证券研究报告 | 2026年02月27日 热点追踪周报 由创新高个股看市场投资热点（第 232 期） 乘势而起：市场新高趋势追踪：截至 2026 年 2 月 27 日，上证指数、深证 成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 0.06%、0.06%、1.67%、0.00%、0.00%、0.00%、 2.30%、4.37%。中信一级行业指数中机械、电力及公用事业、钢铁、基 础化工、建筑行业指数距离 250 日新高较近，食品饮料、银行、医药、 非银行金融、综合金融行业指数距离 250 日新高较远。概念指数中，储 能、万得全 A 等权、金属非金属、万得全 A、钢铁、电子设备和仪器、 光伏等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2026 年 2 月 27 日，共 1370 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股数量最多的 是机械、基础化工、电子行业，创新高个股数量占比最高的是有色金属、石 油石化、钢铁行业。按照板块分布来看，本周制造、周期板块创新高股票数 量最多；按照指数 ...

========= - Model Name: 250-Day New High Distance; Model Construction Idea: The model aims to track the market trend by monitoring stocks that hit new highs, based on the effectiveness of momentum and trend-following strategies[11]; Model Construction Process: The 250-day new high distance is calculated as follows: $ 250 \text{ Day New 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]; Model Evaluation: The model is effective in identifying market trends and hotspots[11] - Factor Name: Stable New High Stocks; Factor Construction Idea: The factor focuses on stocks that have hit new highs and exhibit stable price paths, leveraging the "boiling frog" effect and smooth price paths for stronger momentum effects[25]; Factor Construction Process: Stocks are selected based on analyst attention, relative strength, price path stability, and new high continuity. Specific conditions 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 ratio of price path length to displacement - 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[27] Model Backtest Results: - 250-Day New High Distance Model, 250-Day New High Distance for major indices as of February 6, 2026: Shanghai Composite Index 2.39%, Shenzhen Component Index 3.69%, CSI 300 Index 3.07%, CSI 500 Index 5.29%, CSI 1000 Index 4.95%, CSI 2000 Index 3.67%, ChiNext Index 4.48%, STAR 50 Index 8.58%[12][13][15] Factor Backtest Results: - Stable New High Stocks Factor, Number of stocks hitting new highs in the past 20 trading days: 1641; Highest number of new high stocks by industry: Machinery 238, Electronics 196, Basic Chemicals 176; Highest proportion of new high stocks by industry: Nonferrous Metals 69.92%, Defense & Military 63.11%, Petroleum & Petrochemicals 60.78%[19][20] - Stable New High Stocks Factor, Number of stable new high stocks selected this week: 50; Highest number of stable new high stocks by sector: Manufacturing 18, Technology 16[28] =========

========= - The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, emphasizing the effectiveness of momentum and trend-following strategies[11] - The 250-day new high distance is calculated as $ 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 February 6, 2026, the 250-day new high distances for 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 are 2.39%, 3.69%, 3.07%, 5.29%, 4.95%, 3.67%, 4.48%, and 8.58% respectively[12][13][15] - The report identifies 1641 stocks that reached a 250-day new high in the past 20 trading days, with the highest numbers in the machinery, electronics, and basic chemicals industries[19] - The highest proportions of new high stocks are in the non-ferrous metals, defense and military, and petroleum and petrochemical industries[19] - By sector, the manufacturing and technology sectors have the most new high stocks this week, with 523 and 513 stocks respectively[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[25][27] - The screening criteria include the absolute value of the past 120-day price change, the sum of the absolute values of the past 120-day daily price changes, and the number of buy or overweight ratings in the past three months[27] - This week, 50 stable new high stocks were selected, including Mingyang Smart Energy, Universal Scientific Industrial, and Hengtong Optic-Electric, with the most in the manufacturing and technology sectors[28][31] - The 250-day new high distances for major indices are: Shanghai Composite Index 2.39%, Shenzhen Component Index 3.69%, CSI 300 3.07%, CSI 500 5.29%, CSI 1000 4.95%, CSI 2000 3.67%, ChiNext Index 4.48%, STAR 50 Index 8.58%[12][13][15] - The highest proportions of new high stocks by index are: CSI 2000 30.10%, CSI 1000 35.00%, CSI 500 41.80%, CSI 300 27.33%, ChiNext Index 34.00%, STAR 50 Index 44.00%[20][23][24] - The highest proportions of new high stocks by industry are: non-ferrous metals 69.92%, defense and military 63.11%, petroleum and petrochemical 60.78%[19][22][24] =========

证券研究报告 | 2025年12月19日 热点追踪周报 由创新高个股看市场投资热点（第 224 期） 乘势而起：市场新高趋势追踪：截至 2025 年 12 月 19 日，上证指数、深 证成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 3.45%、4.26%、3.78%、5.03%、4.16%、 2.16%、6.08%、14.98%。中信一级行业指数中轻工制造、有色金属、通 信、国防军工、消费者服务行业指数距离 250 日新高较近，食品饮料、 综合金融、房地产、医药、建筑行业指数距离 250 日新高较远。概念指 数中，十大军工集团、卫星导航、家居用品、卫星互联网、金属非金属、 航天军工、林木等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2025 年 12 月 19 日，共 620 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股数量最多的 是机械、电子、基础化工行业，创新高个股数量占比最高的是国防军工、有 色金属、轻工制造行业。按照板块分布来看，本周制造、科技板块创新高股 票数量最多；按 ...

- The report tracks the market trend by monitoring stocks that have reached new highs, using the 250-day high distance as a key metric[11] - The 250-day high distance is calculated as follows: $ 250 \text{ day high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ where $ Close_t $ 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 28, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 3.50%, Shenzhen Component Index 5.40%, CSI 300 4.66%, CSI 500 6.85%, CSI 1000 4.10%, CSI 2000 2.78%, ChiNext Index 8.17%, and STAR 50 Index 13.77%[12][13] - The report identifies 1043 stocks that reached new 250-day highs in the past 20 trading days, with the highest numbers in the basic chemicals, power equipment and new energy, and machinery industries[19] - The report also tracks "stable new high stocks" based on analyst attention, relative stock strength, trend continuity, price path stability, and new high sustainability[23] - The selection criteria for stable new high stocks include: at least 5 buy or hold ratings in the past 3 months, top 20% in 250-day price change, and a composite score based on price path smoothness and new high continuity[26] - The report lists 26 stable new high stocks, including Zhongji Xuchuang, Guangku Technology, and Zhongkuang Resources, with the highest numbers in the cyclical and manufacturing sectors[27][30]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4][25] - As of November 7, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 0.47%, Shenzhen Component Index at 2.34%, CSI 300 at 1.45%, CSI 500 at 2.93%, CSI 1000 at 1.39%, CSI 2000 at 1.36%, ChiNext Index at 3.49%, and STAR 50 Index at 8.02% [6][25] - Among the CITIC first-level industry indices, the oil and petrochemical, electric equipment and new energy, comprehensive, electric and public utilities, and steel industries are closest to their 250-day new highs, while food and beverage, comprehensive finance, pharmaceuticals, real estate, and retail industries are further away [9][25] Group 2 - A total of 1,018 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the machinery, basic chemicals, and electronics sectors [2][14][25] - The highest proportion of new high stocks is found in the coal, non-ferrous metals, and steel industries, with respective proportions of 52.78%, 52.42%, and 39.62% [14][25] - The cyclical and manufacturing sectors had the most new high stocks this week, with respective counts of 319 and 301 [16][25] Group 3 - The report identifies 50 stocks that have shown stable new highs based on analyst attention, relative strength, price path stability, and continuity of new highs, including companies like Shannon Chip and Zhongji Xuchuang [3][20][27] - The cyclical and technology sectors had the most stocks reaching stable new highs, with 21 and 16 stocks respectively [20][27] - In the cyclical sector, the non-ferrous metals industry had the most new highs, while in the technology sector, the electric equipment and new energy industry led [20][27]

证券研究报告 | 2025年10月24日 **Acknowledgement** **The authors thank the anonymous referee for the help and comments on the manuscript.** 乘势而起：市场新高趋势追踪：截至 2025 年 10 月 24 日，上证指数、深 证成指、沪深 300、中证 500、中证 1000、中证 2000、创业板指、科创 50 指数 250 日新高距离分别为 0.00%、3.18%、1.04%、3.85%、2.99%、 3.14%、2.77%、4.99%。中信一级行业指数中通信、石油石化、电力及 公用事业、建筑、电子行业指数距离 250 日新高较近，食品饮料、综合 金融、银行、消费者服务、医药行业指数距离 250 日新高较远。概念指 数中，万得微盘股日频等权、林木、锂矿、电力公用事业、石油天然气、 煤炭、万得全 A 等概念指数距离 250 日新高较近。 见微知著：利用创新高个股进行市场监测：截至 2025 年 10 月 24 日，共 1123 只股票在过去 20 个交易日间创出 250 日新高。其中创新高个股 ...

Quantitative Models and Construction Methods Model 1: 250-Day New High Distance Model - **Model Name**: 250-Day New 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 stocks that are reaching new highs, which can be indicative of market trends and hotspots[11] - **Model Construction Process**: - Calculate the 250-day new high distance using the formula: $$ \text{250-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $$ where $\text{Close}_{t}$ is the latest closing price and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - If the latest closing price is a new high, the distance is 0; otherwise, it is a positive value indicating the percentage drop from the new high[11] - **Model Evaluation**: This model is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11] Model 2: Stable New High Stock Tracking Model - **Model Name**: Stable New High Stock Tracking Model - **Model Construction Idea**: This model selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - **Model Construction Process**: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific 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 path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - **Model Evaluation**: This model is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Model Backtest Results 250-Day New High Distance Model - **Shanghai Composite Index**: 2.39%[12] - **Shenzhen Component Index**: 7.55%[12] - **CSI 300 Index**: 4.15%[12] - **CSI 500 Index**: 7.06%[12] - **CSI 1000 Index**: 6.05%[12] - **CSI 2000 Index**: 6.64%[12] - **ChiNext Index**: 10.01%[12] - **STAR 50 Index**: 11.43%[12] Stable New High Stock Tracking Model - **Number of Selected Stocks**: 27[27] - **Top Sectors**: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - **Top Industries in Cyclical Sector**: Non-ferrous Metals[27] - **Top Industries in Manufacturing Sector**: Machinery[27] Quantitative Factors and Construction Methods Factor 1: 250-Day New High Distance Factor - **Factor Name**: 250-Day New High Distance Factor - **Factor Construction Idea**: This factor measures the distance of the latest closing price from the highest closing price in the past 250 trading days to identify stocks that are reaching new highs[11] - **Factor Construction Process**: - Calculate the 250-day new high distance using the formula: $$ \text{250-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $$ where $\text{Close}_{t}$ is the latest closing price and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - **Factor Evaluation**: This factor is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11] Factor 2: Stable New High Factor - **Factor Name**: Stable New High Factor - **Factor Construction Idea**: This factor selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - **Factor Construction Process**: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific 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 path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - **Factor Evaluation**: This factor is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Factor Backtest Results 250-Day New High Distance Factor - **Shanghai Composite Index**: 2.39%[12] - **Shenzhen Component Index**: 7.55%[12] - **CSI 300 Index**: 4.15%[12] - **CSI 500 Index**: 7.06%[12] - **CSI 1000 Index**: 6.05%[12] - **CSI 2000 Index**: 6.64%[12] - **ChiNext Index**: 10.01%[12] - **STAR 50 Index**: 11.43%[12] Stable New High Factor - **Number of Selected Stocks**: 27[27] - **Top Sectors**: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - **Top Industries in Cyclical Sector**: Non-ferrous Metals[27] - **Top Industries in Manufacturing Sector**: Machinery[27]

- The report tracks the market trend by monitoring stocks that have reached new highs, using the 250-day high distance as a key metric[11] - The 250-day high distance is 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 October 17, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 2.39%, Shenzhen Component Index 7.55%, CSI 300 4.15%, CSI 500 7.06%, CSI 1000 6.05%, CSI 2000 6.64%, ChiNext Index 10.01%, and STAR 50 Index 11.43%[12][13][15] Quantitative Models and Construction Methods 1. **Model Name: 250-day High Distance** - **Model Construction Idea:** The model tracks the distance of the latest closing price from the highest closing price in the past 250 trading days to identify stocks that are reaching new highs[11] - **Model Construction Process:** - Calculate the 250-day high distance using the formula: $ 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] - **Model Evaluation:** The model is effective in identifying stocks that are reaching new highs, which can be considered market leaders and potential investment opportunities[11] Model Backtesting Results 1. **250-day High Distance Model** - Shanghai Composite Index: 2.39%[12] - Shenzhen Component Index: 7.55%[12] - CSI 300: 4.15%[12] - CSI 500: 7.06%[12] - CSI 1000: 6.05%[12] - CSI 2000: 6.64%[12] - ChiNext Index: 10.01%[12] - STAR 50 Index: 11.43%[12] Quantitative Factors and Construction Methods 1. **Factor Name: Smooth Momentum** - **Factor Construction Idea:** The factor focuses on stocks with smooth price paths and consistent momentum, as these stocks tend to have higher returns compared to those with jumpy price paths[24] - **Factor Construction Process:** - **Analyst Attention:** At least 5 buy or overweight ratings in the past 3 months[26] - **Relative Strength:** Top 20% in terms of 250-day price change[26] - **Price Stability:** Combine the following two indicators and select the top 50% of stocks: - Price path smoothness: Ratio of price displacement to price path length[26] - Consistency of new highs: Average 250-day high distance over the past 120 days[26] - **Trend Continuation:** Average 250-day high distance over the past 5 days, select the top 50 stocks[26] - **Factor Evaluation:** The factor effectively identifies stocks with strong and stable momentum, which are likely to continue performing well[24] Factor Backtesting Results 1. **Smooth Momentum Factor** - Selected stocks include: Xiangnong Chip, Oriental Tower, Neway Valve, etc.[27] - Sector distribution: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - Industry leaders: Non-ferrous metals in the cyclical sector, machinery in the manufacturing sector[27]

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].