报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年9月26日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为1.43%、 1.76%、0.95%、1.37%、2.08%、3.67%、2.60%、1.60%。中信一级行业指数中电力设备及新能源、有色金属、电子、传媒、机械行业指数距离250 日新高较近，食品饮料、银行、煤炭、交通运输、综合金融行业指数距离250日新高较远。概念指数中，发电设备、黄金、风力发电、万得风电、万得光 伏、万得中概股100、储能等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年9月26日，共1233只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是电子、机械、基础化工行业，创新高个股数量占 比最高的是有色金属、电子、电力设备及新能源行业。按照板块分布来看，本周科技、制造板块创新高股票数量 ...

Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance - **Model Construction Idea**: This model tracks the distance of a stock's closing price from its 250-day high to identify momentum and trend-following opportunities in the market. It is inspired by studies showing that stocks near their 52-week highs tend to outperform[11][18]. - **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)} $ 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. If the price has fallen from the high, the distance is a positive value indicating the percentage drop[11]. - **Model Evaluation**: This model effectively captures market momentum and highlights stocks or indices that are leading the market trends[11][18]. 2. Model Name: Stable New High Stock Screening - **Model Construction Idea**: This model identifies stocks with stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[27]. - **Model Construction Process**: The screening process involves the following steps: - **Analyst Attention**: Stocks must have at least 5 "Buy" or "Overweight" ratings in the past 3 months - **Relative Strength**: Stocks must rank in the top 20% of the market based on 250-day price performance - **Price Stability**: Stocks are scored based on two metrics: - **Price Path Smoothness**: Measured by the ratio of price displacement to the total price path length - **Momentum Consistency**: Calculated as the time-series average of the 250-day new high distance over the past 120 days - **Trend Continuation**: Stocks are ranked based on the 5-day average of the 250-day new high distance, and the top 50 stocks are selected[27][29]. - **Model Evaluation**: This model emphasizes the importance of smooth and consistent price movements, which are less likely to attract excessive attention and thus generate stronger momentum effects[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance - **Indices' 250-Day New High Distance**: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[2][12][34] 2. Stable New High Stock Screening - **Selected Stocks**: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - **Sector Distribution**: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[3][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 closing 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)} $ - $Close_t$: Latest closing price - $ts\_max(Close, 250)$: Maximum closing price over the past 250 trading days[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[27]. - **Factor Construction Process**: - **Price Path Smoothness**: Ratio of price displacement to total price path length over a given period[27]. 3. Factor Name: Momentum Consistency - **Factor Construction Idea**: Measures the stability of a stock's momentum over time, emphasizing consistent performance[27]. - **Factor Construction Process**: - **Momentum Consistency**: Time-series average of the 250-day new high distance over the past 120 days[27]. 4. Factor Name: Trend Continuation - **Factor Construction Idea**: Captures short-term momentum by analyzing recent price movements[27]. - **Factor Construction Process**: - **Trend Continuation**: 5-day average of the 250-day new high distance, with stocks ranked based on this metric[27]. --- Factor Backtesting Results 1. 250-Day New High Distance - **Indices' 250-Day New High Distance**: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[2][12][34] 2. Stable New High Stock Screening Factors - **Selected Stocks**: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - **Sector Distribution**: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[3][30][35]

Quantitative Models and Construction Methods 1. 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 approaching or have surpassed their historical highs, which can serve as indicators of market trends and hotspots[11][18]. - **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)} $ 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. If the price has fallen from the high, the distance is a positive value indicating the percentage drop[11]. - **Model Evaluation**: The model is effective in identifying stocks or indices with strong momentum and can be used to monitor market trends and leading sectors[11][18]. 2. Model Name: Stable New High Stock Screening Model - **Model Construction Idea**: This model focuses on identifying stocks that not only achieve new highs but also exhibit stable price paths and consistent momentum. It incorporates factors such as analyst attention, relative strength, and price stability to refine the selection of high-momentum stocks[27][29]. - **Model Construction Process**: The screening criteria include: - **Analyst Attention**: At least 5 buy or overweight ratings in the past 3 months - **Relative Strength**: 250-day price change in the top 20% of the market - **Price Stability**: Stocks are ranked based on the following metrics: - **Price Path Smoothness**: Ratio of price displacement to the total price path - **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 criteria are selected as stable new high stocks[27][29]. - **Model Evaluation**: The model emphasizes the temporal characteristics of momentum and identifies stocks with smoother price paths, which are less likely to experience extreme volatility[27][29]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[12][13][34] 2. Stable New High Stock Screening Model - **Selected Stocks**: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - **Sector Distribution**: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[30][35] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: Measures the relative position of the latest closing price to the highest price in the past 250 trading days, indicating momentum strength[11]. - **Factor Construction Process**: The formula is: $ 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 effectively captures momentum and is widely used in trend-following strategies[11][18]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Evaluates the stability of a stock's price movement by comparing the displacement of the price path to its total length[27]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Price\ Displacement}{Total\ Price\ Path} $ Where: - Price Displacement is the straight-line distance between the starting and ending prices - Total Price Path is the cumulative sum of absolute daily price changes over a given period[27]. - **Factor Evaluation**: Stocks with smoother price paths tend to exhibit stronger and more sustainable momentum[27]. 3. Factor Name: New High Continuity - **Factor Construction Idea**: Measures the consistency of a stock's ability to maintain new highs over time[29]. - **Factor Construction Process**: $ New\ High\ Continuity = Average\ (250\ Day\ New\ High\ Distance\ Over\ Past\ 120\ Days) $ This factor calculates the mean of the 250-day new high distance over a rolling 120-day window[29]. - **Factor Evaluation**: This factor highlights stocks with persistent upward trends, making them attractive for momentum-based strategies[29]. --- Factor Backtesting Results 1. 250-Day New High Distance - **Indices' 250-Day New High Distance**: - Shanghai Composite: 1.63% - Shenzhen Component: 1.09% - CSI 300: 1.08% - CSI 500: 1.24% - CSI 1000: 1.54% - CSI 2000: 1.91% - ChiNext Index: 1.79% - STAR 50 Index: 1.28%[12][13][34] 2. Price Path Smoothness and New High Continuity - **Selected Stocks**: 50 stocks were identified, including Industrial Fulian, Giant Network, and Shengyi Electronics. - **Sector Distribution**: - Technology: 18 stocks (e.g., Electronics) - Manufacturing: 15 stocks (e.g., Machinery)[30][35]