热点追踪周报：由创新高个股看市场投资热点（第 217 期）-20251031

• 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][12] - The 250-day high distance is calculated as $ 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 31, 2025, the 250-day high distances for major indices such as the Shanghai Composite Index, Shenzhen Component Index, and others are provided, with values ranging from 1.53% to 8.03%[12][13][15] Model and Factor Construction - 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 days to identify stocks that are reaching new highs[11] - Construction Process: - Calculate the 250-day high distance using the formula $ 1 - \frac{Closet}{ts_max(Close, 250)} $ - Identify stocks with the smallest 250-day high distance, indicating they are at or near their 250-day high[11] - Evaluation: The model is effective in identifying stocks that are leading the market trend by reaching new highs[11] Factor Construction - Factor Name: Stable New High Stocks - Construction Idea: The factor aims to identify stocks that not only reach new highs but do so with stable price movements and strong momentum[26] - Construction Process: - Filter stocks that have reached a 250-day high in the past 20 trading days - Further filter based on analyst attention, relative strength, price stability, and trend continuation - Use metrics such as the sum of absolute daily returns over the past 120 days and the average 250-day high distance over the past 120 days to score and rank stocks[26][28] - Evaluation: This factor helps in identifying stocks with strong and stable upward trends, which are likely to continue performing well[26] Backtest Results - 250-day High Distance Model: - Shanghai Composite Index: 1.53% - Shenzhen Component Index: 2.53% - CSI 300: 2.26% - CSI 500: 2.89% - CSI 1000: 1.85% - CSI 2000: 2.22% - ChiNext Index: 4.11% - STAR 50 Index: 8.03%[12][13][15] - Stable New High Stocks Factor: - Number of stocks reaching new highs in the past 20 days: 1077 - Highest number of new high stocks by industry: Electronics, Machinery, Basic Chemicals - Highest proportion of new high stocks by industry: Non-ferrous Metals, Coal, Steel - Highest number of new high stocks by index: CSI 2000, CSI 1000, CSI 500, CSI 300, ChiNext Index, STAR 50 Index[19][20][29]