热点追踪周报：由创新高个股看市场投资热点（第218期）-20251107

• The report introduces a quantitative model called "250-day new high distance" to track market trends and identify investment hotspots. The model is based on the idea that stocks nearing their 52-week high tend to outperform those far from their 52-week high, as supported by research from [George@2004] and other experts[11][18]. The formula for calculating the 250-day new high distance is: $ 250 \text{ day new high distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ where $\text{Close}{t}$ represents the latest closing price, and $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days. If the latest closing price reaches a new high, the distance is 0; otherwise, it is a positive value indicating the degree of decline from the high[11] - The report evaluates the model positively, highlighting its effectiveness in identifying market trends and leading stocks that drive market cycles[11][18] - The report also introduces a factor-based screening method for "stable new high stocks" using criteria such as analyst attention, relative stock strength, price path smoothness, and new high sustainability. The screening process includes: 1. Analyst attention: At least 5 buy or overweight ratings in the past 3 months 2. Relative stock strength: Top 20% of market-wide 250-day price change 3. Price path smoothness: Evaluated using metrics like absolute value of price changes over the past 120 days and cumulative absolute price changes over the same period 4. New high sustainability: Average 250-day new high distance over the past 120 days 5. Trend continuation: Average 250-day new high distance over the past 5 days[25][27] - The report positively evaluates the factor-based screening method, citing research that smooth price paths and sustained momentum are associated with stronger returns[25][27] --- - The backtesting results for the "250-day new high distance" model show that as of November 7, 2025, major indices such as the Shanghai Composite Index, Shenzhen Component Index, CSI 300, CSI 500, CSI 1000, CSI 2000, ChiNext Index, and STAR 50 Index have respective 250-day new high distances of 0.47%, 2.34%, 1.45%, 2.93%, 1.39%, 1.36%, 3.49%, and 8.02%[2][12][32] - The backtesting results for the "stable new high stocks" factor show that 50 stocks were selected based on the screening criteria. Among these, the cyclical and technology sectors had the highest number of stocks, with 21 and 16 stocks respectively. Within the cyclical sector, the non-ferrous metals industry had the most new high stocks, while the electric equipment and new energy industry led the technology sector[3][28][33]