证券研究报告 | 2025年11月28日 核心观点 金融工程周报 金融工程·数量化投资 证券分析师：张欣慰 证券分析师：胡志超 021-60933159 021-60375486 zhangxinwei1@guosen.com.cn huzhichao@guosen.com.cn S0980520060001 S0980524070001 热点追踪周报 由创新高个股看市场投资热点（第 221 期） 乘势而起：市场新高趋势追踪：截至 2025 年 11 月 28 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 3.50%、5.40%、4.66%、6.85%、4.10%、 2.78%、8.17%、13.77%。中信一级行业指数中家电、纺织服装、轻工制 造、基础化工、通信行业指数距离 250 日新高较近，食品饮料、综合金 融、非银行金融、医药、房地产行业指数距离 250 日新高较远。概念指 数中，家居用品、卫星导航、锂矿、林木、卫星互联网、万得微盘股日 频等权、操作系统等概念指数距离 250 日新高较近。 见微知著：利用创新 ...

- 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] - The 250-day high distance is calculated as follows: $ 250 \text{ day high distance} = 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 17, 2025, the 250-day high distances for major indices are: Shanghai Composite Index 2.39%, Shenzhen Component Index 7.55%, CSI 300 4.15%, CSI 500 7.06%, CSI 1000 6.05%, CSI 2000 6.64%, ChiNext Index 10.01%, and STAR 50 Index 11.43%[12][13][15] Quantitative Models and Construction Methods 1. **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 trading days to identify stocks that are reaching new highs[11] - **Model Construction Process:** - Calculate the 250-day high distance using the formula: $ 250 \text{ day high distance} = 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] - **Model Evaluation:** The model is effective in identifying stocks that are reaching new highs, which can be considered market leaders and potential investment opportunities[11] Model Backtesting Results 1. **250-day High Distance Model** - Shanghai Composite Index: 2.39%[12] - Shenzhen Component Index: 7.55%[12] - CSI 300: 4.15%[12] - CSI 500: 7.06%[12] - CSI 1000: 6.05%[12] - CSI 2000: 6.64%[12] - ChiNext Index: 10.01%[12] - STAR 50 Index: 11.43%[12] Quantitative Factors and Construction Methods 1. **Factor Name: Smooth Momentum** - **Factor Construction Idea:** The factor focuses on stocks with smooth price paths and consistent momentum, as these stocks tend to have higher returns compared to those with jumpy price paths[24] - **Factor Construction Process:** - **Analyst Attention:** At least 5 buy or overweight ratings in the past 3 months[26] - **Relative Strength:** Top 20% in terms of 250-day price change[26] - **Price Stability:** Combine the following two indicators and select the top 50% of stocks: - Price path smoothness: Ratio of price displacement to price path length[26] - Consistency of new highs: Average 250-day high distance over the past 120 days[26] - **Trend Continuation:** Average 250-day high distance over the past 5 days, select the top 50 stocks[26] - **Factor Evaluation:** The factor effectively identifies stocks with strong and stable momentum, which are likely to continue performing well[24] Factor Backtesting Results 1. **Smooth Momentum Factor** - Selected stocks include: Xiangnong Chip, Oriental Tower, Neway Valve, etc.[27] - Sector distribution: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - Industry leaders: Non-ferrous metals in the cyclical sector, machinery in the manufacturing sector[27]

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify hot spots. The model is based on momentum and trend-following strategies, emphasizing stocks that consistently hit new highs. The formula for calculating the 250-day new high distance is: $ 250\text{-day new high distance} = 1 - \frac{Close_t}{ts\_max(Close, 250)} $ where $ Close_t $ represents the latest closing price, and $ ts\_max(Close, 250) $ is the maximum closing price over the past 250 trading days. If the latest closing price hits a new high, the distance equals 0; otherwise, it reflects the percentage drop from the peak [11][19][27] - The report evaluates the model positively, citing its ability to capture market leaders and trends effectively. It references studies by George (2004), William O'Neil, and Mark Minervini, which highlight the importance of tracking stocks near their 52-week highs for superior returns [11][18][21] - The model's backtesting results show that as of October 10, 2025, major indices such as the Shanghai Composite Index, Shenzhen Component Index, and others have respective 250-day new high distances of 0.94%, 2.70%, 1.97%, 2.00%, 1.49%, 2.61%, 4.55%, and 5.61%. Industry indices like power utilities, steel, and basic chemicals are closer to their 250-day highs, while sectors like food and beverage, banking, and transportation are farther away [12][13][31] - A factor named "Stable New High Stocks" is constructed to identify stocks with smooth price paths and consistent momentum. The factor considers analyst attention (minimum 5 buy/hold ratings in the past 3 months), relative price strength (top 20% in 250-day returns), price path smoothness (measured by price displacement ratio), and trend continuation (average 250-day new high distance over the past 120 days and past 5 days). The top 50 stocks meeting these criteria are selected [25][27][28] - The factor is positively evaluated for its focus on smooth momentum and its ability to identify stocks with strong and consistent performance. It references studies by Turan G Bali (2011) and Da Gurun (2012), which highlight the advantages of smooth price paths in momentum strategies [25][27][28] - Backtesting results for the "Stable New High Stocks" factor show that 50 stocks were selected, with the highest representation in cyclical and technology sectors. Examples include Industrial Internet, Xiangnong Chip, and Xingye Yinxi. The cyclical sector is dominated by basic chemicals, while the technology sector is led by electronics [28][30][32]

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].