热点追踪周报：由创新高个股看市场投资热点（第215期）-20251017

• The report tracks the market trend by monitoring stocks that have reached new highs, using the 250-day high distance as a key metric[11] - The 250-day high distance is calculated as follows: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts_max(Close, 250)} $ where Closet is the latest closing price and ts_max(Close, 250) is the maximum closing price over the past 250 trading days[11] - As of October 17, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 2.39%, Shenzhen Component Index 7.55%, CSI 300 4.15%, CSI 500 7.06%, CSI 1000 6.05%, CSI 2000 6.64%, ChiNext Index 10.01%, and STAR 50 Index 11.43%[12][13][15] Quantitative Models and Construction Methods 1. Model Name: 250-day 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 that are reaching new highs[11] - Model Construction Process: - Calculate the 250-day high distance using the formula: $ 250 \text{ day high distance} = 1 - \frac{Closet}{ts_max(Close, 250)} $ where Closet is the latest closing price and ts_max(Close, 250) is the maximum closing price over the past 250 trading days[11] - Model Evaluation: The model is effective in identifying stocks that are reaching new highs, which can be considered market leaders and potential investment opportunities[11] Model Backtesting Results 1. 250-day High Distance Model - Shanghai Composite Index: 2.39%[12] - Shenzhen Component Index: 7.55%[12] - CSI 300: 4.15%[12] - CSI 500: 7.06%[12] - CSI 1000: 6.05%[12] - CSI 2000: 6.64%[12] - ChiNext Index: 10.01%[12] - STAR 50 Index: 11.43%[12] Quantitative Factors and Construction Methods 1. Factor Name: Smooth Momentum - Factor Construction Idea: The factor focuses on stocks with smooth price paths and consistent momentum, as these stocks tend to have higher returns compared to those with jumpy price paths[24] - Factor Construction Process: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months[26] - Relative Strength: Top 20% in terms of 250-day price change[26] - Price Stability: Combine the following two indicators and select the top 50% of stocks: - Price path smoothness: Ratio of price displacement to price path length[26] - Consistency of new highs: Average 250-day high distance over the past 120 days[26] - Trend Continuation: Average 250-day high distance over the past 5 days, select the top 50 stocks[26] - Factor Evaluation: The factor effectively identifies stocks with strong and stable momentum, which are likely to continue performing well[24] Factor Backtesting Results 1. Smooth Momentum Factor - Selected stocks include: Xiangnong Chip, Oriental Tower, Neway Valve, etc.[27] - Sector distribution: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - Industry leaders: Non-ferrous metals in the cyclical sector, machinery in the manufacturing sector[27]