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 momentum and trend-following strategy, which has been validated by various studies[11][19]. - **Model Construction Process**: The 250-day new high distance is calculated as: $ 250 \text{-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. If the price falls from the high, the distance is a positive value representing the degree of decline[11]. - **Model Evaluation**: The model effectively identifies stocks or indices with strong momentum and highlights market leaders, aligning with the principles of momentum investing[11][19]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model refines the momentum strategy by focusing on stocks with smooth price paths and consistent new highs, leveraging the "smooth momentum" effect[27]. - **Model Construction Process**: Stocks are selected based on the following criteria: - 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: - 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 The top 50 stocks meeting these criteria are selected[27][29]. - **Model Evaluation**: The model emphasizes stocks with stable momentum and consistent performance, which are less likely to experience sharp reversals, making it a robust enhancement to traditional momentum strategies[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Stable New High Stock Selection Model - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] --- 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 characteristics[11]. - **Factor Construction Process**: $ 250 \text{-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**: The factor is widely recognized for its ability to identify stocks with strong momentum and potential for continued outperformance[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the stability of a stock's price movement, favoring stocks with smoother trajectories[27]. - **Factor Construction Process**: - Price path smoothness is calculated as the ratio of price displacement to the total price movement over a given period[27]. - **Factor Evaluation**: This factor enhances the momentum strategy by reducing exposure to volatile stocks, improving risk-adjusted returns[27]. 3. Factor Name: Consistency of New Highs - **Factor Construction Idea**: Measures the persistence of a stock's new high performance over time, emphasizing sustained momentum[27]. - **Factor Construction Process**: - Average 250-day new high distance over the past 120 days is used as a proxy for consistency[27]. - **Factor Evaluation**: This factor ensures that selected stocks exhibit reliable momentum, reducing the likelihood of short-term reversals[27]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.70% - Shenzhen Component Index: 0.00% - CSI 300: 1.84% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 1.15% - STAR 50 Index: 0.00%[12][13][34] 2. Price Path Smoothness Factor - **Selected Stocks**: 50 stocks were identified, including Jiangbolong, Shengda Resources, and Yuanjie Technology. - **Sector Distribution**: - Cyclical Sector: 23 stocks, with the highest concentration in basic chemicals - Technology Sector: 18 stocks, with the highest concentration in electronics[30][35] 3. Consistency of New Highs Factor - **Selected Stocks**: Same as the Price Path Smoothness Factor, as it is part of the composite selection criteria[30][35]

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify investment hotspots. The model is based on momentum and trend-following strategies, emphasizing the effectiveness of monitoring stocks near their 52-week high prices[11][19][20] - The construction process of the "250-day new high distance" model is as follows: Formula: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ Explanation: - $ 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 equals 0; otherwise, it is a positive value indicating the degree of price fallback[11] - The report evaluates the model positively, highlighting its ability to capture market trends and identify leading stocks in various sectors. It references studies by George (2004), William O'Neil, and Mark Minervini, which support the effectiveness of tracking stocks near their high prices[11][19] - The model's testing results show that as of January 9, 2026, major indices such as the Shanghai Composite Index, Shenzhen Component Index, and CSI 500 have a "250-day new high distance" of 0.00%, indicating they are at their peak levels. Other indices like CSI 300 and ChiNext have distances of 0.66% and 0.06%, respectively[12][13][33] - A quantitative factor named "Stable New High Stocks" is constructed to identify stocks with smooth price paths and consistent momentum. The factor incorporates analyst attention, relative price strength, price path smoothness, and sustained new high performance[26][28] - The construction process of the "Stable New High Stocks" factor includes: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative price strength: Top 20% in 250-day price change - Price path smoothness: Evaluated using metrics like price displacement ratio - Sustained new high performance: Average "250-day new high distance" over the past 120 days and the last five days[26][28] - The factor is positively evaluated for its ability to capture stocks with strong and consistent momentum, supported by studies on smooth price paths and investor underreaction to gradual price changes[26][28] - Testing results for the "Stable New High Stocks" factor show that 50 stocks were selected, with the highest representation in cyclical and technology sectors. Notable stocks include Yuanjie Technology, Yaxiang Integration, and Xinwei Communication[29][34]

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: The 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 momentum and trend-following strategy, which has been proven effective in various studies[11][19]. - **Model Construction Process**: The formula for calculating the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts\_max}(Close, 250)} $ Where: - $ Close_t $ represents the latest closing price - $ \text{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 falls from the high, the distance is a positive value, indicating the degree of decline[11]. - **Model Evaluation**: The model effectively captures market momentum and highlights leading stocks or indices that are driving market trends[11][19]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model focuses on selecting stocks with stable price paths and consistent momentum, as smoother price trajectories tend to yield stronger momentum effects[26]. - **Model Construction Process**: The selection criteria include: - **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**: Stocks are ranked based on two indicators: - Absolute value of price changes over the past 120 days - Sum of absolute daily price changes 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 Stocks meeting these criteria are ranked, and the top 50 are selected[26][28]. - **Model Evaluation**: The model emphasizes smooth price paths and consistent trends, which are less likely to attract excessive attention, thereby enhancing momentum effects[26]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance (as of January 9, 2026)**: - Shanghai Composite Index: 0.00% - Shenzhen Component Index: 0.00% - CSI 300: 0.66% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 0.06% - STAR 50 Index: 4.10%[12][13][33] 2. Stable New High Stock Selection Model - **Selected Stocks**: 50 stocks were identified as stable new high stocks, including Yuanjie Technology, Asia Integration, and Sunway Communication. - **Sector Distribution**: - Cyclical sector: 22 stocks (e.g., non-ferrous metals) - Technology sector: 14 stocks (e.g., electronics)[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 price to its 250-day high, capturing momentum and trend-following characteristics[11]. - **Factor Construction Process**: The formula is: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{\text{ts\_max}(Close, 250)} $ Where: - $ Close_t $ is the latest closing price - $ \text{ts\_max}(Close, 250) $ is the maximum closing price over the past 250 trading days[11]. - **Factor Evaluation**: The factor effectively identifies stocks with strong momentum and highlights market leaders[11][19]. 2. Factor Name: Price Path Stability - **Factor Construction Idea**: Focuses on the smoothness of price trajectories, as smoother paths are associated with stronger momentum effects[26]. - **Factor Construction Process**: - **Indicator 1**: Absolute value of price changes over the past 120 days - **Indicator 2**: Sum of absolute daily price changes over the past 120 days Stocks are ranked based on these indicators, and the top performers are selected[26]. - **Factor Evaluation**: The factor captures the underreaction of investors to smooth price paths, enhancing the momentum effect[26]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance (as of January 9, 2026)**: - Shanghai Composite Index: 0.00% - Shenzhen Component Index: 0.00% - CSI 300: 0.66% - CSI 500: 0.00% - CSI 1000: 0.00% - CSI 2000: 0.00% - ChiNext Index: 0.06% - STAR 50 Index: 4.10%[12][13][33] 2. Price Path Stability Factor - **Selected Stocks**: 50 stocks were identified as stable new high stocks, including Yuanjie Technology, Asia Integration, and Sunway Communication. - **Sector Distribution**: - Cyclical sector: 22 stocks (e.g., non-ferrous metals) - Technology sector: 14 stocks (e.g., electronics)[29][34]

Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots [1][4] - As of January 9, 2026, major indices such as the Shanghai Composite and Shenzhen Component are at 0.00% distance from their 250-day highs, while the CSI 300 is at 0.66% [5][23] - Among the CITIC first-level industry indices, home appliances, defense, non-ferrous metals, media, and electronics are closest to their 250-day highs, while food and beverage, banking, pharmaceuticals, real estate, and utilities are further away [8][24] High-Performing Stocks - A total of 911 stocks reached 250-day highs in the past 20 trading days, with the highest numbers in machinery, electronics, and basic chemicals [2][13] - The highest proportion of new high stocks is found in the defense, non-ferrous metals, and oil and petrochemical sectors, with respective proportions of 48.36%, 43.09%, and 32.00% [13][24] - The manufacturing and technology sectors have the most stocks reaching new highs this week, with respective counts of 323 and 241 [15] Stable High-Performing Stocks - The report identifies 50 stable high-performing stocks based on analyst attention, relative strength, price path stability, and continuity of new highs [3][19] - The cyclical and technology sectors have the most stocks selected, with 22 and 14 respectively, and the non-ferrous metals and electronics industries leading within these sectors [19][24]