Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 23, 2025, the distance to the 250-day new high for major indices is as follows: 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%, and STAR Market 12.98% [5][18] Group 2: New High Stocks Overview - A total of 647 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemicals, machinery, and pharmaceuticals sectors, totaling 93, 88, and 53 stocks respectively [11][19] - The highest proportion of new high stocks is found in the banking, textile and apparel, and transportation sectors, with respective proportions of 64.29%, 24.24%, and 23.58% [11][19] Group 3: Stable New High Stocks - The report identifies 41 stable new high stocks, with the manufacturing and consumer sectors contributing the most, each with 11 stocks selected [16][19] - The automotive industry leads in the manufacturing sector for new highs, while the food and beverage industry leads in the consumer sector [16][19] Group 4: Sector and Concept Indexes - Among the sector indices, banking, automotive, home appliances, electric power and utilities, and non-ferrous metals are closest to their 250-day new highs, with distances of 0.96%, 2.38%, 3.08%, 1.95%, and 4.71% respectively [7][18] - Concept indices such as automotive, banking selection, gold, innovative drugs, and banking are also near their 250-day new highs [8][18]

- Model Name: 250-Day High Distance Model; Model Construction Idea: This 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 hot spots[11]; Model Construction Process: The formula used is $ 250 \text{ Day 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]; Model Evaluation: This model effectively captures market momentum and trend-following strategies[11] - Factor Name: Stable New High Stocks; Factor Construction Idea: This factor selects stocks that have recently hit new highs and exhibit stable price paths, considering analyst attention, relative strength, and trend continuation[24][26]; Factor Construction Process: The selection criteria include: - 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 - New High Continuity: Average 250-day high distance over the past 120 days - Trend Continuation: Average 250-day high distance over the past 5 days[24][26]; Factor Evaluation: This factor captures stocks with strong and stable momentum, potentially leading to higher returns[24][26] Model Backtest Results - 250-Day High Distance Model, Shanghai Composite Index: 4.23%[12] - 250-Day High Distance Model, Shenzhen Component Index: 9.82%[12] - 250-Day High Distance Model, CSI 300 Index: 9.27%[12] - 250-Day High Distance Model, CSI 500 Index: 7.66%[12] - 250-Day High Distance Model, CSI 1000 Index: 6.18%[12] - 250-Day High Distance Model, CSI 2000 Index: 7.34%[12] - 250-Day High Distance Model, ChiNext Index: 19.01%[12] - 250-Day High Distance Model, STAR 50 Index: 9.65%[12] Factor Backtest Results - Stable New High Stocks, Number of Stocks: 40[27] - Stable New High Stocks, Sector with Most Stocks: Cyclical (11 stocks), Financial (10 stocks)[27] - Stable New High Stocks, Top Sectors: Transportation in Cyclical, Banking in Financial[27]