热点追踪周报：由创新高个股看市场投资热点（第235期）-20260320

• Model Name: 250-Day New High Distance; Model Construction Idea: The model tracks the distance of the latest closing price from the highest closing price in the past 250 trading days to identify market trends and hotspots[11] - Model Construction Process: - Calculate the 250-day new high distance using the formula: $ 250 \text{ Day New High Distance} = 1 - \frac{Closet}{ts_max(Close, 250)} $ where Closet is the latest closing price, and ts_max(Close, 250) is the maximum closing price in the past 250 trading days[11] - If the latest closing price is a new high, the 250-day new high distance is 0; if the latest closing price has fallen from the new high, the distance is positive, indicating the extent of the decline[11] - Model Evaluation: The model effectively captures market trends and hotspots by identifying stocks and indices that are close to their 250-day highs[11] - Factor Name: Stable New High Stocks; Factor Construction Idea: The factor identifies stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme price movements[23] - Factor Construction Process: - Select stocks that have reached a 250-day new high in the past 20 trading days from a pool of stocks listed for at least 15 months[19] - Filter stocks based on analyst attention (at least 5 buy or hold ratings in the past 3 months), relative strength (top 20% in 250-day price change), and price stability (using the sum of absolute daily returns over the past 120 days and the average 250-day new high distance over the past 120 days)[26] - Rank stocks based on the smoothness of their price paths and the persistence of their new highs, selecting the top 50 stocks[26] - Factor Evaluation: The factor effectively identifies stocks with strong momentum and stable price paths, which are likely to continue performing well[23] - Model Backtest Results: - 250-Day New High Distance for major indices as of March 20, 2026: - Shanghai Composite Index: 5.39% - Shenzhen Component Index: 4.40% - CSI 300: 4.67% - CSI 500: 10.38% - CSI 1000: 9.08% - CSI 2000: 9.84% - ChiNext Index: 1.07% - STAR 50 Index: 15.27%[12][13][15] - Factor Backtest Results: - Number of stocks reaching a 250-day new high in the past 20 trading days: 1204 - Industries with the most new high stocks: Machinery (172), Basic Chemicals (161), Electronics (139) - Industries with the highest proportion of new high stocks: Oil & Petrochemicals (66.67%), Coal (58.33%), Utilities (48.26%)[19][20] - Selected stable new high stocks: Asia Integration, Biwei Storage, Yankuang Energy, etc. - Sectors with the most stable new high stocks: Technology (5 stocks), Manufacturing (2 stocks)[27][30]