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 momentum and trend-following strategy, which has been validated by various studies[11][19]. - **Model Construction Process**: The 250-day new high distance is calculated as: $ 250 \text{-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. If the price falls from the high, the distance is a positive value representing the degree of decline[11]. - **Model Evaluation**: The model effectively identifies stocks or indices with strong momentum and highlights market leaders, aligning with the principles of momentum investing[11][19]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model refines the momentum strategy by focusing on stocks with smooth price paths and consistent new highs, leveraging the "smooth momentum" effect[27]. - **Model Construction Process**: Stocks are selected 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: - Price path smoothness: Ratio of price displacement to total price movement - Consistency of new highs: Average 250-day new high distance over the past 120 days - Trend Continuation: Average 250-day new high distance over the past 5 days The top 50 stocks meeting these criteria are selected[27][29]. - **Model Evaluation**: The model emphasizes stocks with stable momentum and consistent performance, which are less likely to experience sharp reversals, making it a robust enhancement to traditional momentum strategies[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Stable New High Stock Selection Model - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] --- 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 characteristics[11]. - **Factor Construction Process**: $ 250 \text{-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**: The factor is widely recognized for its ability to identify stocks with strong momentum and potential for continued outperformance[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the stability of a stock's price movement, favoring stocks with smoother trajectories[27]. - **Factor Construction Process**: - Price path smoothness is calculated as the ratio of price displacement to the total price movement over a given period[27]. - **Factor Evaluation**: This factor enhances the momentum strategy by reducing exposure to volatile stocks, improving risk-adjusted returns[27]. 3. Factor Name: Consistency of New Highs - **Factor Construction Idea**: Measures the persistence of a stock's new high performance over time, emphasizing sustained momentum[27]. - **Factor Construction Process**: - Average 250-day new high distance over the past 120 days is used as a proxy for consistency[27]. - **Factor Evaluation**: This factor ensures that selected stocks exhibit reliable momentum, reducing the likelihood of short-term reversals[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Price Path Smoothness Factor - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] 3. Consistency of New Highs Factor - **Selected Stocks**: Same as the Price Path Smoothness Factor, as it is part of the composite selection criteria[30][35]

- The report tracks stocks, industries, and sectors that have reached new highs, which can be seen as market indicators. It highlights the effectiveness of momentum and trend-following strategies[11] - The report uses the 250-day high distance to represent new highs, calculated as follows: $ 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 over the past 250 trading days[11] - As of November 7, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 0.47%, Shenzhen Component Index 2.34%, CSI 300 1.45%, CSI 500 2.93%, CSI 1000 1.39%, CSI 2000 1.36%, ChiNext Index 3.49%, and STAR 50 Index 8.02%[12][13] - The report identifies 1018 stocks that reached new 250-day highs in the past 20 trading days, with the highest numbers in the machinery, basic chemicals, and electronics industries[19] - The highest proportions of new high stocks are in the coal, non-ferrous metals, and steel industries[19] - The report tracks "stable new high" stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability[27] - The screening criteria for stable new high stocks 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 absolute value of price changes over the past 120 days and the sum of absolute daily price changes over the past 120 days[27] - The report lists 50 stable new high stocks, with the highest numbers in the cyclical and technology sectors[28]

- The report introduces a quantitative model called "250-day new high distance" to track market trends and identify investment hotspots. The model is based on the idea that stocks nearing their 52-week high tend to outperform those far from their 52-week high, as supported by research from [George@2004] and other experts[11][18]. The formula for calculating the 250-day new high distance is: $ 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 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 decline from the high[11] - The report evaluates the model positively, highlighting its effectiveness in identifying market trends and leading stocks that drive market cycles[11][18] - The report also introduces a factor-based screening method for "stable new high stocks" using criteria such as analyst attention, relative stock strength, price path smoothness, and new high sustainability. The screening process includes: 1. Analyst attention: At least 5 buy or overweight ratings in the past 3 months 2. Relative stock strength: Top 20% of market-wide 250-day price change 3. Price path smoothness: Evaluated using metrics like absolute value of price changes over the past 120 days and cumulative absolute price changes over the same period 4. New high sustainability: Average 250-day new high distance over the past 120 days 5. Trend continuation: Average 250-day new high distance over the past 5 days[25][27] - The report positively evaluates the factor-based screening method, citing research that smooth price paths and sustained momentum are associated with stronger returns[25][27] --- - The backtesting results for the "250-day new high distance" model show that as of November 7, 2025, major indices such as the Shanghai Composite Index, Shenzhen Component Index, CSI 300, CSI 500, CSI 1000, CSI 2000, ChiNext Index, and STAR 50 Index have respective 250-day new high distances of 0.47%, 2.34%, 1.45%, 2.93%, 1.39%, 1.36%, 3.49%, and 8.02%[2][12][32] - The backtesting results for the "stable new high stocks" factor show that 50 stocks were selected based on the screening criteria. Among these, the cyclical and technology sectors had the highest number of stocks, with 21 and 16 stocks respectively. Within the cyclical sector, the non-ferrous metals industry had the most new high stocks, while the electric equipment and new energy industry led the technology sector[3][28][33]