Guoxin Securities·2025-12-12 13:05Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - Model Construction Idea: The model tracks the distance of stock prices or indices from their 250-day high to identify market trends and hotspots. 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{Close_t}{\text{ts_max}(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ \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. 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 stocks and indices that are leading the market, providing insights into market trends and potential investment opportunities[11][18]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model focuses on selecting stocks that exhibit stable momentum characteristics, avoiding extreme price jumps. It incorporates factors such as analyst attention, price stability, and trend continuation to identify stocks with strong and consistent performance[26][28]. - Model Construction Process: The selection process involves the following steps: 1. Analyst Attention: Stocks must have at least five "Buy" or "Overweight" ratings in the past three months. 2. Relative Strength: Stocks must rank in the top 20% of the market in terms of 250-day price performance. 3. Price Stability: Stocks are scored based on: - Price Path Smoothness: Measured by the ratio of price displacement to the total price path. - Momentum Continuity: The average 250-day new high distance over the past 120 days. 4. Trend Continuation: The average 250-day new high distance over the past five days is calculated, and the top 50 stocks are selected based on these criteria[26][28]. - Model Evaluation: The model emphasizes stable momentum and avoids stocks with erratic price movements, making it suitable for identifying consistent performers[26][28]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite Index: 3.48% - Shenzhen Component Index: 3.40% - CSI 300: 3.52% - CSI 500: 5.02% - CSI 1000: 3.62% - CSI 2000: 2.46% - ChiNext Index: 3.91% - STAR 50 Index: 12.36%[12][13][33] 2. Stable New High Stock Selection Model - Selected Stocks: 44 stocks were identified as stable new high performers, including Zhongji Xuchuang, Guangku Technology, and Yuanjie Technology. - Sector Distribution: - Cyclical and technology sectors had the highest number of selected stocks, with 16 stocks each. - Within the cyclical sector, the non-ferrous metals industry had the most stocks. - Within the technology sector, the electronics industry had the most stocks[29][34]. --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the relative position of a stock's or index's price compared to its 250-day high, serving as a momentum indicator[11]. - Factor Construction Process: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts_max}(Close, 250)} $ Where: - $ 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 is effective in identifying leading stocks and indices, providing a clear signal of market momentum[11][18]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Evaluates the stability of a stock's price movement over time, favoring stocks with smoother price paths[26]. - Factor Construction Process: - Calculate the ratio of price displacement to the total price path over a specified period. - Higher scores indicate smoother price paths, which are preferred for stable momentum strategies[26]. - Factor Evaluation: This factor helps avoid stocks with erratic price movements, improving the reliability of momentum-based strategies[26]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite Index: 3.48% - Shenzhen Component Index: 3.40% - CSI 300: 3.52% - CSI 500: 5.02% - CSI 1000: 3.62% - CSI 2000: 2.46% - ChiNext Index: 3.91% - STAR 50 Index: 12.36%[12][13][33] 2. Price Path Smoothness Factor - Selected Stocks: 44 stocks were identified as stable new high performers, including Zhongji Xuchuang, Guangku Technology, and Yuanjie Technology. - Sector Distribution: - Cyclical and technology sectors had the highest number of selected stocks, with 16 stocks each. - Within the cyclical sector, the non-ferrous metals industry had the most stocks. - Within the technology sector, the electronics industry had the most stocks[29][34].