Guoxin Securities·2025-11-21 11:03Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - Model Construction Idea: This model tracks the distance of stock prices or indices from their 250-day high to monitor market trends and identify potential market leaders. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][18]. - Model Construction Process: The 250-day new high distance is calculated as follows: $ 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 - $\text{ts_max(Close, 250)}$ 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 degree of decline[11]. - Model Evaluation: The model effectively identifies market trends and highlights stocks or indices that are leading the market, aligning with the principles of momentum and trend-following strategies[11][18]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model focuses on selecting stocks that exhibit stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[24][27]. - Model Construction Process: The selection process involves the following criteria: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: 250-day price change in the top 20% of the market - Price Stability: Stocks are ranked based on: - Price Path Smoothness: Ratio of price displacement to the total price path - Sustainability of New Highs: Average 250-day new high distance over the past 120 days - Trend Continuity: Average 250-day new high distance over the past 5 days The top 50 stocks based on these criteria are selected[24][27]. - Model Evaluation: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus yield stronger returns[24][27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Stable New High Stock Selection Model - Selected Stocks: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - Sector Distribution: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: This factor measures the relative distance of a stock's price from its 250-day high, serving as an indicator of momentum and trend strength[11]. - Factor Construction Process: The formula is: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}{t}}{\text{ts_max(Close, 250)}} $ Where: - $\text{Close}{t}$ is the latest closing price - $\text{ts_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11]. - Factor Evaluation: The factor effectively captures momentum and trend-following characteristics, making it a reliable indicator for identifying market leaders[11]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: This factor evaluates the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[24]. - Factor Construction Process: - Calculate the ratio of price displacement to the total price path over a specified period - Rank stocks based on this ratio and select the top performers[24]. - Factor Evaluation: The factor highlights stocks with stable momentum, which are less likely to attract excessive attention and thus yield stronger returns[24]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Price Path Smoothness Factor - Selected Stocks: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - Sector Distribution: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33]