Guoxin Securities·2026-02-13 12:41Quantitative 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 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}{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 and indices with strong momentum and highlights market leaders, aligning with the principles of momentum investing[11][18]. 2. Model Name: Stable New High Stock Selection Model - Model Construction Idea: This model focuses on selecting stocks that exhibit stable price paths and consistent momentum, as smoother price trajectories tend to yield stronger momentum effects[24]. - Model Construction Process: Stocks are filtered from the pool of those that hit 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% in 250-day price performance - Price stability: Evaluated using the following metrics: - Absolute value of price changes over the past 120 days - Sum of absolute daily price changes over the past 120 days - Momentum continuity: - Average 250-day new high distance over the past 120 days - Average 250-day new high distance over the past 5 days The top 50 stocks based on these criteria are selected[24][26]. - Model Evaluation: The model emphasizes smooth price trajectories and consistent momentum, which are less likely to attract excessive attention, thereby enhancing the momentum effect[24]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance (as of February 13, 2026): - Shanghai Composite Index: 2.00% - Shenzhen Component Index: 2.35% - CSI 300: 2.72% - CSI 500: 3.51% - CSI 1000: 3.14% - CSI 2000: 2.54% - ChiNext Index: 3.32% - STAR 50 Index: 5.50%[12][13]. 2. Stable New High Stock Selection Model - Selected Stocks: 50 stocks were identified, including Zhongtung High-tech, Dike Co., and Xiechuang Data. - Sector Distribution: - Technology: 21 stocks (most from the electronics industry) - Manufacturing: 16 stocks (most from the machinery industry)[27][32]. --- 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 effectively identifies stocks with strong momentum and aligns with established momentum strategies[11][18]. 2. Factor Name: Price Stability - Factor Construction Idea: Evaluates the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[24]. - Factor Construction Process: - Absolute value of price changes over the past 120 days - Sum of absolute daily price changes over the past 120 days[24]. - Factor Evaluation: The factor highlights stocks with stable price movements, which are less likely to attract excessive attention, enhancing the momentum effect[24]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance (as of February 13, 2026): - Shanghai Composite Index: 2.00% - Shenzhen Component Index: 2.35% - CSI 300: 2.72% - CSI 500: 3.51% - CSI 1000: 3.14% - CSI 2000: 2.54% - ChiNext Index: 3.32% - STAR 50 Index: 5.50%[12][13]. 2. Price Stability Factor - Selected Stocks: 50 stocks were identified, including Zhongtung High-tech, Dike Co., and Xiechuang Data. - Sector Distribution: - Technology: 21 stocks (most from the electronics industry) - Manufacturing: 16 stocks (most from the machinery industry)[27][32].