Guoxin Securities·2025-09-19 12:47Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance - Model Construction Idea: This model tracks the distance of a stock's closing price from its 250-day high to identify momentum and trend-following opportunities in the market. It is inspired by studies showing that stocks near their 52-week highs tend to outperform[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: This model effectively captures market momentum and highlights stocks or indices that are leading the market trends[11][18]. 2. Model Name: Stable New High Stock Screening - Model Construction Idea: This model identifies stocks with stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[27]. - Model Construction Process: The screening process involves the following steps: - Analyst Attention: Stocks must have at least 5 "Buy" or "Overweight" ratings in the past 3 months - Relative Strength: Stocks must rank in the top 20% of the market based on 250-day price performance - Price Stability: Stocks are scored based on two metrics: - Price Path Smoothness: Measured by the ratio of price displacement to the total price path length - Momentum Consistency: Calculated as the time-series average of the 250-day new high distance over the past 120 days - Trend Continuation: Stocks are ranked based on the 5-day average of the 250-day new high distance, and the top 50 stocks are selected[27][29]. - Model Evaluation: This model emphasizes the importance of smooth and consistent price movements, which are less likely to attract excessive attention and thus generate stronger momentum effects[27][29]. --- Model 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%[2][12][34] 2. Stable New High Stock Screening - 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)[3][30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of a stock's closing 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)} $ - $Close_t$: Latest closing price - $ts_max(Close, 250)$: Maximum closing price over the past 250 trading days[11]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[27]. - Factor Construction Process: - Price Path Smoothness: Ratio of price displacement to total price path length over a given period[27]. 3. Factor Name: Momentum Consistency - Factor Construction Idea: Measures the stability of a stock's momentum over time, emphasizing consistent performance[27]. - Factor Construction Process: - Momentum Consistency: Time-series average of the 250-day new high distance over the past 120 days[27]. 4. Factor Name: Trend Continuation - Factor Construction Idea: Captures short-term momentum by analyzing recent price movements[27]. - Factor Construction Process: - Trend Continuation: 5-day average of the 250-day new high distance, with stocks ranked based on this metric[27]. --- 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%[2][12][34] 2. Stable New High Stock Screening Factors - 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)[3][30][35]