Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4][22] - As of August 29, 2025, major indices such as the Shanghai Composite and Shenzhen Component are close to their 250-day highs, with respective distances of 0.66% and 0.00% [5][22] - Among the CITIC primary industry indices, sectors like non-ferrous metals, electric equipment and new energy, and communication are near their 250-day highs, while coal, real estate, and banking are further away [8][22] Group 2: High-Performing Stocks - A total of 1,738 stocks reached 250-day highs in the past 20 trading days, with the highest numbers in the machinery, electronics, and pharmaceuticals sectors [2][13][22] - The manufacturing and technology sectors have the most stocks reaching new highs, with respective counts of 535 and 492 [15][22] - The proportion of stocks reaching new highs within various indices, such as the CSI 2000 and CSI 1000, is significant, with ratios of 32.50% and 32.30% respectively [15][22] Group 3: Stable High-Performing Stocks - The report identifies 50 stable high-performing stocks based on criteria such as analyst attention, price strength, and trend continuity, with a focus on technology and manufacturing sectors [3][19][23] - The technology sector has the highest number of stable high-performing stocks, particularly in the electronics industry, while the manufacturing sector is led by the machinery industry [19][24]

- The report tracks the market trend by monitoring stocks, industries, and sectors that have reached new highs, using a 250-day high distance metric[11][12][13] - The 250-day high distance is calculated as: $ 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 in the past 250 trading days[11] - As of June 20, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 3.72%, Shenzhen Component Index 12.96%, CSI 300 9.62%, CSI 500 10.92%, CSI 1000 9.26%, CSI 2000 7.07%, ChiNext Index 21.19%, and STAR 50 Index 14.99%[2][12][13] - The report identifies 816 stocks that reached a 250-day high in the past 20 trading days, with the highest numbers in the pharmaceutical, basic chemicals, and machinery industries[3][19][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, selecting 26 stocks such as Sijia Photon, Shenghong Technology, and Boryung Pharmaceutical[3][25][27] - The selected stable new high stocks are mainly from the financial and cyclical sectors, with the financial sector having the most new highs in the banking industry and the cyclical sector in the basic chemicals industry[3][28][29]

Quantitative Models and Construction Methods - **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 over the past 250 trading days. It is used to identify stocks or indices that are trending near their historical highs, which can serve as market trend indicators[10][17]. **Model Construction Process**: The formula for the 250-day new high distance is: $ 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 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 representing the percentage drop[10]. **Model Evaluation**: This model effectively captures momentum and trend-following characteristics, which are widely supported by academic research and practical strategies[10][17]. - **Model Name**: Stable New High Stock Screening Model **Model Construction Idea**: This model identifies stocks that have recently reached new highs and exhibit stable price paths, strong momentum, and consistent trends. It incorporates factors such as analyst attention, relative strength, and price smoothness[23][25]. **Model Construction Process**: 1. Select stocks that have hit 250-day new highs in the past 20 trading days. 2. Apply the following screening 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**: Use the following metrics: - 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. 3. Rank stocks based on these metrics and select the top 50%[23][25]. **Model Evaluation**: This model emphasizes the temporal characteristics of momentum, leveraging smoother price paths and consistent trends to enhance returns[23][25]. --- Backtesting Results of Models - **250-Day New High Distance Model**: - As of June 13, 2025, the 250-day new high distances for major indices are as follows: - Shanghai Composite Index: 3.23% - Shenzhen Component Index: 11.94% - CSI 300: 9.21% - CSI 500: 9.33% - CSI 1000: 7.65% - CSI 2000: 4.96% - ChiNext Index: 19.86% - STAR 50 Index: 13.66%[11][12][14] - **Stable New High Stock Screening Model**: - 42 stocks were selected based on the screening criteria. - Distribution by sector: - Manufacturing: 9 stocks (e.g., machinery) - Consumer: 9 stocks (e.g., food and beverage) - Examples of selected stocks: - Manufacturing: Shenghong Technology, Wanchen Group - Consumer: Dongpeng Beverage, Youyou Food[26][31] --- Quantitative Factors and Construction Methods - **Factor Name**: 250-Day New High Distance **Factor Construction Idea**: Measures the proximity of a stock's current price to its 250-day high, capturing momentum and trend-following signals[10]. **Factor Construction Process**: The formula is the same as the 250-day new high distance model: $ 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 widely recognized for its ability to identify leading stocks and sectors during market uptrends[10][17]. - **Factor Name**: Price Path Smoothness **Factor Construction Idea**: Quantifies the stability of a stock's price movement, favoring stocks with smoother trends over those with volatile paths[23]. **Factor Construction Process**: - Calculate the ratio of price displacement to the total price movement over a specified period. - Higher values indicate smoother price paths[23]. **Factor Evaluation**: Smooth price paths are less likely to attract excessive speculative attention, leading to stronger and more sustainable momentum effects[23]. --- Backtesting Results of Factors - **250-Day New High Distance Factor**: - Among 838 stocks that hit 250-day highs in the past 20 days, the highest concentrations were in the pharmaceutical, basic chemical, and machinery industries. - By sector: - Manufacturing: 262 stocks (16.91% of the sector) - Cyclical: 212 stocks (18.95% of the sector) - By index: - CSI 2000: 15.75% of constituents - CSI 1000: 12.80% of constituents - CSI 500: 10.20% of constituents[18][19][31] - **Price Path Smoothness Factor**: - Applied to the 42 stocks identified by the Stable New High Stock Screening Model. - Stocks with higher smoothness scores demonstrated stronger momentum and trend continuation[23][25][26]

- The "Guosen Securities Hong Kong Stock Selection Portfolio" achieved an absolute return of 4.07% this week and an annual return of 36.51%[1][17] - The portfolio aims to select stocks with both fundamental support and technical resonance from an analyst-recommended stock pool, constructed based on analyst earnings forecast upgrades, initial coverage, and unexpected events in analyst report titles[13][15] - The backtest period for the portfolio is from January 1, 2010, to December 31, 2024, with an annualized return of 17.02% and an excess return of 17.60% relative to the Hang Seng Index[15] - The portfolio's performance metrics include an information ratio (IR) of 1.19, a tracking error of 14.45%, and a maximum drawdown of 23.73% over the entire sample period[18] - The "Stable New High Stock Selection Method" screens stocks that have reached a 250-day high in the past 20 trading days based on analyst attention, relative stock strength, price path stability, and continuity of new highs[19][21] - The specific calculation for the 250-day new high distance is given by the formula: $ 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 in the past 250 trading days[21] - The selected stable new high stocks include companies like Cinda Biopharmaceuticals, with the consumer sector having the most stocks reaching new highs, followed by pharmaceuticals, large finance, technology, cyclical, and manufacturing sectors[21][22] - The performance metrics for the Hong Kong Stock Selection Portfolio include: - Absolute return: 4.07% (weekly), 36.51% (year-to-date) - Excess return relative to Hang Seng Index: 1.91% (weekly), 17.90% (year-to-date) - Information ratio (IR): 1.19 - Tracking error: 14.45% - Maximum drawdown: 23.73%[17][18] - The performance metrics for the stable new high stocks include: - Consumer sector: 12 stocks - Pharmaceuticals: 11 stocks - Large finance: 10 stocks - Technology: 9 stocks - Cyclical: 3 stocks - Manufacturing: 2 stocks[21][22]