热点追踪周报：由创新高个股看市场投资热点（第226期）-20260109

Quantitative 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][19]. - Model Construction Process: The formula for calculating the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts_max}(Close, 250)} $ Where: - $ 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 falls from the high, the distance is a positive value, indicating the degree of decline[11]. - Model Evaluation: The model effectively captures market momentum and highlights leading stocks or indices that are driving market trends[11][19]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model focuses on selecting stocks with stable price paths and consistent momentum, as smoother price trajectories tend to yield stronger momentum effects[26]. - Model Construction Process: The selection criteria include: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: 250-day return in the top 20% of the market - Price Stability: Stocks are ranked based on two indicators: - Absolute value of price changes over the past 120 days - Sum of absolute daily price changes over the past 120 days - New High Continuity: Average 250-day new high distance over the past 120 days - Trend Continuity: Average 250-day new high distance over the past 5 days Stocks meeting these criteria are ranked, and the top 50 are selected[26][28]. - Model Evaluation: The model emphasizes smooth price paths and consistent trends, which are less likely to attract excessive attention, thereby enhancing momentum effects[26]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance (as of January 9, 2026): - Shanghai Composite Index: 0.00% - Shenzhen Component Index: 0.00% - CSI 300: 0.66% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 0.06% - STAR 50 Index: 4.10%[12][13][33] 2. Stable New High Stock Selection Model - Selected Stocks: 50 stocks were identified as stable new high stocks, including Yuanjie Technology, Asia Integration, and Sunway Communication. - Sector Distribution: - Cyclical sector: 22 stocks (e.g., non-ferrous metals) - Technology sector: 14 stocks (e.g., electronics)[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 price to its 250-day high, capturing momentum and trend-following characteristics[11]. - Factor Construction Process: The formula is: $ 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 effectively identifies stocks with strong momentum and highlights market leaders[11][19]. 2. Factor Name: Price Path Stability - Factor Construction Idea: Focuses on the smoothness of price trajectories, as smoother paths are associated with stronger momentum effects[26]. - Factor Construction Process: - Indicator 1: Absolute value of price changes over the past 120 days - Indicator 2: Sum of absolute daily price changes over the past 120 days Stocks are ranked based on these indicators, and the top performers are selected[26]. - Factor Evaluation: The factor captures the underreaction of investors to smooth price paths, enhancing the momentum effect[26]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance (as of January 9, 2026): - Shanghai Composite Index: 0.00% - Shenzhen Component Index: 0.00% - CSI 300: 0.66% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 0.06% - STAR 50 Index: 4.10%[12][13][33] 2. Price Path Stability Factor - Selected Stocks: 50 stocks were identified as stable new high stocks, including Yuanjie Technology, Asia Integration, and Sunway Communication. - Sector Distribution: - Cyclical sector: 22 stocks (e.g., non-ferrous metals) - Technology sector: 14 stocks (e.g., electronics)[29][34]