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]

- 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][12] - The 250-day 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 October 31, 2025, the 250-day high distances for major indices such as the Shanghai Composite Index, Shenzhen Component Index, and others are provided, with values ranging from 1.53% to 8.03%[12][13][15] Model and Factor Construction - **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 days to identify stocks that are reaching new highs[11] - **Construction Process**: - Calculate the 250-day high distance using the formula $ 1 - \frac{Closet}{ts\_max(Close, 250)} $ - Identify stocks with the smallest 250-day high distance, indicating they are at or near their 250-day high[11] - **Evaluation**: The model is effective in identifying stocks that are leading the market trend by reaching new highs[11] Factor Construction - **Factor Name**: Stable New High Stocks - **Construction Idea**: The factor aims to identify stocks that not only reach new highs but do so with stable price movements and strong momentum[26] - **Construction Process**: - Filter stocks that have reached a 250-day high in the past 20 trading days - Further filter based on analyst attention, relative strength, price stability, and trend continuation - Use metrics such as the sum of absolute daily returns over the past 120 days and the average 250-day high distance over the past 120 days to score and rank stocks[26][28] - **Evaluation**: This factor helps in identifying stocks with strong and stable upward trends, which are likely to continue performing well[26] Backtest Results - **250-day High Distance Model**: - Shanghai Composite Index: 1.53% - Shenzhen Component Index: 2.53% - CSI 300: 2.26% - CSI 500: 2.89% - CSI 1000: 1.85% - CSI 2000: 2.22% - ChiNext Index: 4.11% - STAR 50 Index: 8.03%[12][13][15] - **Stable New High Stocks Factor**: - Number of stocks reaching new highs in the past 20 days: 1077 - Highest number of new high stocks by industry: Electronics, Machinery, Basic Chemicals - Highest proportion of new high stocks by industry: Non-ferrous Metals, Coal, Steel - Highest number of new high stocks by index: CSI 2000, CSI 1000, CSI 500, CSI 300, ChiNext Index, STAR 50 Index[19][20][29]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of October 24, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.00%, Shenzhen Component Index 3.18%, CSI 300 1.04%, CSI 500 3.85%, CSI 1000 2.99%, CSI 2000 3.14%, ChiNext Index 2.77%, and STAR 50 Index 4.99% [5][24] - Among the CITIC primary industry indices, the sectors closest to their 250-day new highs include telecommunications, oil and petrochemicals, electricity and public utilities, construction, and electronics [8][24] Group 2 - A total of 1,123 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the electronics, machinery, and basic chemicals sectors [2][13] - The sectors with the highest proportion of new high stocks are non-ferrous metals, coal, and electronics, with respective proportions of 59.68%, 47.22%, and 36.85% [13][24] - The technology and cyclical sectors had the most stocks reaching new highs this week, with respective counts of 356 and 322 [15] Group 3 - The report identifies 50 stocks that have shown stable new highs, including companies like Shannon Chip Creation, Industrial Fulian, and Heertai, primarily from the technology and manufacturing sectors [3][20][25] - The technology sector had the most new high stocks, particularly in the electronics industry, while the manufacturing sector's leading industry was machinery [20][25]

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] - As of October 17, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index at 2.39%, Shenzhen Component Index at 7.55%, CSI 300 at 4.15%, CSI 500 at 7.06%, CSI 1000 at 6.05%, CSI 2000 at 6.64%, ChiNext Index at 10.01%, and STAR Market 50 Index at 11.43% [5][26] - Among the CITIC primary industry indices, sectors such as Power and Utilities, Nonferrous Metals, Steel, Coal, and Electric Equipment & New Energy are closest to their 250-day new highs, while Food & Beverage, Consumer Services, Comprehensive Finance, Banking, and Oil & Petrochemicals are further away [9][26] Group 2: High-Performing Stocks - A total of 1,233 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the Electronics, Machinery, and Basic Chemicals sectors [2][14] - The highest proportion of new high stocks is found in Nonferrous Metals, Electronics, and Steel industries, with respective proportions of 59.68%, 41.20%, and 39.62% [14][26] - The Technology and Manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 406 and 364 [16][26] Group 3: Stable High-Performing Stocks - The report identifies 27 stable high-performing stocks, including companies like Shannon Chip Creation, Oriental Tower, and Nuway Shares, based on analyst attention, relative strength, price path stability, and continuity of new highs [3][21] - The highest number of stable high stocks comes from the Cyclical and Manufacturing sectors, with 14 and 8 stocks respectively, particularly in Nonferrous Metals and Machinery [21][26]

Group 1 - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots [1][4] - As of October 10, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.94%, Shenzhen Component Index 2.70%, CSI 300 1.97%, CSI 500 2.00%, CSI 1000 1.49%, CSI 2000 2.61%, ChiNext Index 4.55%, and STAR Market 5.61% [5][23] - Among the CITIC primary industry indices, power and utilities, steel, building materials, non-ferrous metals, and basic chemicals are closest to their 250-day new highs, while food and beverage, banking, consumer services, comprehensive finance, and transportation are further away [8][23] Group 2 - A total of 1,235 stocks reached a 250-day new high in the past 20 trading days, with the most in the electronics, machinery, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals, electronics, and electric equipment and new energy sectors, with respective proportions of 54.03%, 39.75%, and 35.05% [13][15] - The technology and manufacturing sectors had the most new high stocks this week, with 403 and 363 stocks respectively [15] Group 3 - The report identifies 50 stable new high stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability [3][24] - The cyclical and technology sectors had the most stable new high stocks, with 18 and 17 stocks respectively, with basic chemicals leading in the cyclical sector and electronics in the technology sector [19][24]

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] - As of September 19, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index 1.63%, Shenzhen Component Index 1.09%, CSI 300 1.08%, CSI 500 1.24%, CSI 1000 1.54%, CSI 2000 1.91%, ChiNext Index 1.79%, and STAR 50 Index 1.28% [5][22] Group 2: High-Performing Sectors and Stocks - The sectors closest to their 250-day new highs include electronics, communications, consumer services, electric equipment and new energy, and automotive, while food and beverage, banking, coal, comprehensive finance, and non-bank financial sectors are further away [8][22] - As of September 19, 2025, a total of 1,461 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the electronics, machinery, and basic chemicals sectors [13][22] Group 3: Stock Selection and Monitoring - The report identifies 50 stocks with stable new highs, focusing on analyst attention, relative strength, price path stability, and continuity of new highs, with the majority from the technology and manufacturing sectors [19][23] - The technology sector had the most stocks reaching new highs, particularly in the electronics industry, while the manufacturing sector saw the most in the machinery industry [19][23]

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].

Market Trends and Highs Tracking - The report aims to track stocks, industries, and sectors that are reaching new highs, serving as market indicators [1][4] - As of September 12, 2025, the distance to the 250-day high for major indices is as follows: Shanghai Composite Index 0.33%, Shenzhen Component Index 0.43%, CSI 300 0.57%, CSI 500 0.00%, CSI 1000 1.04%, CSI 2000 1.56%, ChiNext Index 1.09%, and STAR Market 1.95% [6][23] - Certain sectors such as non-ferrous metals, comprehensive, media, agriculture, forestry, animal husbandry, and machinery are closer to their 250-day highs, while coal, banking, comprehensive finance, transportation, and food and beverage sectors are further away [8][23] Monitoring High-Performing Stocks - A total of 1,620 stocks reached a 250-day high in the past 20 trading days, with the highest number of new highs in the machinery, electronics, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals (68.55%), electronics (45.47%), and comprehensive industries (43.48%) [13][15] - The technology and manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 503 and 452 [15] Stable High-Performing Stocks Tracking - The report identifies 50 stable high-performing stocks based on analyst attention, relative strength, price path stability, and continuity of new highs [3][20] - The cyclical and technology sectors had the most stocks selected, with 17 stocks each, while the basic chemicals industry had the highest number of new highs within the cyclical sector [20][24]

- The style rotation model is constructed based on micro-level stock factors, including valuation, market capitalization, volatility, and momentum. It utilizes 80 base factors to generate 640 micro features, replacing absolute proportion division of style factors with common indices as style stock pools. Random forest is employed for rolling training to avoid overfitting, enabling feature selection and style recommendation. The framework integrates style timing, scoring, and investment implementation[3][8][9] - The performance of the style rotation model during the backtesting period (2017/01/01-2025/08/31) shows an annualized return of 17.08%, annualized volatility of 20.07%, IR of 0.85, monthly win rate of 55.77%, and maximum drawdown of -29.89%. When hedging against the market benchmark, the annualized return is 10.42%, annualized volatility is 13.03%, IR is 0.80, monthly win rate is 56.73%, and maximum drawdown is -9.57%[9][10] - The style rotation model's September 2025 timing direction focuses on growth, large-cap, momentum, and high-volatility factors[17] - The latest holdings of the style rotation model for September 2025 include ETFs such as Semiconductor Leaders ETF (159665.SZ), Big Data ETF (159739.SZ), Artificial Intelligence ETF (159819.SZ), Fintech ETF (159851.SZ), and 5G ETF (159994.SZ)[2][20]

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]