Guoxin Securities·2026-01-23 09:19Quantitative 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 identify market trends and hotspots. It is based on the momentum and trend-following strategy, which has been validated by various studies[11][19]. - Model Construction Process: The 250-day new high distance is calculated as: $ 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 falls from the high, the distance is a positive value representing the degree of decline[11]. - Model Evaluation: The model effectively identifies stocks or indices with strong momentum and highlights market leaders, aligning with the principles of momentum investing[11][19]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model refines the momentum strategy by focusing on stocks with smooth price paths and consistent new highs, leveraging the "smooth momentum" effect[27]. - Model Construction Process: Stocks are selected based on the following criteria: - Analyst Attention: At least 5 buy or overweight ratings in the past 3 months - Relative Strength: Top 20% in 250-day price performance - Price Stability: - Price path smoothness: Ratio of price displacement to total price movement - Consistency of 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 stocks meeting these criteria are selected[27][29]. - Model Evaluation: The model emphasizes stocks with stable momentum and consistent performance, which are less likely to experience sharp reversals, making it a robust enhancement to traditional momentum strategies[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Stable New High Stock Selection Model - Selected Stocks: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - Sector Distribution: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] --- 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: $ 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: The factor is widely recognized for its ability to identify stocks with strong momentum and potential for continued outperformance[11]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: Quantifies the stability of a stock's price movement, favoring stocks with smoother trajectories[27]. - Factor Construction Process: - Price path smoothness is calculated as the ratio of price displacement to the total price movement over a given period[27]. - Factor Evaluation: This factor enhances the momentum strategy by reducing exposure to volatile stocks, improving risk-adjusted returns[27]. 3. Factor Name: Consistency of New Highs - Factor Construction Idea: Measures the persistence of a stock's new high performance over time, emphasizing sustained momentum[27]. - Factor Construction Process: - Average 250-day new high distance over the past 120 days is used as a proxy for consistency[27]. - Factor Evaluation: This factor ensures that selected stocks exhibit reliable momentum, reducing the likelihood of short-term reversals[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Price Path Smoothness Factor - Selected Stocks: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - Sector Distribution: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] 3. Consistency of New Highs Factor - Selected Stocks: Same as the Price Path Smoothness Factor, as it is part of the composite selection criteria[30][35]