通常被视为市场动荡避风港的趋势跟踪策略，在2025年遭遇了罕见的"滑铁卢"。 这些依靠复杂算法在资产价格中捕捉并追随趋势的量化基金，正面临着数十年来最艰难的交易环境。当 投资者期待它们在市场震荡中发挥对冲作用时，它们却交出了一份自1998年以来最差的成绩单。 震荡市的"逆风" 今年市场表现的核心症结在于缺乏持续、明确的趋势。趋势跟踪策略的根本弱点在于，它在资产价格长 期单向运动（无论是持续数周或数月的上涨还是下跌）时最为有效。一旦市场陷入"震荡但方向不明"的 局面，该策略便会受挫。 "如果你看看十年期债券的收益率，它真的哪里也没去，"德意志银行策略师Parag Thatte指出： 根据研究公司PivotalPath的数据，管理着超过3000亿美元资产的趋势跟踪对冲基金，在今年上半年平均 亏损了9.6%，与整个对冲基金行业4%的平均回报率以及标普500指数6.2%的总回报形成鲜明对比。 这一颓势给行业巨头带来了巨大压力。全球最大的上市对冲基金公司Man Group，其旗舰AHL Alpha基 金截至6月份下跌了7.8%。其他同行的日子也不好过， Systematica Investments旗下规模120亿美元 ...

- 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 between the latest closing price and the highest closing price over the past 250 trading days using the formula: $ 250\text{-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price in the past 250 trading days. If the latest closing price reaches a new high, the distance equals 0; otherwise, it indicates the percentage drop from the peak[10][11][12] - The report evaluates the model positively, citing its ability to capture momentum and trend-following strategies effectively. It references prior research, such as [George@2004] and insights from investment books like "Stock Market Wizard," which emphasize the importance of tracking stocks near their 52-week highs[10][18][21] - The report applies the model to major indices, showing their respective 250-Day New High Distances as of August 1, 2025: - Shanghai Composite Index: 1.54% - Shenzhen Component Index: 4.38% - CSI 300: 4.73% - CSI 500: 2.25% - CSI 1000: 1.53% - CSI 2000: 1.08% - ChiNext Index: 8.93% - STAR 50 Index: 7.99%[11][12][33] - The report identifies industries and concept indices close to their 250-Day New Highs, such as Media, Communication, Pharmaceuticals, Defense, and Steel. Concept indices like Wind Microcap Equal Weight, Electronic Equipment, CRO, and Innovative Drugs also show proximity to their 250-Day New Highs[12][14][33] - The report tracks stocks that have reached 250-Day New Highs in the past 20 trading days. A total of 1,239 stocks are identified, with the highest counts in industries like Pharmaceuticals (192 stocks), Machinery (169 stocks), and Basic Chemicals (132 stocks). The highest proportions are found in Banking (64.29%), Steel (56.60%), and Nonferrous Metals (41.94%)[19][20][34] - The report introduces a factor named "Stable New High Stocks," which selects stocks based on criteria such as analyst attention, relative price strength, price path smoothness, and sustained new highs. Specific metrics include: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative price strength: Top 20% in 250-day returns - Price path smoothness: Evaluated using metrics like cumulative absolute daily returns over 120 days - Sustained new highs: Average 250-Day New High Distance over the past 120 days - Trend continuation: Average 250-Day New High Distance over the past five days[24][27][28] - The report lists 50 stocks selected as "Stable New High Stocks," with the highest counts in Manufacturing (15 stocks) and Technology (14 stocks). Examples include Shenghong Technology, Borui Pharmaceuticals, and Feilihua[28][32][34]

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]

Core Concepts - Trend following is not blind speculation; it emphasizes acting in accordance with market trends and avoiding counter-trend operations [1] - Price reflects all fundamentals, sentiment, and policies, ultimately manifesting in price trends [2] - Cut losses quickly and let profits run; quickly stop losses on losing trades while holding profitable trades until the trend ends [3] - Trends have inertia; once established, they are more likely to continue than to reverse [4] - Do not predict; instead, react to market signals and follow trends [5] Trend Identification - Moving Average System: A bullish signal occurs when a short-term moving average crosses above a long-term moving average (e.g., 5-day > 20-day) [6] - Channel Breakout: Enter long when price breaks above the N-day high and short when it breaks below the N-day low [6] - Momentum Indicators: An expanding MACD histogram indicates trend acceleration [6] - Trend Structure: Higher highs and higher lows indicate an uptrend, while lower highs and lower lows indicate a downtrend [6] - Volatility Confirmation: A breakout of the Average True Range (ATR) from recent averages signals trend initiation [6] Strategy Execution - Entry Rules: Enter trades on price breakouts with increased volume or on pullbacks to moving averages [7] - Position Sizing: Limit single trade risk to 1% of total capital [7] - Stop Loss Settings: Use volatility-based stops (±2 times ATR) or structural stops based on previous highs/lows [7] - Profit Taking Logic: Implement trailing stops based on a percentage retracement from the highest price [7] - Multi-Market Adaptation: Different strategies for various asset classes, such as focusing on moving averages for stock index futures and momentum indicators for cryptocurrencies [7] Risk Management - Diversification: Hold 5-10 non-correlated trend positions simultaneously [8] - Leverage Control: Limit futures leverage to 5 times and cryptocurrency leverage to 3 times [8] - Drawdown Triggers: Enforce a 50% reduction in positions if account drawdown reaches 15% [8] - Correlation Monitoring: Reduce positions if the correlation coefficient among holdings exceeds 0.7 [8] Cognitive Misconceptions - Trend following is not equivalent to long-term holding; exit immediately when a trend ends [9] - Holding periods typically range from days to months, not high-frequency trading [9] - Avoid over-optimization, which can lead to failure in real trading [9] - Emotional interference can lead to premature exits; adhere to trailing stops [9] Practical Cases - Oil Price Crash 2020: Trend signals indicated a short position after breaking the 200-day moving average [10] - Nvidia AI Surge 2024: Trend initiation was confirmed by a weekly MACD crossover [10] - Federal Reserve Rate Hikes: The dollar index rose 15% during the 2022 rate hike cycle, validating breakout strategies [10] - Bitcoin Halving Trends: Historical data shows significant price increases following halving events [10]

Quantitative Models and Construction Methods - **Model Name**: Hong Kong Stock Selection Portfolio Strategy **Model Construction Idea**: The strategy is based on a dual-layer selection process that combines fundamental and technical analysis to identify outperforming stocks from an analyst-recommended stock pool[14][15] **Model Construction Process**: 1. **Analyst Recommendation Pool**: Constructed using three types of analyst recommendation events: upward earnings revisions, first-time coverage, and research reports with unexpected positive titles[15] 2. **Fundamental and Technical Screening**: Stocks in the recommendation pool are further filtered based on fundamental support and technical resonance to identify stocks with both strong fundamentals and positive technical trends[15] 3. **Backtesting**: The backtesting period spans from January 1, 2010, to June 30, 2025, assuming a fully invested portfolio with transaction costs considered[15] **Model Evaluation**: The strategy demonstrates strong performance with significant excess returns over the Hang Seng Index[15] - **Model Name**: Stable New High Stock Screening **Model Construction Idea**: This model leverages momentum and trend-following strategies, focusing on stocks that have recently reached 250-day highs and exhibit stable price paths[20][22] **Model Construction Process**: 1. **250-Day High Distance Calculation**: $ 250\text{-day high distance} = 1 - \frac{\text{Close}_{\text{latest}}}{\text{ts\_max(Close, 250)}} $ Where $\text{Close}_{\text{latest}}$ is the latest closing price, and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[22] 2. **Screening Criteria**: - Stocks must have reached a 250-day high in the past 20 trading days - Analyst coverage: At least five "Buy" or "Overweight" ratings in the past six months - Relative strength: Top 20% in 250-day returns among all Hong Kong stocks - Stability: Evaluated using metrics such as price path smoothness and the time-series average of the 250-day high distance over the past 120 days[22][23] 3. **Final Selection**: The top 50 stocks based on stability and trend continuation metrics are selected[23] **Model Evaluation**: The model effectively identifies stocks with strong momentum and stable price trends, aligning with the principles of momentum investing[20][22] Model Backtesting Results - **Hong Kong Stock Selection Portfolio Strategy**: - Annualized Return: 19.11% - Excess Return over Hang Seng Index: 18.48% - Information Ratio (IR): 1.22 - Maximum Drawdown: 23.73%[15][19] - **Stable New High Stock Screening**: - Not explicitly quantified in the report, but the model identifies stocks with strong recent performance and stable price paths, such as those in the financial, healthcare, and consumer sectors[22][23] Quantitative Factors and Construction Methods - **Factor Name**: 250-Day High Distance **Factor Construction Idea**: Measures the proximity of the latest closing price to the highest closing price in the past 250 trading days, capturing momentum and trend-following characteristics[22] **Factor Construction Process**: $ 250\text{-day high distance} = 1 - \frac{\text{Close}_{\text{latest}}}{\text{ts\_max(Close, 250)}} $ - If the latest closing price reaches a new high, the factor value is 0 - If the price has fallen from the high, the factor value is positive, indicating the degree of pullback[22] **Factor Evaluation**: This factor is effective in identifying stocks with strong momentum and limited pullbacks, which are likely to continue their upward trends[22] Factor Backtesting Results - **250-Day High Distance**: - Specific performance metrics are not provided, but the factor is used to screen stocks with strong momentum and stable trends, contributing to the selection of outperforming stocks in the financial, healthcare, and consumer sectors[22][23]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of July 11, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 6.95%, CSI 300 5.67%, CSI 500 4.79%, CSI 1000 2.28%, CSI 2000 0.00%, ChiNext Index 13.46%, and STAR Market 11.75% [5][24] - The sectors closest to their 250-day new highs include Power and Utilities, Steel, Comprehensive Finance, Pharmaceuticals, and Non-ferrous Metals, while Food and Beverage, Coal, Consumer Services, Automotive, and Oil and Petrochemicals are further away [8][24] Group 2 - A total of 873 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in Basic Chemicals, Machinery, and Pharmaceuticals [2][13] - The highest proportion of new high stocks is found in Banking, Comprehensive Finance, and National Defense and Military Industry, with respective proportions of 90.48%, 40.00%, and 33.61% [13] - The manufacturing and cyclical sectors had the most new high stocks this week, with 245 and 233 stocks respectively [15] Group 3 - The report identifies 38 stocks that are considered stable new highs, including Shenghong Technology, Beijing North, and Nanhua Futures, with the most in the Manufacturing and Technology sectors [3][21] - The Manufacturing sector had the highest number of new highs, particularly in the National Defense and Military Industry, while the Technology sector saw the most in the Electronics industry [21][25]

- The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, using a 250-day high distance metric[11][12][13] - The 250-day high distance is calculated as: $ 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] - As of June 20, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 3.72%, Shenzhen Component Index 12.96%, CSI 300 9.62%, CSI 500 10.92%, CSI 1000 9.26%, CSI 2000 7.07%, ChiNext Index 21.19%, and STAR 50 Index 14.99%[2][12][13] - The report identifies 816 stocks that reached a 250-day high in the past 20 trading days, with the highest numbers in the pharmaceutical, basic chemicals, and machinery industries[3][19][20] - The report also tracks "stable new high stocks" based on analyst attention, relative stock strength, trend continuity, price path stability, and new high sustainability, selecting 26 stocks such as Sijia Photon, Shenghong Technology, and Boryung Pharmaceutical[3][25][27] - The selected stable new high stocks are mainly from the financial and cyclical sectors, with the financial sector having the most new highs in the banking industry and the cyclical sector in the basic chemicals industry[3][28][29]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4] - As of June 13, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 3.23%, Shenzhen Component Index 11.94%, CSI 300 9.21%, CSI 500 9.33%, CSI 1000 7.65%, CSI 2000 4.96%, ChiNext Index 19.86%, and STAR Market 13.66% [5][25] - The industry indices that are closest to their 250-day new highs include non-ferrous metals, banking, pharmaceuticals, agriculture, forestry, animal husbandry, fishery, and electric power and public utilities [8][25] Group 2 - A total of 838 stocks reached a 250-day new high in the past 20 trading days, with the most significant numbers in the pharmaceutical, basic chemicals, and machinery sectors [2][13] - The highest proportion of new high stocks is found in the banking, textile and apparel, and pharmaceutical industries, with respective proportions of 71.43%, 29.29%, and 24.95% [13][16] - The manufacturing and cyclical sectors had the most new high stocks this week, with 262 and 212 stocks respectively [16] Group 3 - The report identifies 42 stocks that have shown stable new highs, with the majority coming from the manufacturing and consumer sectors, each contributing 9 stocks [22][26] - The mechanical industry had the most new highs within the manufacturing sector, while the food and beverage industry led in the consumer sector [22][26] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [19][20]

Core Insights - The article explores the lives and strategies of some of the most famous futures traders, highlighting their innovative methods, risk management techniques, and discipline, which provide valuable lessons for traders and investors [1][13]. Group 1: Richard Dennis - Richard Dennis, known as the "King of Trading," turned a small loan into over $200 million by his early 30s and is famous for the "Turtle Traders" experiment, proving that trading can be taught [2][4]. - His breakout strategy involves buying when prices break above a certain level and selling when they fall below, based on the assumption that trends tend to continue [4]. - Dennis emphasizes strict risk management, typically risking only 1-2% of his capital on any single trade, which helps him survive consecutive losses [4]. - He adjusts position sizes based on market volatility, increasing positions in low-volatility markets and decreasing them in high-volatility ones [4]. - Quick stop-loss orders are a key rule for Dennis, ensuring that losses are kept to a minimum [4]. Group 2: Paul Tudor Jones - Paul Tudor Jones, founder of Tudor Investment Corp, is renowned for predicting and profiting from the 1987 stock market crash, reportedly tripling his funds that day [2][6]. - His global macro trading strategy involves making large bets across multiple asset classes based on macroeconomic trends, including futures [6]. - Jones values technical analysis alongside macroeconomic analysis, looking for chart patterns and signals for entry and exit points [6]. - He often takes contrarian positions, betting against prevailing market sentiment, believing that the best investment opportunities arise when market consensus is wrong [6]. - Dynamic risk management is central to his strategy, involving strict stop-losses and adjusting position sizes based on market volatility and confidence in trades [6]. Group 3: John W. Henry - John W. Henry, a legendary futures trader and owner of the Boston Red Sox and Liverpool FC, is known for his systematic, algorithm-driven trading approach [3][8]. - His trading strategy is based on systematic trend following, focusing on a wide range of futures markets to diversify risk and capture various market trends [8]. - Henry implements strict risk management rules, including capital allocation limits per trade and using stop-loss orders to protect against significant losses [8]. - He adopts a long-term perspective, willing to hold positions through drawdowns, believing in the long-term profitability of his strategies [8]. - Continuous research and development are crucial to his success, as he adapts his trading systems based on historical data and market behavior [8]. Group 4: Ed Seykota - Ed Seykota, an influential futures trader, is recognized for developing and implementing computerized trading systems in the 1970s [3][10]. - His strategy combines systematic trend following with emotional discipline, using automated systems to generate trading signals based on technical indicators and historical data [10]. - Seykota emphasizes the importance of position management in risk control, adjusting trade sizes based on market volatility to prevent significant damage to the overall portfolio [10]. - He is known for his focus on trading psychology, stressing the need to manage emotions and adhere to trading systems even during losing periods [10]. - Quick stop-loss orders are central to Seykota's strategy, allowing for rapid exits from losing trades to prevent small losses from escalating [10]. Group 5: Larry Williams - Larry Williams, a renowned commodity and futures trader, is famous for his short-term trading strategies and winning multiple trading competitions [3][12]. - His strategy focuses on short-term trading and precise market timing, particularly in commodity futures [12]. - Williams utilizes seasonal patterns in commodities as part of his trading approach [12]. - He emphasizes risk control, likening traders to warriors who need shields to protect themselves from losses, advocating for strong capital management [12]. - Williams believes that trading strategies should be personalized, akin to finding the right pair of shoes that fit well, rather than adhering to universally accepted methods [12].

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]