Guoxin Securities·2025-12-19 11:39Quantitative 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 formula for calculating the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ 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 representing the percentage drop[11]. - Model Evaluation: The model effectively identifies market leaders and trends by focusing on stocks or indices near their 250-day highs, which are often indicative of strong momentum[11][18]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model refines the momentum strategy by focusing on stocks with stable price paths and consistent upward trends, as smoother price paths are associated with stronger momentum effects[24]. - Model Construction Process: The model selects stocks from the pool of those that have reached a 250-day high in the past 20 trading days. The selection criteria include: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: Top 20% of market-wide 250-day returns - Price Stability: Stocks are ranked based on: - Price Path Smoothness: Ratio of price displacement to total price path - Sustained New Highs: Average 250-day new high distance over the past 120 days - Trend Continuation: Average 250-day new high distance over the past 5 days The top 50% of stocks based on these criteria are selected, and the top 50 stocks are finalized based on trend continuation rankings[24][27]. - Model Evaluation: By incorporating time-series characteristics of momentum, the model captures stocks with stronger and more sustainable upward trends, enhancing the effectiveness of the momentum strategy[24]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distances (as of December 19, 2025): - Shanghai Composite Index: 3.45% - Shenzhen Component Index: 4.26% - CSI 300: 3.78% - CSI 500: 5.03% - CSI 1000: 4.16% - CSI 2000: 2.16% - ChiNext Index: 6.08% - STAR 50 Index: 14.98%[2][12][32] 2. Stable New High Stock Selection Model - Selected Stocks: 45 stocks were identified as stable new high stocks, including Zhongji Xuchuang, New Yisheng, and Yingweike[3][28][33] - Sector Distribution: - Cyclical Sector: 17 stocks (e.g., Nonferrous Metals) - Technology Sector: 15 stocks (e.g., Electronics)[3][28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the proximity of a stock's or index's price to its 250-day high, serving as a momentum indicator[11]. - Factor Construction Process: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts_max(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ ts_max(Close, 250) $ is the maximum closing price over the past 250 trading days[11]. - Factor Evaluation: This factor is effective in identifying stocks or indices with strong momentum, as those closer to their 250-day highs tend to outperform[11][18]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the stability of a stock's price movement, 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, with higher ranks indicating smoother price paths[24]. - Factor Evaluation: This factor enhances the momentum strategy by focusing on stocks with less volatile and more consistent upward trends[24]. 3. Factor Name: Trend Continuation - Factor Construction Idea: Measures the recent momentum of a stock by averaging its 250-day new high distance over short-term periods[27]. - Factor Construction Process: - Calculate the average 250-day new high distance over the past 5 days - Rank stocks based on this average, with lower values indicating stronger recent momentum[27]. - Factor Evaluation: This factor captures short-term momentum trends, complementing the broader momentum strategy[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distances (as of December 19, 2025): - Shanghai Composite Index: 3.45% - Shenzhen Component Index: 4.26% - CSI 300: 3.78% - CSI 500: 5.03% - CSI 1000: 4.16% - CSI 2000: 2.16% - ChiNext Index: 6.08% - STAR 50 Index: 14.98%[2][12][32] 2. Price Path Smoothness Factor - Selected Stocks: 45 stocks were identified as having smooth price paths, including Zhongji Xuchuang, New Yisheng, and Yingweike[3][28][33] - Sector Distribution: - Cyclical Sector: 17 stocks (e.g., Nonferrous Metals) - Technology Sector: 15 stocks (e.g., Electronics)[3][28][33] 3. Trend Continuation Factor - Selected Stocks: Same as the Price Path Smoothness Factor, as this factor is part of the broader stable new high stock selection model[3][28][33] - Sector Distribution: - Cyclical Sector: 17 stocks - Technology Sector: 15 stocks[3][28][33]