热点追踪周报：由创新高个股看市场投资热点（第228 期）-20260123

Quantitative 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 momentum. It is based on the principle that stocks or indices closer to their recent highs tend to exhibit stronger momentum and potential for future gains[11][19]. - Model Construction Process: The 250-day new high distance is calculated as follows: $ 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 captures momentum and trend-following characteristics, aligning with prior research on the predictive power of stocks near their 52-week highs[11][19]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model identifies stocks with stable price movements and consistent new highs, leveraging the idea that smoother price paths and sustained momentum yield better returns[27][29]. - Model Construction Process: Stocks are selected based on the following criteria: 1. Analyst Attention: At least five "Buy" or "Overweight" ratings in the past three months 2. Relative Strength: Top 20% in terms of 250-day price performance 3. Price Stability: - Price Path Smoothness: Measured by the ratio of price displacement to total price movement over the past 120 days - Momentum Consistency: Average 250-day new high distance over the past 120 days 4. Trend Continuation: Average 250-day new high distance over the past five days Stocks meeting these criteria are ranked, and the top 50 are selected[27][29]. - Model Evaluation: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus may yield stronger returns[27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite: 0.70% - Shenzhen Component: 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 (e.g., Basic Chemicals) - Technology Sector: 18 stocks (e.g., Electronics)[30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: Measures the proximity 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 supported by academic research and practical applications, demonstrating strong predictive power for momentum strategies[11][19]. 2. 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[27]. - Factor Construction Process: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Movement} $ Where: - $ Price\ Displacement $ is the absolute change in price over 120 days - $ Total\ Price\ Movement $ is the sum of absolute daily price changes over 120 days[27]. - Factor Evaluation: This factor highlights the importance of consistent price movements, which are less likely to attract excessive attention and thus may yield stronger returns[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite: 0.70% - Shenzhen Component: 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 (e.g., Basic Chemicals) - Technology Sector: 18 stocks (e.g., Electronics)[30][35]