- Model Name: 250-Day New High Distance Model; 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 hitting new highs; Model Construction Process: The formula used is $ 250 \text{ Day New 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 in the past 250 trading days. If the latest closing price hits a new high, the distance is 0; if it falls back, the distance is positive, indicating the extent of the fallback[11][12][13]; Model Evaluation: This model is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11][19] - Factor Name: Stable New High Stocks; Factor Construction Idea: The factor focuses on stocks that have not only hit new highs but also exhibit stable price paths and strong momentum; Factor Construction Process: The selection criteria include analyst attention (at least 5 buy or hold ratings in the past 3 months), relative stock strength (top 20% in market performance over the past 250 days), price stability (using metrics like the sum of absolute daily returns over the past 120 days), and trend continuation (average 250-day new high distance over the past 120 days and past 5 days). The top 50% of stocks based on these criteria are selected[26][29][30]; Factor Evaluation: This factor is designed to capture stocks with strong and stable momentum, which are less likely to experience sudden drops and more likely to continue their upward trend[26][29] Model Backtest Results - 250-Day New High Distance Model, Shanghai Composite Index: 6.43%, Shenzhen Component Index: 5.13%, CSI 300: 6.01%, CSI 500: 10.64%, CSI 1000: 9.51%, CSI 2000: 9.52%, ChiNext Index: 2.73%, STAR 50 Index: 16.40%[12][34] Factor Backtest Results - Stable New High Stocks, Number of Stocks: 14, including companies like Asia Integration, Biwin Storage, Salt Lake Shares, etc.; Sector Distribution: Most stocks are from cyclical and technology sectors, with 6 stocks each. In the cyclical sector, the most new highs are in the basic chemical industry; in the technology sector, the most new highs are in the electronics industry[30][33]

Group 1 - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots, with a focus on the effectiveness of momentum and trend-following strategies [1][4] - As of March 27, 2026, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 6.43%, Shenzhen Component Index at 5.13%, CSI 300 at 6.01%, CSI 500 at 10.64%, CSI 1000 at 9.51%, CSI 2000 at 9.52%, ChiNext Index at 2.73%, and STAR 50 Index at 16.40% [5][25] - Among the CITIC first-level industry indices, the sectors closest to their 250-day new highs include Power and Utilities, Power Equipment and New Energy, Coal, Communication, and Oil and Petrochemicals, while Food and Beverage, Retail, Comprehensive Finance, Non-Bank Finance, and Real Estate are further away [8][25] Group 2 - A total of 961 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in Power Equipment and New Energy, Basic Chemicals, and Machinery sectors [2][26] - The highest proportion of new high stocks is found in the Oil and Petrochemicals, Coal, and Power and Utilities sectors, with respective proportions of 66.67%, 55.56%, and 48.26% [13][26] - The distribution of new high stocks by sector shows that the Cycle and Technology sectors have the most stocks reaching new highs, with 354 and 297 stocks respectively [14][26] Group 3 - The report identifies 14 stocks that have shown stable new highs, including Yaxiang Integration, Baiwei Storage, and Salt Lake Co., with the majority coming from the Cycle and Technology sectors [3][20] - The selection criteria for stable new high stocks include analyst attention, relative strength of stock prices, price path stability, and continuity of new highs [19][23] - The most represented industries among the stable new high stocks are Basic Chemicals in the Cycle sector and Electronics in the Technology sector [20][26]

- The report introduces a quantitative model called "250-day new high distance" to track market trends and identify market hotspots. The model is based on momentum and trend-following strategies, emphasizing the effectiveness of stocks reaching new highs as market indicators. 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 reaches a new high, the distance is 0; otherwise, it is a positive value indicating the degree of fallback from the new high[11][12][13] - The report evaluates the model positively, citing its ability to capture market trends and identify leading stocks that perform well during market uptrends. It references studies by [George@2004], William O'Neil, and Mark Minervini, which support the idea that stocks near their 52-week highs tend to outperform those far from their highs[11][18][21] - The report provides backtesting results for the 250-day new high distance model. As of February 13, 2026, major indices such as the Shanghai Composite Index, Shenzhen Component Index, CSI 300, CSI 500, CSI 1000, CSI 2000, ChiNext Index, and STAR 50 Index have respective 250-day new high distances of 2.00%, 2.35%, 2.72%, 3.51%, 3.14%, 2.54%, 3.32%, and 5.50%[12][31] - The report introduces a quantitative factor called "Stable New High Stocks" to identify stocks with smooth price paths and consistent momentum. The factor construction involves screening stocks that have reached a 250-day new high in the past 20 trading days and applying criteria such as analyst attention (at least five buy or overweight ratings in the past three months), relative price strength (top 20% in 250-day returns), price path smoothness (measured by price displacement ratio), and sustained new high performance (average 250-day new high distance over the past 120 days and past 5 days)[24][26][27] - The report evaluates the factor positively, citing research by [Turan G Bali, Nusret et al@2011] and [Da, Gurun et al@2012], which highlight the superior performance of stocks with smooth price paths and strong momentum. The factor is designed to capture these characteristics effectively[24][26][27] - Backtesting results for the "Stable New High Stocks" factor show that 50 stocks were selected based on the criteria, with the highest representation in the technology and manufacturing sectors. Specifically, 21 stocks from the technology sector (dominated by the electronics industry) and 16 stocks from the manufacturing sector (dominated by the machinery industry) were included[27][32][30]