- 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]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of a stock or index from its 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 supported by prior research such as [George@2004] and the CANSLIM methodology[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated using the formula: $ 250 \text{-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; otherwise, the distance is positive, indicating the percentage drop from the high[11]. 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. Research suggests that smoother momentum stocks outperform those with jumpy price paths due to underreaction by investors[26]. - **Model Construction Process**: Stocks are screened from the pool of those that hit a 250-day high in the past 20 trading days. The screening criteria include: - **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**: Evaluated using metrics such as cumulative absolute daily returns over 120 days and price path smoothness - **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 Stocks meeting these criteria are ranked, and the top 50% are selected for further analysis[26][28]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Key Metrics**: - Major indices' 250-day new high distances as of July 11, 2025: - Shanghai Composite: 0.00% - Shenzhen Component: 6.95% - CSI 300: 5.67% - CSI 500: 4.79% - CSI 1000: 2.28% - CSI 2000: 0.00% - ChiNext Index: 13.46% - STAR 50 Index: 11.75%[12][13][33] 2. Stable New High Stock Screening Model - **Key Metrics**: - From the pool of 873 stocks that hit a 250-day high in the past 20 trading days, 38 stocks were identified as "stable new high" stocks. - Sector distribution: - Manufacturing: 11 stocks - Technology: 10 stocks - Defense: Leading sector within manufacturing[29][34] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: Measures the relative position of a stock's closing price to its 250-day high, serving as a momentum indicator[11]. - **Factor Construction Process**: The formula is the same as the 250-day new high distance model: $ 250 \text{-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 days[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Evaluates the stability of a stock's price movement over time, favoring stocks with less volatile paths[26]. - **Factor Construction Process**: - **Metric 1**: Cumulative absolute daily returns over the past 120 days - **Metric 2**: Ratio of price displacement to total price path length[26][28]. 3. Factor Name: New High Continuity - **Factor Construction Idea**: Captures the consistency of a stock's ability to maintain proximity to its 250-day high over time[28]. - **Factor Construction Process**: - Average 250-day new high distance over the past 120 days[28]. 4. Factor Name: Trend Continuity - **Factor Construction Idea**: Measures the short-term persistence of a stock's proximity to its 250-day high[28]. - **Factor Construction Process**: - Average 250-day new high distance over the past 5 days[28]. --- Factor Backtesting Results 1. 250-Day New High Distance - **Key Metrics**: - Major indices' distances as of July 11, 2025: - Shanghai Composite: 0.00% - Shenzhen Component: 6.95% - CSI 300: 5.67% - CSI 500: 4.79% - CSI 1000: 2.28% - CSI 2000: 0.00% - ChiNext Index: 13.46% - STAR 50 Index: 11.75%[12][13][33] 2. Price Path Smoothness - **Key Metrics**: - Stocks with smoother price paths demonstrated higher returns compared to those with jumpy paths, as evidenced by the selection of 38 stable new high stocks[26][29]. 3. New High Continuity - **Key Metrics**: - Average 250-day new high distance over 120 days was a significant determinant in identifying stable momentum stocks[28]. 4. Trend Continuity - **Key Metrics**: - Average 250-day new high distance over 5 days was used to rank stocks, with the top 50 selected for further analysis[28].