- Model Name: Market New High Trend Tracking; Model Construction Idea: The model aims to track the market trend and identify market hotspots by regularly monitoring stocks that hit new highs; Model Construction Process: The model uses the 250-day new high distance to represent the new high situation. The calculation method is as follows: $ 250 \text{ Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ where $\text{Close}_{t}$ is 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 hits a new high, the 250-day new high distance is 0; if the latest closing price falls back from the new high, the 250-day new high distance is a positive value, indicating the fall back magnitude[11][12][13] - Model Name: Stable New High Stock Tracking; Model Construction Idea: The model focuses on the time series characteristics of momentum, aiming to identify stocks with smooth price paths and continuous new highs; Model Construction Process: The model filters stable new high stocks based on analyst attention, relative stock strength, price path smoothness, and continuity of new highs. Specific screening conditions include: - Analyst Attention: At least 5 buy or hold ratings in the past 3 months - Relative Stock Strength: The past 250-day price change is in the top 20% of the market - Price Path Smoothness: Comprehensive scoring using the following two indicators within the stock pool that meets the above conditions, selecting the top 50% of stocks - Price Path Smoothness: Stock displacement path ratio - Continuity of New Highs: The average 250-day new high distance in the past 120 days in the time series - Trend Continuity: The average 250-day new high distance in the past 5 days in the time series, selecting the top 50 stocks[27][29][30] Model Backtest Results - Market New High Trend Tracking, 250-day new high distance for major indices as of August 22, 2025: Shanghai Composite Index 0.00%, Shenzhen Component Index 0.00%, CSI 300 Index 0.00%, CSI 500 Index 0.00%, CSI 1000 Index 0.00%, CSI 2000 Index 0.06%, ChiNext Index 0.00%, STAR 50 Index 0.00%[12] - Market New High Trend Tracking, 250-day new high distance for major industry indices as of August 22, 2025: Home Appliances 0.00%, National Defense and Military Industry 0.00%, Comprehensive 0.00%, Media 0.00%, Computer 0.00%; Food and Beverage, Coal, Real Estate, Banking, Consumer Services are far from the 250-day new high[13] - Market New High Trend Tracking, 250-day new high distance for major concept indices as of August 22, 2025: Digital Currency, Wind Power, Aerospace Military Industry, Auto Parts, Metal Non-metal, Automobile, Home Appliances are close to the 250-day new high[16] Factor Construction and Backtest Results - Factor Name: New High Stock Monitoring; Factor Construction Idea: The factor aims to monitor the market and industry trends by tracking stocks that continuously hit new highs; Factor Construction Process: The factor filters stocks that have hit a 250-day new high in the past 20 trading days within the stock pool that has been listed for more than 15 months. As of August 22, 2025, 1606 stocks have hit a 250-day new high in the past 20 trading days. The industries with the most new high stocks are machinery, medicine, and electronics, with 233, 219, and 174 stocks respectively. The industries with the highest proportion of new high stocks are national defense and military industry, non-ferrous metals, and medicine, with proportions of 52.94%, 51.61%, and 44.88% respectively[20][21] - Factor Name: Stable New High Stock Tracking; Factor Construction Idea: The factor aims to identify stocks with smooth price paths and continuous new highs; Factor Construction Process: The factor filters stable new high stocks based on analyst attention, relative stock strength, price path smoothness, and continuity of new highs. Specific screening conditions include: - Analyst Attention: At least 5 buy or hold ratings in the past 3 months - Relative Stock Strength: The past 250-day price change is in the top 20% of the market - Price Path Smoothness: Comprehensive scoring using the following two indicators within the stock pool that meets the above conditions, selecting the top 50% of stocks - Price Path Smoothness: Stock displacement path ratio - Continuity of New Highs: The average 250-day new high distance in the past 120 days in the time series - Trend Continuity: The average 250-day new high distance in the past 5 days in the time series, selecting the top 50 stocks[27][29][30] Factor Backtest Results - New High Stock Monitoring, number of new high stocks in different industries as of August 22, 2025: Machinery 233, Medicine 219, Electronics 174; proportion of new high stocks in different industries: National Defense and Military Industry 52.94%, Non-ferrous Metals 51.61%, Medicine 44.88%[20] - New High Stock Monitoring, number of new high stocks in different sectors as of August 22, 2025: Manufacturing 512, Technology 403, Cycle 343, Medicine 219, Consumption 79, Big Finance 43; proportion of new high stocks in different sectors: Manufacturing 33.01%, Technology 28.64%, Cycle 30.65%, Medicine 44.88%, Consumption 16.42%, Big Finance 18.86%[21] - New High Stock Monitoring, number of new high stocks in different indices as of August 22, 2025: CSI 2000 613, CSI 1000 275, CSI 500 125, CSI 300 54, ChiNext Index 19, STAR 50 Index 8; proportion of new high stocks in different indices: CSI 2000 30.65%, CSI 1000 27.50%, CSI 500 25.00%, CSI 300 18.00%, ChiNext Index 19.00%, STAR 50 Index 16.00%[21] - Stable New High Stock Tracking, number of stable new high stocks in different sectors as of August 22, 2025: Technology 22, Manufacturing 12; most new high stocks in Technology sector are in Electronics industry; most new high stocks in Manufacturing sector are in Automobile industry[30]

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][24] - As of August 22, 2025, the Shanghai Composite Index, Shenzhen Component Index, CSI 300, CSI 500, CSI 1000, CSI 2000, ChiNext Index, and Sci-Tech 50 Index all have a distance to their 250-day highs of 0.00%, indicating they are at their recent peaks [5][24] - Among the CITIC first-level industry indices, home appliances, defense and military, comprehensive, media, and computer industries are closest to their 250-day highs, while food and beverage, coal, real estate, banking, and consumer services are further away [8][24] Group 2 - A total of 1,606 stocks reached 250-day highs in the past 20 trading days, with the most significant numbers in the machinery, pharmaceuticals, and electronics sectors [2][13][24] - The highest proportion of new high stocks is found in the defense and military, non-ferrous metals, and pharmaceuticals industries, with respective proportions of 52.94%, 51.61%, and 44.88% [13][16] - The manufacturing and technology sectors have the most stocks reaching new highs this week, with respective counts of 512 and 403 [16][24] Group 3 - The report identifies 48 stocks that have shown stable new highs, with the technology and manufacturing sectors contributing the most, having 22 and 12 stocks respectively [3][21][25] - Within the technology sector, the electronics industry has the highest number of new high stocks, while the automotive industry leads in the manufacturing sector [21][25]