Quantitative Models and Construction Methods Model 1: 250-Day New High Distance Model - 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 in the past 250 trading days to identify stocks that are reaching new highs, which can be indicative of market trends and hotspots[11] - Model Construction Process: - Calculate the 250-day new high distance using the formula: where $\text{Close}{t}$ is the latest closing price and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - If the latest closing price is a new high, the distance is 0; otherwise, it is a positive value indicating the percentage drop from the new high[11] - Model Evaluation: This model is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11] Model 2: Stable New High Stock Tracking Model - Model Name: Stable New High Stock Tracking Model - Model Construction Idea: This model selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - Model Construction Process: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific criteria include: - Analyst attention: At least 5 buy or hold ratings in the past 3 months - Relative strength: Top 20% in market performance over the past 250 days - Price path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - Model Evaluation: This model is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Model Backtest Results 250-Day New High Distance Model - Shanghai Composite Index: 2.39%[12] - Shenzhen Component Index: 7.55%[12] - CSI 300 Index: 4.15%[12] - CSI 500 Index: 7.06%[12] - CSI 1000 Index: 6.05%[12] - CSI 2000 Index: 6.64%[12] - ChiNext Index: 10.01%[12] - STAR 50 Index: 11.43%[12] Stable New High Stock Tracking Model - Number of Selected Stocks: 27[27] - Top Sectors: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - Top Industries in Cyclical Sector: Non-ferrous Metals[27] - Top Industries in Manufacturing Sector: Machinery[27] Quantitative Factors and Construction Methods Factor 1: 250-Day New High Distance Factor - Factor Name: 250-Day New High Distance Factor - Factor Construction Idea: This factor measures 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] - Factor Construction Process: - Calculate the 250-day new high distance using the formula: where $\text{Close}{t}$ is the latest closing price and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - Factor Evaluation: This factor is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11] Factor 2: Stable New High Factor - Factor Name: Stable New High Factor - Factor Construction Idea: This factor selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - Factor Construction Process: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific criteria include: - Analyst attention: At least 5 buy or hold ratings in the past 3 months - Relative strength: Top 20% in market performance over the past 250 days - Price path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - Factor Evaluation: This factor is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Factor Backtest Results 250-Day New High Distance Factor - Shanghai Composite Index: 2.39%[12] - Shenzhen Component Index: 7.55%[12] - CSI 300 Index: 4.15%[12] - CSI 500 Index: 7.06%[12] - CSI 1000 Index: 6.05%[12] - CSI 2000 Index: 6.64%[12] - ChiNext Index: 10.01%[12] - STAR 50 Index: 11.43%[12] Stable New High Factor - Number of Selected Stocks: 27[27] - Top Sectors: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - Top Industries in Cyclical Sector: Non-ferrous Metals[27] - Top Industries in Manufacturing Sector: Machinery[27]
热点追踪周报：由创新高个股看市场投资热点（第 215 期）-20251017
Guoxin Securities·2025-10-17 11:48