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 premise that stocks nearing their 52-week high tend to outperform, as highlighted in prior research by George (2004) and others[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated as: $ 250\ 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; otherwise, the distance is positive, indicating the percentage drop from the high[11]. - **Model Evaluation**: This model effectively captures momentum and trend-following strategies, aligning with established theories in quantitative finance[11][18]. 2. Model Name: Stable New High Stock Screening Model - **Model Construction Idea**: This model identifies stocks with stable momentum characteristics, emphasizing smooth price paths and consistent new highs. It builds on research showing that smoother momentum stocks outperform those with jumpy price paths[25]. - **Model Construction Process**: Stocks are screened based on the following criteria: - **Analyst Attention**: At least 5 "Buy" or "Overweight" ratings in the past 3 months - **Relative Strength**: 250-day return in the top 20% of the market - **Price Stability**: - **Price Path Smoothness**: Measured by the ratio of price displacement to the total price path length over the past 120 days - **New High Continuity**: Average 250-day new high distance over the past 120 days - **Trend Continuity**: Average 250-day new high distance over the past 5 days The top 50 stocks based on these metrics are selected[25][27]. - **Model Evaluation**: This model emphasizes the temporal characteristics of momentum, providing a refined approach to identifying high-momentum stocks with stable trajectories[25][27]. --- Backtesting Results of Models 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite: 0.33% - Shenzhen Component: 0.43% - CSI 300: 0.57% - CSI 500: 0.00% - CSI 1000: 1.04% - CSI 2000: 1.56% - ChiNext Index: 1.09% - STAR 50 Index: 1.95%[12][13]. 2. Stable New High Stock Screening Model - **Selected Stocks**: 50 stocks were identified, including New Yisheng, Shenghong Technology, and Industrial Fulian. - **Sector Distribution**: - Cyclical and technology sectors had the highest representation, with 17 stocks each. - Within the cyclical sector, the chemical industry dominated, while the electronics industry led the technology sector[28][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 signals[11]. - **Factor Construction Process**: $ 250\ 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**: This factor is simple yet effective in identifying stocks with strong momentum characteristics[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price trajectory, emphasizing stable momentum over jumpy movements[25]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Path\ Length} $ Where: - $ Price\ Displacement $ is the absolute change in price over the period - $ Total\ Price\ Path\ Length $ is the sum of absolute daily price changes over the same period[25]. - **Factor Evaluation**: This factor highlights stocks with consistent upward trends, reducing noise from volatile price movements[25]. 3. Factor Name: New High Continuity - **Factor Construction Idea**: Measures the consistency of a stock's proximity to its 250-day high over time[27]. - **Factor Construction Process**: $ New\ High\ Continuity = Average\ (250\ Day\ New\ High\ Distance\ Over\ Past\ 120\ Days) $ This factor is calculated as the mean of the 250-day new high distance over a rolling 120-day window[27]. - **Factor Evaluation**: This factor captures the persistence of momentum, favoring stocks that consistently remain near their highs[27]. --- Backtesting Results of Factors 1. 250-Day New High Distance - **Indices' 250-Day New High Distance**: - Shanghai Composite: 0.33% - Shenzhen Component: 0.43% - CSI 300: 0.57% - CSI 500: 0.00% - CSI 1000: 1.04% - CSI 2000: 1.56% - ChiNext Index: 1.09% - STAR 50 Index: 1.95%[12][13]. 2. Price Path Smoothness - **Selected Stocks**: 50 stocks were identified, including New Yisheng, Shenghong Technology, and Industrial Fulian. - **Sector Distribution**: - Cyclical and technology sectors had the highest representation, with 17 stocks each. - Within the cyclical sector, the chemical industry dominated, while the electronics industry led the technology sector[28][32]. 3. New High Continuity - **Selected Stocks**: Same as the Price Path Smoothness factor, as it is part of the composite screening model[28][32].

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify hot sectors. The model calculates the distance between the latest closing price and the highest closing price in the past 250 trading days using the formula: $ 250\text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max}(\text{Close}, 250)} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max}(\text{Close}, 250)$ is the maximum closing price over the past 250 trading days. If the latest closing price reaches a new high, the distance is 0; otherwise, it is a positive value indicating the degree of pullback[11][12][13] - The report evaluates the "250-day new high distance" model as an effective tool for momentum and trend-following strategies, supported by academic studies and practical applications in stock selection frameworks like CANSLIM and "Stock Market Wizard"[11][18] - The report applies the "250-day new high distance" model to major indices, showing their respective distances from the 250-day high as of September 5, 2025: - Shanghai Composite Index: 1.83% - Shenzhen Component Index: 1.86% - CSI 300: 1.40% - CSI 500: 2.76% - CSI 1000: 3.41% - CSI 2000: 3.64% - ChiNext Index: 0.00% - STAR 50 Index: 7.04%[12][13][30] - The report identifies industries and concept indices close to their 250-day highs, such as Electric Power Equipment & New Energy, Nonferrous Metals, Basic Chemicals, and Mechanical sectors, as well as thematic indices like Wind Photovoltaics, Sodium-ion Batteries, and New Energy Vehicles[13][15][30] - The report tracks individual stocks that have reached 250-day highs in the past 20 trading days, identifying 1,715 stocks. The industries with the highest number of such stocks are Mechanical (242), Electronics (221), and Basic Chemicals (190). The sectors with the highest proportion of new-high stocks are Nonferrous Metals (68.55%), Electronics (45.85%), and Comprehensive (43.48%)[19][20][31] - The report introduces a screening method for "stable new-high stocks" based on factors such as analyst attention, relative price strength, price path smoothness, and trend sustainability. Key metrics include: - Analyst attention: At least 5 buy or overweight ratings in the past 3 months - Relative price strength: Top 20% in 250-day price change - Price path smoothness: Stock displacement ratio - Trend sustainability: Average 250-day new high distance over the past 120 days and past 5 days[24][26][27] - Using the above criteria, the report identifies 50 stable new-high stocks, with the highest representation in Technology (19 stocks) and Cyclical sectors (13 stocks). Within Technology, Electronics dominate, while Basic Chemicals lead in Cyclical sectors[27][31]

Market Trends and Highs Tracking - The report aims to track stocks, industries, and sectors that are reaching new highs, serving as market indicators. Increasing research supports the effectiveness of momentum and trend-following strategies [1][4][26] - As of September 5, 2025, the distance to the 250-day new highs for major indices are as follows: Shanghai Composite Index at 1.83%, Shenzhen Component Index at 1.86%, CSI 300 at 1.40%, CSI 500 at 2.76%, CSI 1000 at 3.41%, CSI 2000 at 3.64%, ChiNext at 0.00%, and STAR Market at 7.04% [6][24] High-Performing Sectors and Stocks - The sectors closest to their 250-day new highs include Power Equipment & New Energy, Nonferrous Metals, Basic Chemicals, Machinery, and Light Industry Manufacturing. In contrast, sectors like Coal, Food & Beverage, Transportation, Real Estate, and Banking are further from their new highs [9][24] - As of September 5, 2025, a total of 1,715 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the Machinery, Electronics, and Basic Chemicals sectors [14][25] Concept Indices and Their Performance - Concept indices such as Wind Power, Sodium-ion Batteries, New Energy Vehicles, and Photovoltaics are also close to their 250-day new highs, indicating strong market interest in these areas [11][24] Stable High-Performing Stocks - The report identifies 50 stocks that have shown stable performance and continuous new highs, including Shenghong Technology, Shengyi Electronics, and Industrial Fulian. The Technology and Cyclical sectors have the most stocks in this category, with Electronics leading in Technology and Basic Chemicals in Cyclical [21][26]

- 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: - Formula: $ 250 \text{ Day New High Distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ - Explanation: Closet represents the latest closing price, and ts_max(Close, 250) represents the highest closing price in the past 250 trading days. If the latest closing price is a new high, the distance is 0; otherwise, it is a positive value indicating the fallback[11] - Model Evaluation: The model effectively captures market trends and hotspots by identifying stocks that are continuously reaching new highs[11] - Factor Name: Stable New High Stocks; Factor Construction Idea: The factor selects stocks that have shown stable price paths and continuous new highs, considering analyst attention, relative strength, and trend continuity[27] - Factor Construction Process: - Analyst Attention: At least 5 buy or hold ratings in the past 3 months - Relative Strength: Top 20% in market performance over the past 250 days - Price Stability: Evaluated using the sum of absolute daily returns over the past 120 days and the smoothness of the price path - Continuous New Highs: Average 250-day new high distance over the past 120 days - Trend Continuity: Average 250-day new high distance over the past 5 days[27][29] - Factor Evaluation: The factor identifies stocks with strong momentum and stable price paths, which are likely to continue performing well[27] Model Backtest Results - 250-Day New High Distance Model, Shanghai Composite Index: 0.66%, Shenzhen Component Index: 0.00%, CSI 300: 0.00%, CSI 500: 0.00%, CSI 1000: 0.52%, CSI 2000: 1.95%, ChiNext Index: 0.00%, STAR 50 Index: 1.71%[12][13][16] Factor Backtest Results - Stable New High Stocks Factor, Number of Stocks: 50, including New Yisheng, Shijia Photon, Shenghong Technology, etc. Most stocks are from the technology and manufacturing sectors, with 21 and 14 stocks respectively[30][34]

Quantitative Models and Construction Methods 1. Model Name: Hong Kong Stock Selection Portfolio Strategy - **Model Construction Idea**: The strategy is based on a dual-layer selection process that integrates fundamental and technical analysis. It aims to identify stocks with both fundamental support and technical resonance from an analyst-recommended stock pool[13][14] - **Model Construction Process**: 1. **Analyst Recommendation Pool**: Constructed using three types of analyst recommendation events: upward earnings forecast revisions, initial analyst coverage, and research reports with unexpected positive titles[14] 2. **Dual-Layer Screening**: - **Fundamental Screening**: Select stocks with strong fundamental support - **Technical Screening**: Identify stocks with technical resonance 3. **Portfolio Backtesting**: The backtesting period spans from January 1, 2010, to June 30, 2025. The portfolio assumes a fully invested position and accounts for transaction costs[14] - **Model Evaluation**: The strategy demonstrates strong performance, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index over the backtesting period[14] 2. Model Name: Stable New High Stock Screening - **Model Construction Idea**: This model leverages the momentum effect, which is particularly significant in the Hong Kong stock market. It identifies stocks that have recently reached a 250-day high and exhibit stable price paths[19][21] - **Model Construction Process**: 1. **250-Day High Distance Calculation**: $ 250\text{-Day High Distance} = 1 - \frac{\text{Close}_{\text{latest}}}{\text{ts\_max}(\text{Close}, 250)} $ - $\text{Close}_{\text{latest}}$: Latest closing price - $\text{ts\_max}(\text{Close}, 250)$: Maximum closing price over the past 250 trading days[21] 2. **Screening Criteria**: - **Analyst Attention**: At least five "Buy" or "Overweight" ratings in the past six months - **Relative Strength**: Top 20% in 250-day price change within the sample pool - **Price Stability**: Top 50% based on a composite score of price path smoothness and new high persistence[22] - **Trend Continuation**: Top 50 stocks based on the average 250-day high distance over the past five days[22] - **Model Evaluation**: The model effectively identifies stocks with strong momentum and stable price paths, making it a useful tool for trend-following strategies[19][21] --- Model Backtesting Results 1. Hong Kong Stock Selection Portfolio Strategy - **Annualized Return**: 19.11% - **Excess Return (Relative to Hang Seng Index)**: 18.48% - **Maximum Drawdown**: 23.73% - **Information Ratio (IR)**: 1.22 - **Tracking Error**: 14.55% - **Return-to-Drawdown Ratio**: 0.78[18] 2. Stable New High Stock Screening - **Sector Distribution**: - **Healthcare**: 16 stocks - **Finance**: 9 stocks - **Technology**: 8 stocks - **Consumer**: 8 stocks - **Cyclicals**: 3 stocks[21][22]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of August 1, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 1.54%, Shenzhen Component Index at 4.38%, CSI 300 at 4.73%, CSI 500 at 2.25%, CSI 1000 at 1.53%, CSI 2000 at 1.08%, ChiNext Index at 8.93%, and STAR Market 50 Index at 7.99% [6][25] - Among the CITIC first-level industry indices, Media, Communication, Pharmaceuticals, Defense, and Steel are closest to their 250-day new highs, while Food & Beverage, Coal, Real Estate, Home Appliances, and Transportation are further away [9][25] Group 2 - A total of 1,239 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the Pharmaceuticals, Machinery, and Basic Chemicals sectors [2][14] - The sectors with the highest proportion of new high stocks are Banking, Steel, and Non-ferrous Metals, with respective proportions of 64.29%, 56.60%, and 41.94% [14][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 381 and 297 stocks respectively, while the proportion of new high stocks in the CSI 2000, CSI 1000, CSI 500, CSI 300, ChiNext, and STAR Market indices are 21.85%, 20.30%, 21.80%, 19.33%, 16.00%, and 14.00% respectively [16][25] Group 3 - The report identifies 50 stocks that have shown stable new highs, including Shenghong Technology, Borui Pharmaceuticals, and Feilihua, with the most new high stocks in the Manufacturing and Technology sectors, totaling 15 and 14 respectively [3][21][26] - The Machinery industry had the highest number of new highs within the Manufacturing sector, while the Electronics industry led in the Technology sector [21][26]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance - **Model Construction Idea**: This model tracks the distance of a stock or index from its 250-day high to identify market trends and hotspots. It is based on the premise that stocks nearing their 52-week high tend to outperform, as supported by prior research (e.g., George@2004, William O'Neil's CANSLIM system, and Mark Minervini's "Stock Market Wizard").[11][18][21] - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ - $\text{Close}_{t}$: Latest closing price - $\text{ts\_max(Close, 250)}$: 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 positive, indicating the percentage drop.[11] - **Model Evaluation**: This model effectively identifies market leaders and trends, aligning with momentum and trend-following strategies.[11][18] 2. Model Name: Stable New High Stock Screening - **Model Construction Idea**: This model focuses on identifying stocks with stable momentum characteristics, emphasizing smooth price paths and consistent new highs. Research suggests that smoother momentum stocks outperform those with jumpy price paths (e.g., Bali et al., 2011; Da et al., 2012).[25][27] - **Model Construction Process**: Stocks are screened from the pool of those hitting 250-day highs in the past 20 trading days 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**: Evaluated using two metrics: - **Price Path Smoothness**: Ratio of price displacement to price path length - **New High Consistency**: Average 250-day new high distance over the past 120 days - **Trend Continuation**: Average 250-day new high distance over the past 5 days Stocks meeting these criteria are ranked, and the top 50% are selected.[25][27] - **Model Evaluation**: This model captures stocks with strong and stable momentum, leveraging underreaction to smooth price paths for enhanced returns.[25][27] --- Model Backtesting Results 1. 250-Day New High Distance - **Indices**: - Shanghai Composite: 0.00% - Shenzhen Component: 5.06% - CSI 300: 4.64% - CSI 500: 3.65% - CSI 1000: 0.91% - CSI 2000: 0.00% - ChiNext Index: 10.71% - STAR 50 Index: 10.59%[12][13][15] 2. Stable New High Stock Screening - **Selected Stocks**: 46 stocks, including Shenghong Technology, Borui Pharmaceutical, and Shijia Photon[28][33] - **Sector Distribution**: - Manufacturing: 14 stocks (e.g., machinery) - Technology: 13 stocks (e.g., computers)[28][33] --- 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, serving as a momentum indicator.[11] - **Factor Construction Process**: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ - $\text{Close}_{t}$: Latest closing price - $\text{ts\_max(Close, 250)}$: Maximum closing price over the past 250 trading days[11] - **Factor Evaluation**: Effectively identifies momentum leaders and market trends.[11][18] 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price trajectory, with smoother paths indicating stronger momentum.[25][27] - **Factor Construction Process**: $ \text{Price Path Smoothness} = \frac{\text{Price Displacement}}{\text{Price Path Length}} $ - **Price Displacement**: Net change in price over a period - **Price Path Length**: Sum of absolute daily price changes over the same period[27] - **Factor Evaluation**: Highlights stocks with stable momentum, leveraging underreaction to smooth price paths.[25][27] 3. Factor Name: New High Consistency - **Factor Construction Idea**: Measures the average proximity to 250-day highs over a specified period, indicating sustained momentum.[27] - **Factor Construction Process**: $ \text{New High Consistency} = \text{Mean(250 Day New High Distance over 120 Days)} $[27] - **Factor Evaluation**: Captures stocks with consistent momentum, emphasizing sustainability.[27] 4. Factor Name: Trend Continuation - **Factor Construction Idea**: Measures short-term proximity to 250-day highs, indicating recent momentum strength.[27] - **Factor Construction Process**: $ \text{Trend Continuation} = \text{Mean(250 Day New High Distance over 5 Days)} $[27] - **Factor Evaluation**: Identifies stocks with strong short-term momentum, complementing longer-term factors.[27] --- Factor Backtesting Results 1. 250-Day New High Distance - **Indices**: - Shanghai Composite: 0.00% - Shenzhen Component: 5.06% - CSI 300: 4.64% - CSI 500: 3.65% - CSI 1000: 0.91% - CSI 2000: 0.00% - ChiNext Index: 10.71% - STAR 50 Index: 10.59%[12][13][15] 2. Price Path Smoothness - **Selected Stocks**: 46 stocks, including Shenghong Technology, Borui Pharmaceutical, and Shijia Photon[28][33] 3. New High Consistency - **Selected Stocks**: 46 stocks, with top sectors being manufacturing (14 stocks) and technology (13 stocks)[28][33] 4. Trend Continuation - **Selected Stocks**: 46 stocks, with top sectors being manufacturing (14 stocks) and technology (13 stocks)[28][33]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of a stock's closing price from its 250-day high to identify market trends and hotspots. It is based on the premise that stocks nearing their 52-week highs tend to outperform, as highlighted in prior research by George (2004) and others[10][17]. - **Model Construction Process**: The formula for the 250-day new high distance is: $ 250\ 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; otherwise, the distance is positive, indicating the percentage drop from the high[10]. - **Model Evaluation**: This model effectively captures momentum and trend-following strategies, aligning with the principles of notable investors like William O'Neil and Mark Minervini[10][17]. 2. Model Name: Stable New High Stock Screening Model - **Model Construction Idea**: This model identifies stocks with stable price paths and consistent upward trends, leveraging the "smooth momentum" effect. Research suggests that stocks with smoother price paths yield higher returns than those with volatile paths[23]. - **Model Construction Process**: The screening criteria include: - **Price Path Smoothness**: Measured as the ratio of the absolute value of the past 120-day price change to the sum of absolute daily price changes over the same period[23]. - **Analyst Attention**: At least five "buy" or "overweight" ratings in the past three months[26]. - **Relative Strength**: The stock's 250-day return ranks in the top 20% of the market[26]. - **Trend Continuity**: The average 250-day new high distance over the past 120 days[26]. - **Trend Extension**: The average 250-day new high distance over the past five days, with the top 50 stocks selected[26]. - **Model Evaluation**: This model emphasizes the importance of smooth price trajectories and consistent momentum, which are less likely to attract excessive investor attention, thereby enhancing returns[23]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Key Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Stable New High Stock Screening Model - **Selected Stocks**: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - **Sector Distribution**: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[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 closing price to its 250-day high, capturing momentum and trend-following characteristics[10]. - **Factor Construction Process**: $ 250\ 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[10]. - **Factor Evaluation**: This factor is widely recognized for its ability to identify leading stocks and market trends, as supported by academic and practical research[10][17]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price trajectory, emphasizing consistent upward trends over volatile movements[23]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Absolute\ Value\ of\ 120\ Day\ Return}{Sum\ of\ Absolute\ Daily\ Returns\ over\ 120\ Days} $[23] - **Factor Evaluation**: This factor highlights stocks with stable momentum, which are less likely to be overreacted to by investors, leading to stronger performance[23]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Key Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Price Path Smoothness Factor - **Selected Stocks**: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - **Sector Distribution**: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[27][32]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 6, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 2.99%, Shenzhen Component Index at 11.41%, CSI 300 at 8.98%, CSI 500 at 8.98%, CSI 1000 at 6.94%, CSI 2000 at 4.25%, ChiNext Index at 20.03%, and STAR Market 50 Index at 12.00% [5][21] - Among the CITIC first-level industry indices, banking, pharmaceuticals, light manufacturing, electricity and public utilities, and agriculture-related industries are closest to their 250-day new highs, while coal, oil and petrochemicals, real estate, food and beverage, and electric equipment and new energy industries are further away [8][21] Group 2 - A total of 777 stocks reached a 250-day new high in the past 20 trading days, with the highest number in the basic chemicals, machinery, and pharmaceuticals sectors [2][22] - The highest proportion of new high stocks is found in the banking, textile and apparel, and light manufacturing sectors, with respective proportions of 71.43%, 27.27%, and 24.24% [22][23] - The manufacturing and cyclical sectors had the most new high stocks this week, with 266 and 195 stocks respectively, while the technology, pharmaceuticals, consumer, and financial sectors had 106, 91, 73, and 43 stocks respectively [15][23] Group 3 - The report identifies 38 stable new high stocks, including Sanofi, Wancheng Group, and Shijia Photon, based on criteria such as analyst attention, relative strength, price path stability, and continuity of new highs [3][19] - The manufacturing sector had the most stable new high stocks, with 11, while the consumer sector had 8, with the mechanical industry leading in manufacturing and the food and beverage industry leading in consumption [19][23]

- The report introduces a quantitative model named "250-Day New High Distance" to track market trends and identify leading stocks. The model calculates the distance of the latest closing price from the highest closing price in the past 250 trading days using the formula: $ 250\text{-Day New High Distance} = 1 - \frac{\text{Closet}}{\text{ts\_max(Close, 250)}} $ where "Closet" represents the latest closing price, and "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; otherwise, it is a positive value indicating the degree of fallback [11][12][13] - The model is evaluated positively as it aligns with momentum and trend-following strategies, which have been proven effective in previous studies. It also references methodologies from notable investors like William O'Neil and Mark Minervini, emphasizing the importance of tracking stocks that consistently hit new highs [11][18] - The report provides backtesting results for major indices using the "250-Day New High Distance" model. As of May 23, 2025, the distances for key indices are: - Shanghai Composite Index: 4.05% - Shenzhen Component Index: 11.85% - CSI 300: 8.78% - CSI 500: 10.70% - CSI 1000: 9.41% - CSI 2000: 7.40% - ChiNext Index: 20.73% - STAR 50 Index: 12.98% [12][13][31] - Another quantitative factor introduced is "Stable New High Stocks," which focuses on stocks with smooth price paths and sustained momentum. The factor is constructed using criteria such as analyst attention, relative price strength, price path smoothness, and trend continuation. Specific metrics include: - Analyst attention: At least 5 buy or overweight ratings in the past 3 months - Relative price strength: Top 20% in market-wide 250-day returns - Price path smoothness: Evaluated using metrics like cumulative absolute returns over 120 days - Trend continuation: Average 250-day new high distance over the past 120 days and past 5 days [24][26][27] - The factor is positively evaluated for its focus on smooth momentum and its ability to identify stocks with strong and consistent performance. It references studies on the "boiling frog effect" and smooth price paths, which suggest that stocks with less extreme price movements tend to outperform [24][26] - Backtesting results for the "Stable New High Stocks" factor show that 41 stocks were selected based on the criteria. These stocks are distributed across sectors, with the manufacturing and consumer sectors having the highest representation (11 stocks each). Notable stocks include Wanchen Group, Sansheng Guojian, and Yanjin Shop [27][30][32]