- The "Hong Kong Stock Selection Portfolio" strategy aims to construct a portfolio by dual-layer screening based on fundamental and technical aspects of analyst-recommended stocks. The analyst recommendation pool is built using events such as upward revisions of earnings forecasts, initial analyst coverage, and exceeding expectations in research report titles. The backtesting period for this portfolio spans from January 1, 2010, to June 30, 2025, with an annualized return of 19.11% and an excess return of 18.48% relative to the Hang Seng Index after considering transaction costs in a fully invested state [13][14][19] - The "Stable New High Stock Screening Method" identifies stocks that have reached a 250-day high in the past 20 trading days. The screening criteria include analyst attention (at least five buy or overweight ratings in the past six months), relative stock strength (top 20% in 250-day returns), price stability (evaluated using metrics like price path smoothness and average 250-day high distance over the past 120 days), and trend continuation (average 250-day high distance over the past five days). The formula for calculating the 250-day high distance is: $ 250\text{-day high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max}(\text{Close}, 250)} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max}(\text{Close}, 250)$ is the maximum closing price over the past 250 trading days. A value of 0 indicates a new high, while positive values represent the degree of fallback from the high [20][22][23] - The backtesting results for the "Hong Kong Stock Selection Portfolio" show annualized returns of 19.11%, excess returns of 18.48%, and various performance metrics such as IR of 1.22, tracking error of 14.55%, and maximum drawdown of 23.73% over the entire sample period. Specific annual performance metrics include IR values ranging from 0.00 to 2.60, tracking errors between 10.28% and 22.31%, and maximum drawdowns from 4.05% to 17.74% [19] - The "Stable New High Stock Screening Method" identified stocks across multiple sectors, with the highest number in the cyclical sector (15 stocks), followed by technology (10 stocks), healthcare (7 stocks), consumer (4 stocks), financials (3 stocks), and manufacturing (2 stocks). Examples include stocks like 中广核矿业 (China General Nuclear Mining) and 紫金矿业 (Zijin Mining) in the cyclical sector [22][23][27]