热点追踪周报：由创新高个股看市场投资热点（第 233 期）-20260306

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 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 as follows: $ 250 \text{-day new high distance} = 1 - \frac{Close_t}{ts_max(Close, 250)} $ Where: - $ Close_t $ represents the latest closing price - $ 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 has fallen 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][18]. 2. Model Name: Stable New High Stock Screening Model - Model Construction Idea: This model focuses on identifying stocks with stable price paths and consistent momentum. It incorporates factors such as analyst attention, relative strength, and price stability to select stocks with strong and sustained performance[23][26]. - Model Construction Process: The screening process involves the following steps: 1. Analyst Attention: Stocks must have at least five "Buy" or "Overweight" ratings in the past three months[26]. 2. Relative Strength: Stocks must rank in the top 20% of the market in terms of 250-day price performance[26]. 3. Price Stability: Stocks are scored based on two indicators: - Price Path Smoothness: Measured by the ratio of price displacement to the total price path length over the past 120 days[23]. - Sustained New Highs: The average 250-day new high distance over the past 120 days[23]. 4. Trend Continuation: Stocks with the lowest average 250-day new high distance over the past five days are selected, with the top 50 stocks chosen for further analysis[26]. - Model Evaluation: The model emphasizes the importance of smooth price paths and sustained momentum, which are less likely to attract excessive attention and thus generate stronger momentum effects[23][26]. --- Model Backtesting Results 1. 250-Day New High Distance Model - Indices' 250-Day New High Distance: - Shanghai Composite Index: 1.40% - Shenzhen Component Index: 2.28% - CSI 300: 2.72% - CSI 500: 3.44% - CSI 1000: 3.64% - CSI 2000: 3.00% - ChiNext Index: 4.69% - STAR 50 Index: 9.10%[2][12][30] 2. Stable New High Stock Screening Model - Selected Stocks: 27 stocks were identified as stable new high stocks, including Zhongwu Gaoxin, Baiwei Storage, and Jereh Co. - Sector Distribution: - Manufacturing: 9 stocks (e.g., machinery sector) - Cyclical: 9 stocks (e.g., basic chemicals sector)[27][31] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - Factor Construction Idea: This factor measures the relative position of a stock's or index's price compared to its 250-day high, serving as an indicator of momentum and trend strength[11]. - Factor Construction Process: The calculation is the same as the 250-day new high distance model: $ 250 \text{-day new high distance} = 1 - \frac{Close_t}{ts_max(Close, 250)} $ - $ Close_t $: Latest closing price - $ ts_max(Close, 250) $: Maximum closing price over the past 250 trading days[11]. - Factor Evaluation: The factor effectively identifies stocks or indices with strong momentum, which are often market leaders[11][18]. 2. Factor Name: Price Path Smoothness - Factor Construction Idea: This factor evaluates the stability of a stock's price movement, with smoother paths indicating stronger and more sustainable momentum[23]. - Factor Construction Process: The smoothness is calculated as the ratio of price displacement to the total price path length over the past 120 days[23]. - Factor Evaluation: Stocks with smoother price paths tend to exhibit stronger momentum effects due to reduced investor attention[23]. 3. Factor Name: Sustained New Highs - Factor Construction Idea: This factor measures the consistency of a stock's ability to reach new highs over time, reflecting its trend strength[23]. - Factor Construction Process: The average 250-day new high distance is calculated over the past 120 days to assess the stock's sustained performance[23]. - Factor Evaluation: This factor highlights stocks with strong and consistent upward trends, making them attractive for momentum-based strategies[23]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - Indices' 250-Day New High Distance: - Shanghai Composite Index: 1.40% - Shenzhen Component Index: 2.28% - CSI 300: 2.72% - CSI 500: 3.44% - CSI 1000: 3.64% - CSI 2000: 3.00% - ChiNext Index: 4.69% - STAR 50 Index: 9.10%[2][12][30] 2. Price Path Smoothness Factor - Selected Stocks: Stocks with smoother price paths were identified, including Zhongwu Gaoxin, Baiwei Storage, and Jereh Co[27][31]. 3. Sustained New Highs Factor - Selected Stocks: Stocks with consistent new highs over the past 120 days were identified, with the top performers being from the manufacturing and cyclical sectors[27][31].