Guoxin Securities·2025-09-12 11:55Quantitative 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 premise that stocks nearing their 52-week high tend to outperform, as highlighted in prior research by George (2004) and others[11][18]. - Model Construction Process: The 250-day new high distance is calculated as: $ 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; otherwise, the distance is positive, indicating the percentage drop from the high[11]. - Model Evaluation: This model effectively captures momentum and trend-following strategies, aligning with established theories in quantitative finance[11][18]. 2. Model Name: Stable New High Stock Screening Model - Model Construction Idea: This model identifies stocks with stable momentum characteristics, emphasizing smooth price paths and consistent new highs. It builds on research showing that smoother momentum stocks outperform those with jumpy price paths[25]. - Model Construction Process: Stocks are screened based on the following 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: - Price Path Smoothness: Measured by the ratio of price displacement to the total price path length over the past 120 days - New High Continuity: Average 250-day new high distance over the past 120 days - Trend Continuity: Average 250-day new high distance over the past 5 days The top 50 stocks based on these metrics are selected[25][27]. - Model Evaluation: This model emphasizes the temporal characteristics of momentum, providing a refined approach to identifying high-momentum stocks with stable trajectories[25][27]. --- Backtesting Results of Models 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite: 0.33% - Shenzhen Component: 0.43% - CSI 300: 0.57% - CSI 500: 0.00% - CSI 1000: 1.04% - CSI 2000: 1.56% - ChiNext Index: 1.09% - STAR 50 Index: 1.95%[12][13]. 2. Stable New High Stock Screening Model - Selected Stocks: 50 stocks were identified, including New Yisheng, Shenghong Technology, and Industrial Fulian. - Sector Distribution: - Cyclical and technology sectors had the highest representation, with 17 stocks each. - Within the cyclical sector, the chemical industry dominated, while the electronics industry led the technology sector[28][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 price to its 250-day high, capturing momentum and trend-following signals[11]. - Factor Construction Process: $ 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[11]. - Factor Evaluation: This factor is simple yet effective in identifying stocks with strong momentum characteristics[11]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the smoothness of a stock's price trajectory, emphasizing stable momentum over jumpy movements[25]. - Factor Construction Process: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Path\ Length} $ Where: - $ Price\ Displacement $ is the absolute change in price over the period - $ Total\ Price\ Path\ Length $ is the sum of absolute daily price changes over the same period[25]. - Factor Evaluation: This factor highlights stocks with consistent upward trends, reducing noise from volatile price movements[25]. 3. Factor Name: New High Continuity - Factor Construction Idea: Measures the consistency of a stock's proximity to its 250-day high over time[27]. - Factor Construction Process: $ New\ High\ Continuity = Average\ (250\ Day\ New\ High\ Distance\ Over\ Past\ 120\ Days) $ This factor is calculated as the mean of the 250-day new high distance over a rolling 120-day window[27]. - Factor Evaluation: This factor captures the persistence of momentum, favoring stocks that consistently remain near their highs[27]. --- Backtesting Results of Factors 1. 250-Day New High Distance - Indices' 250-Day New High Distance: - Shanghai Composite: 0.33% - Shenzhen Component: 0.43% - CSI 300: 0.57% - CSI 500: 0.00% - CSI 1000: 1.04% - CSI 2000: 1.56% - ChiNext Index: 1.09% - STAR 50 Index: 1.95%[12][13]. 2. Price Path Smoothness - Selected Stocks: 50 stocks were identified, including New Yisheng, Shenghong Technology, and Industrial Fulian. - Sector Distribution: - Cyclical and technology sectors had the highest representation, with 17 stocks each. - Within the cyclical sector, the chemical industry dominated, while the electronics industry led the technology sector[28][32]. 3. New High Continuity - Selected Stocks: Same as the Price Path Smoothness factor, as it is part of the composite screening model[28][32].