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 or indices near their recent highs tend to exhibit stronger momentum and potential for future gains[10][17]. - **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: - $Close_t$ represents the latest closing price - $ts\_max(Close, 250)$ represents 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 has fallen from the high, the distance is a positive value indicating the degree of decline[10]. - **Model Evaluation**: This model effectively captures momentum and trend-following characteristics, aligning with prior research on the predictive power of stocks near their 52-week highs[10][17]. 2. Model Name: Stable New High Stock Screening Model - **Model Construction Idea**: This model identifies stocks that exhibit stable momentum characteristics, focusing on smooth price paths and consistent new highs. It incorporates factors such as analyst attention, relative strength, and price stability to refine the selection process[23][25]. - **Model Construction Process**: The screening process involves the following steps: - **Analyst Attention**: Stocks must have at least 5 "Buy" or "Overweight" ratings in the past 3 months - **Relative Strength**: Stocks must rank in the top 20% of the market based on 250-day price performance - **Price Path Smoothness**: $ Price\ Path\ Smoothness = \frac{Absolute\ Price\ Change\ Over\ 120\ Days}{Sum\ of\ Daily\ Absolute\ Price\ Changes\ Over\ 120\ Days} $ Stocks with smoother price paths are prioritized - **New High Consistency**: The average 250-day new high distance over the past 120 days is calculated, and stocks with consistent proximity to new highs are selected - **Trend Continuation**: The average 250-day new high distance over the past 5 days is calculated, and the top 50 stocks are chosen based on this metric[23][25]. - **Model Evaluation**: This model emphasizes the temporal stability of momentum, leveraging smooth price paths and consistent trends to enhance predictive power[23][25]. --- Backtesting Results of Models 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 3.97% - Shenzhen Component Index: 7.72% - CSI 300: 8.01% - CSI 500: 6.55% - CSI 1000: 5.20% - CSI 2000: 6.32% - ChiNext Index: 16.55% - STAR 50 Index: 8.64%[11][12][14] 2. Stable New High Stock Screening Model - **Selected Stocks**: 29 stocks were identified, including Wolong Electric, Newland, and Eilis. - **Sector Distribution**: - Manufacturing: 8 stocks (e.g., machinery) - Technology: 8 stocks (e.g., electronics) - Other sectors: Financials, healthcare, etc.[26][30][32] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: This factor measures the relative position of a stock's price to its 250-day high, serving as a momentum indicator[10]. - **Factor Construction Process**: $ 250\ Day\ New\ High\ Distance = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ - $Close_t$: Latest closing price - $ts\_max(Close, 250)$: Maximum closing price over the past 250 trading days[10]. - **Factor Evaluation**: This factor is simple yet effective in capturing momentum trends, aligning with established research on the predictive power of stocks near their recent highs[10][17]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: This factor evaluates the stability of a stock's price movement over time, favoring stocks with smoother trajectories[23]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Absolute\ Price\ Change\ Over\ 120\ Days}{Sum\ of\ Daily\ Absolute\ Price\ Changes\ Over\ 120\ Days} $ Stocks with higher smoothness scores are prioritized[23]. - **Factor Evaluation**: This factor highlights the importance of temporal stability in momentum strategies, reducing noise from volatile price movements[23]. --- Backtesting Results of Factors 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 3.97% - Shenzhen Component Index: 7.72% - CSI 300: 8.01% - CSI 500: 6.55% - CSI 1000: 5.20% - CSI 2000: 6.32% - ChiNext Index: 16.55% - STAR 50 Index: 8.64%[11][12][14] 2. Price Path Smoothness Factor - **Selected Stocks**: 29 stocks were identified, including Wolong Electric, Newland, and Eilis. - **Sector Distribution**: - Manufacturing: 8 stocks (e.g., machinery) - Technology: 8 stocks (e.g., electronics) - Other sectors: Financials, healthcare, etc.[26][30][32]