Guoxin Securities·2025-12-05 09:24Quantitative Models and Construction Methods Model Name: 250-Day New High Distance Model - Model Construction Idea: The model is based on the concept that stocks nearing their 52-week high tend to outperform those further away from their highs, as supported by prior research and methodologies like CANSLIM and momentum strategies[11][18] - Model Construction Process: The 250-day new high distance is calculated as follows: $ 250 \text{-day new high distance} = 1 - \frac{\text{Closet}}{\text{ts_max(Close, 250)}} $ - Closet: The latest closing price - ts_max(Close, 250): 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 representing the degree of decline[11] - Model Evaluation: The model effectively identifies stocks and indices that are leading the market trends, serving as a useful tool for tracking momentum and market hotspots[11][18] Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model focuses on identifying stocks with smooth price paths and consistent momentum, as smoother momentum stocks tend to outperform those with jumpy price paths[26] - Model Construction Process: Stocks are selected from those that have reached a 250-day new high in the past 20 trading days, based on the following criteria: 1. Analyst Attention: At least 5 "Buy" or "Overweight" ratings in the past 3 months 2. Relative Strength: Top 20% in 250-day price performance 3. Price Stability: - Price Path Smoothness: Measured by the ratio of price displacement to total price movement - Sustained New Highs: Average 250-day new high distance over the past 120 days 4. Trend Continuity: Average 250-day new high distance over the past 5 days, with the top 50 stocks selected based on rankings[26][28] - Model Evaluation: The model emphasizes smooth momentum and sustained trends, which are less likely to attract excessive attention, potentially leading to stronger momentum effects[26] --- Model Backtesting Results 250-Day New High Distance Model - Indices' 250-Day New High Distances: - Shanghai Composite: 3.14% - Shenzhen Component: 4.21% - CSI 300: 3.44% - CSI 500: 5.98% - CSI 1000: 4.00% - CSI 2000: 2.50% - ChiNext Index: 6.47% - STAR 50 Index: 13.84%[12][33] Stable New High Stock Selection Model - Selected Stocks: 41 stocks were identified as stable new high stocks, including Zhongji Xuchuang, Guangku Technology, and Yaxiang Jicheng[29][34] - Sector Distribution: - Cyclical Sector: 17 stocks, with the majority in the non-ferrous metals industry - Manufacturing Sector: 13 stocks, with the majority in the machinery industry[29][34] --- Quantitative Factors and Construction Methods Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of a stock's latest closing price compared to its 250-day high, capturing momentum and trend-following characteristics[11] - Factor Construction Process: $ 250 \text{-day new high distance} = 1 - \frac{\text{Closet}}{\text{ts_max(Close, 250)}} $ - Closet: The latest closing price - ts_max(Close, 250): The maximum closing price over the past 250 trading days[11] Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the smoothness of a stock's price movement, as smoother paths are associated with stronger momentum effects[26] - Factor Construction Process: - Calculated as the ratio of price displacement to the total price movement over a given period[26] Factor Name: Sustained New Highs - Factor Construction Idea: Tracks the consistency of a stock's ability to maintain new highs over time, reflecting sustained momentum[26] - Factor Construction Process: - Average 250-day new high distance over the past 120 days[28] Factor Name: Trend Continuity - Factor Construction Idea: Measures the short-term continuation of a stock's trend, emphasizing recent momentum[26] - Factor Construction Process: - Average 250-day new high distance over the past 5 days, with stocks ranked and selected based on this metric[28] --- Factor Backtesting Results 250-Day New High Distance Factor - Indices' 250-Day New High Distances: - Shanghai Composite: 3.14% - Shenzhen Component: 4.21% - CSI 300: 3.44% - CSI 500: 5.98% - CSI 1000: 4.00% - CSI 2000: 2.50% - ChiNext Index: 6.47% - STAR 50 Index: 13.84%[12][33] Price Path Smoothness Factor - Selected Stocks: 41 stocks were identified, with the majority belonging to the cyclical and manufacturing sectors[29][34] Sustained New Highs Factor - Selected Stocks: Stocks with consistent new highs over the past 120 days were prioritized, with examples including Zhongji Xuchuang and Guangku Technology[29][34] Trend Continuity Factor - Selected Stocks: Stocks with the highest rankings in 5-day trend continuity were included, emphasizing short-term momentum[28][29]