor Evaluation: This factor is effective in identifying stocks with strong upward momentum and market leadership potential[11][19]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: This factor evaluates the stability of a stock's price movement over time, favoring stocks with less volatile momentum[25]. - Factor Construction Process: - Price Path Smoothness: Calculated as the ratio of price displacement to the total price movement over the past 120 days[25][27]. - Factor Evaluation: Smooth price paths are associated with stronger momentum effects due to reduced investor attention and reaction[25]. 3. Factor Name: New High Consistency - Factor Construction Idea: This factor measures the consistency of a stock's new highs over time, emphasizing sustained upward trends[27]. - Factor Construction Process: - New High Consistency: The average 250-day new high distance over the past 120 days[27]. - Factor Evaluation: Consistent new highs indicate strong and sustained momentum, making this factor valuable for trend-following strategies[27]. --- Backtesting Results of Factors 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.12% - Shenzhen Component Index: 3.19% - CSI 300: 3.55% - CSI 500: 0.53% - CSI 1000: 0.35% - CSI 2000: 0.23% - ChiNext Index: 8.48% - STAR 50 Index: 7.39%[12][32] 2. Price Path Smoothness Factor - Selected Stocks: 50 stocks were identified, including Borui Pharmaceutical, Shenghong Technology, and Huaguang Energy[28][33]. - Sector Distribution: - Manufacturing: 18 stocks - Cyclical: 13 stocks - Leading industries: Machinery in manufacturing and basic chemicals in cyclical sectors[28][33] 3. New High Consistency Factor - Selected Stocks: Same as the Price Path Smoothness Factor, as this factor is part of the screening process for stable new high stocks[28][33].