"屈身守份"，这个充满传统智慧的昵称背后，是一位在量化交易领域游刃有余的IT工程师。在本届实盘 交易大赛中，他斩获量化组第六名。这已是他连续第二年闯入量化组前20名，展现出令人瞩目的持续盈 利能力。 "以前做IT工程师，炒股那几年并没有赚到钱，直到遇见《海龟交易法则》这本书。""屈身守份"坦言， 2012年与这本书的邂逅改变了他的投资轨迹。编程背景与炒股经验结合，让他顺利切入量化赛道。"就 像打通了任督二脉，终于找到了适合自己的方法。" 在本届大赛中，"屈身守份"的核心策略是在海龟法则基础上优化升级趋势跟踪策略，辅以少量波段策 略。"今年股指期货、黄金、白银等行情均特别适合趋势跟踪，算是赶上了好时机。"他说。 与众不同的是，"屈身守份"采用"量化+主观"的独特模式——策略执行完全程序化，但在品种选择上以 主观判断为主。 "我的系统覆盖近30个品种，采用相同的策略和仓位管理。截至目前，我盈利较大的品 种分别是股指、焦煤、碳酸锂和多晶硅。"他说。 "多晶硅启动那天，我预感到行情会很大，果断以平时2～3倍的仓位入场。平时我很少主观干预，但这 次回报十分丰厚。" "屈身守份"回忆称。 "那段时间很难熬，但这就是趋势交 ...

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 October 24, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 3.18%, CSI 300 1.04%, CSI 500 3.85%, CSI 1000 2.99%, CSI 2000 3.14%, ChiNext Index 2.77%, and STAR 50 Index 4.99% [5][24] - Among the CITIC primary industry indices, the sectors closest to their 250-day new highs include telecommunications, oil and petrochemicals, electricity and public utilities, construction, and electronics [8][24] Group 2 - A total of 1,123 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the electronics, machinery, and basic chemicals sectors [2][13] - The sectors with the highest proportion of new high stocks are non-ferrous metals, coal, and electronics, with respective proportions of 59.68%, 47.22%, and 36.85% [13][24] - The technology and cyclical sectors had the most stocks reaching new highs this week, with respective counts of 356 and 322 [15] Group 3 - The report identifies 50 stocks that have shown stable new highs, including companies like Shannon Chip Creation, Industrial Fulian, and Heertai, primarily from the technology and manufacturing sectors [3][20][25] - The technology sector had the most new high stocks, particularly in the electronics industry, while the manufacturing sector's leading industry was machinery [20][25]

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 October 17, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index at 2.39%, Shenzhen Component Index at 7.55%, CSI 300 at 4.15%, CSI 500 at 7.06%, CSI 1000 at 6.05%, CSI 2000 at 6.64%, ChiNext Index at 10.01%, and STAR Market 50 Index at 11.43% [5][26] - Among the CITIC primary industry indices, sectors such as Power and Utilities, Nonferrous Metals, Steel, Coal, and Electric Equipment & New Energy are closest to their 250-day new highs, while Food & Beverage, Consumer Services, Comprehensive Finance, Banking, and Oil & Petrochemicals are further away [9][26] Group 2: High-Performing Stocks - A total of 1,233 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the Electronics, Machinery, and Basic Chemicals sectors [2][14] - The highest proportion of new high stocks is found in Nonferrous Metals, Electronics, and Steel industries, with respective proportions of 59.68%, 41.20%, and 39.62% [14][26] - The Technology and Manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 406 and 364 [16][26] Group 3: Stable High-Performing Stocks - The report identifies 27 stable high-performing stocks, including companies like Shannon Chip Creation, Oriental Tower, and Nuway Shares, based on analyst attention, relative strength, price path stability, and continuity of new highs [3][21] - The highest number of stable high stocks comes from the Cyclical and Manufacturing sectors, with 14 and 8 stocks respectively, particularly in Nonferrous Metals and Machinery [21][26]

Report Summary Core View - The essence of futures trading is a long - term psychological and disciplinary battle, and the most important thing is to persevere, especially in the face of losses, doubts, and loneliness [2][3]. - Many traders fail due to "mid - course changes", while adhering to a proven trading system can lead to success [3]. - An effective trading system should be strictly followed, and emotional trading and poor execution can lead to losses [4]. - Persistence also means respecting "waiting", as most of the time in futures trading is unprofitable but crucial for eventual success [4]. - Persistence does not equal stubbornness; core principles should be adhered to while details can be optimized according to market changes [5]. Examples and Evidence - A senior trader adhered to a trend - tracking strategy despite a more than 40% account drawdown in 2020 and achieved doubled profits in 2021 when the agricultural product bull market started [3]. - In the three - year siege of Handan, the city's victory was due to will, organization, and discipline, which is similar to the requirements in futures trading [2][4]. Comparison and Analogy - The Handan Defense War is compared to futures trading, highlighting the importance of will, organization, and discipline in both scenarios [2][4]. - Traders' inconsistent actions in futures trading are likened to soldiers' desertion in a war, leading to failure [4].

- The "Hong Kong Stock Selection Portfolio" model aims to construct a portfolio by combining fundamental and technical analysis of stocks recommended by analysts. The stock pool is built based on analyst recommendation events such as upward earnings forecast revisions, initial coverage, and exceeding expectations in research report titles. Stocks with both fundamental support and technical resonance are selected to form the portfolio. The backtesting period is from January 1, 2010, to June 30, 2025, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index[13][14][19] - The "Stable New High Stock Screening" factor identifies stocks that have reached a 250-day high in the past 20 trading days. The screening process includes criteria such as analyst attention, relative stock strength, price path stability, and continuity of new highs. The calculation formula for the 250-day new high distance is: $ 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. A value of 0 indicates a new high, while positive values indicate the degree of fallback from the high[20][22][23] - The "Stable New High Stock Screening" factor evaluates stocks based on the following metrics: - Analyst attention: At least 5 buy or overweight ratings in the past 6 months - Relative stock strength: Top 20% in 250-day return within the sample pool - Price path stability: Comprehensive scoring based on price displacement ratio and average 250-day new high distance over the past 120 days - Continuity of new highs: Average 250-day new high distance over the past 5 days, selecting the top 50 ranked stocks[23] - The "Hong Kong Stock Selection Portfolio" model is evaluated positively for its ability to generate significant excess returns over the Hang Seng Index, with a robust annualized return of 19.11% during the backtesting period. The "Stable New High Stock Screening" factor is also positively assessed for its effectiveness in identifying stocks with strong momentum and stability, leveraging the proven efficacy of momentum and trend-following strategies in the Hong Kong market[13][14][20] - The backtesting results for the "Hong Kong Stock Selection Portfolio" model show annualized return of 19.11%, excess return of 18.48%, and information ratio (IR) of 1.22 over the entire sample period. The model also demonstrated a maximum relative drawdown of 23.73% and tracking error of 14.55%[19] - The "Stable New High Stock Screening" factor identified 15 stocks in the cyclical sector, 10 in technology, 7 in pharmaceuticals, 4 in consumer goods, 3 in financials, and 2 in manufacturing. Specific stocks include CGN Mining, which achieved a 250-day new high distance of 0% and a 250-day return of 129.4%[22][23][28]

Group 1 - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots [1][4] - As of October 10, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.94%, Shenzhen Component Index 2.70%, CSI 300 1.97%, CSI 500 2.00%, CSI 1000 1.49%, CSI 2000 2.61%, ChiNext Index 4.55%, and STAR Market 5.61% [5][23] - Among the CITIC primary industry indices, power and utilities, steel, building materials, non-ferrous metals, and basic chemicals are closest to their 250-day new highs, while food and beverage, banking, consumer services, comprehensive finance, and transportation are further away [8][23] Group 2 - A total of 1,235 stocks reached a 250-day new high in the past 20 trading days, with the most in the electronics, machinery, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals, electronics, and electric equipment and new energy sectors, with respective proportions of 54.03%, 39.75%, and 35.05% [13][15] - The technology and manufacturing sectors had the most new high stocks this week, with 403 and 363 stocks respectively [15] Group 3 - The report identifies 50 stable new high stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability [3][24] - The cyclical and technology sectors had the most stable new high stocks, with 18 and 17 stocks respectively, with basic chemicals leading in the cyclical sector and electronics in the technology sector [19][24]

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 September 19, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index 1.63%, Shenzhen Component Index 1.09%, CSI 300 1.08%, CSI 500 1.24%, CSI 1000 1.54%, CSI 2000 1.91%, ChiNext Index 1.79%, and STAR 50 Index 1.28% [5][22] Group 2: High-Performing Sectors and Stocks - The sectors closest to their 250-day new highs include electronics, communications, consumer services, electric equipment and new energy, and automotive, while food and beverage, banking, coal, comprehensive finance, and non-bank financial sectors are further away [8][22] - As of September 19, 2025, a total of 1,461 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the electronics, machinery, and basic chemicals sectors [13][22] Group 3: Stock Selection and Monitoring - The report identifies 50 stocks with stable new highs, focusing on analyst attention, relative strength, price path stability, and continuity of new highs, with the majority from the technology and manufacturing sectors [19][23] - The technology sector had the most stocks reaching new highs, particularly in the electronics industry, while the manufacturing sector saw the most in the machinery industry [19][23]

Group 1 - The article emphasizes that trading strategies and tactics are interconnected, and there is no isolated buy or sell action, only an acceptable plan [1] - A reasonable risk-reward ratio should be at least 2:1, meaning a 7% stop-loss should correspond to a 14% profit expectation [1] - For breakout buying, if there is no floating profit within five trading days, it may indicate a wrong choice, and a stop-loss should be considered at a 3-5% loss [1] Group 2 - After achieving a floating profit of over 8%, three tactical options are available: using a 7-8% retracement as a stop-loss threshold, calculating a moving stop-loss based on the breakout candle, or employing the TR holding line as a stop-loss threshold [3] - A stable strong trend stock typically will not easily breach the TR holding line, and when it does, selling can be done in batches or all at once [5] - For most stocks outside of leading stocks, selling a portion of the position after achieving a 20% floating profit is often a good choice, as excessive greed can lead to profit loss [6] Group 3 - The volume-weighted moving average is superior in support and sensitivity compared to EMA and SMA, and practical comparisons are encouraged [8] - Momentum divergence remains an essential technique in selling strategies, with VAD and BIAS indicators being particularly useful for identifying buy and sell timing [10]

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].

Market Trends and Highs Tracking - The report aims to track stocks, industries, and sectors that are reaching new highs, serving as market indicators [1][4] - As of September 12, 2025, the distance to the 250-day high for major indices is as follows: Shanghai Composite Index 0.33%, Shenzhen Component Index 0.43%, CSI 300 0.57%, CSI 500 0.00%, CSI 1000 1.04%, CSI 2000 1.56%, ChiNext Index 1.09%, and STAR Market 1.95% [6][23] - Certain sectors such as non-ferrous metals, comprehensive, media, agriculture, forestry, animal husbandry, and machinery are closer to their 250-day highs, while coal, banking, comprehensive finance, transportation, and food and beverage sectors are further away [8][23] Monitoring High-Performing Stocks - A total of 1,620 stocks reached a 250-day high in the past 20 trading days, with the highest number of new highs in the machinery, electronics, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals (68.55%), electronics (45.47%), and comprehensive industries (43.48%) [13][15] - The technology and manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 503 and 452 [15] Stable High-Performing Stocks Tracking - The report identifies 50 stable high-performing stocks based on analyst attention, relative strength, price path stability, and continuity of new highs [3][20] - The cyclical and technology sectors had the most stocks selected, with 17 stocks each, while the basic chemicals industry had the highest number of new highs within the cyclical sector [20][24]