Quantitative Models and Construction Methods 1. Model Name: 250-Day New High Distance Model - **Model Construction Idea**: This model tracks the distance of a stock or index from its 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 supported by prior research such as [George@2004] and the CANSLIM methodology[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated using the formula: $ 250 \text{-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; otherwise, the distance is positive, indicating the percentage drop from the high[11]. 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. Research suggests that smoother momentum stocks outperform those with jumpy price paths due to underreaction by investors[26]. - **Model Construction Process**: Stocks are screened from the pool of those that hit a 250-day high in the past 20 trading days. The screening criteria include: - **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**: Evaluated using metrics such as cumulative absolute daily returns over 120 days and price path smoothness - **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 for further analysis[26][28]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Key Metrics**: - Major indices' 250-day new high distances as of July 11, 2025: - Shanghai Composite: 0.00% - Shenzhen Component: 6.95% - CSI 300: 5.67% - CSI 500: 4.79% - CSI 1000: 2.28% - CSI 2000: 0.00% - ChiNext Index: 13.46% - STAR 50 Index: 11.75%[12][13][33] 2. Stable New High Stock Screening Model - **Key Metrics**: - From the pool of 873 stocks that hit a 250-day high in the past 20 trading days, 38 stocks were identified as "stable new high" stocks. - Sector distribution: - Manufacturing: 11 stocks - Technology: 10 stocks - Defense: Leading sector within manufacturing[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 closing price to its 250-day high, serving as a momentum indicator[11]. - **Factor Construction Process**: The formula is the same as the 250-day new high distance model: $ 250 \text{-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 days[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Evaluates the stability of a stock's price movement over time, favoring stocks with less volatile paths[26]. - **Factor Construction Process**: - **Metric 1**: Cumulative absolute daily returns over the past 120 days - **Metric 2**: Ratio of price displacement to total price path length[26][28]. 3. Factor Name: New High Continuity - **Factor Construction Idea**: Captures the consistency of a stock's ability to maintain proximity to its 250-day high over time[28]. - **Factor Construction Process**: - Average 250-day new high distance over the past 120 days[28]. 4. Factor Name: Trend Continuity - **Factor Construction Idea**: Measures the short-term persistence of a stock's proximity to its 250-day high[28]. - **Factor Construction Process**: - Average 250-day new high distance over the past 5 days[28]. --- Factor Backtesting Results 1. 250-Day New High Distance - **Key Metrics**: - Major indices' distances as of July 11, 2025: - Shanghai Composite: 0.00% - Shenzhen Component: 6.95% - CSI 300: 5.67% - CSI 500: 4.79% - CSI 1000: 2.28% - CSI 2000: 0.00% - ChiNext Index: 13.46% - STAR 50 Index: 11.75%[12][13][33] 2. Price Path Smoothness - **Key Metrics**: - Stocks with smoother price paths demonstrated higher returns compared to those with jumpy paths, as evidenced by the selection of 38 stable new high stocks[26][29]. 3. New High Continuity - **Key Metrics**: - Average 250-day new high distance over 120 days was a significant determinant in identifying stable momentum stocks[28]. 4. Trend Continuity - **Key Metrics**: - Average 250-day new high distance over 5 days was used to rank stocks, with the top 50 selected for further analysis[28].