Guoxin Securities·2025-09-19 11:24Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - Model Construction Idea: This model tracks the distance of the latest closing price from the highest closing price over the past 250 trading days. It is used to identify stocks or indices that are approaching or have surpassed their historical highs, which can serve as indicators of market trends and hotspots[11][18]. - 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. If the price has fallen from the high, the distance is a positive value indicating the percentage drop[11]. - Model Evaluation: The model is effective in identifying stocks or indices with strong momentum and can be used to monitor market trends and leading sectors[11][18]. 2. Model Name: Stable New High Stock Screening Model - Model Construction Idea: This model focuses on identifying stocks that not only achieve new highs but also exhibit stable price paths and consistent momentum. It incorporates factors such as analyst attention, relative strength, and price stability to refine the selection of high-momentum stocks[27][29]. - Model Construction Process: The screening criteria include: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: 250-day price change in the top 20% of the market - Price Stability: Stocks are ranked based on the following metrics: - Price Path Smoothness: Ratio of price displacement to the total price path - 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 criteria are selected as stable new high stocks[27][29]. - Model Evaluation: The model emphasizes the temporal characteristics of momentum and identifies stocks with smoother price paths, which are less likely to experience extreme volatility[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[12][13][34] 2. Stable New High Stock Screening Model - Selected Stocks: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - Sector Distribution: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of the latest closing price to the highest price in the past 250 trading days, indicating momentum strength[11]. - Factor Construction Process: The formula is: $ 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 effectively captures momentum and is widely used in trend-following strategies[11][18]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Evaluates the stability of a stock's price movement by comparing the displacement of the price path to its total length[27]. - Factor Construction Process: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Path} $ Where: - Price Displacement is the straight-line distance between the starting and ending prices - Total Price Path is the cumulative sum of absolute daily price changes over a given period[27]. - Factor Evaluation: Stocks with smoother price paths tend to exhibit stronger and more sustainable momentum[27]. 3. Factor Name: New High Continuity - Factor Construction Idea: Measures the consistency of a stock's ability to maintain new highs over time[29]. - Factor Construction Process: $ New\ High\ Continuity = Average\ (250\ Day\ New\ High\ Distance\ Over\ Past\ 120\ Days) $ This factor calculates the mean of the 250-day new high distance over a rolling 120-day window[29]. - Factor Evaluation: This factor highlights stocks with persistent upward trends, making them attractive for momentum-based strategies[29]. --- Factor Backtesting Results 1. 250-Day New High Distance - Indices' 250-Day New High Distance: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[12][13][34] 2. Price Path Smoothness and New High Continuity - Selected Stocks: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - Sector Distribution: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[30][35]