Core Viewpoint - A-shares experienced a collective decline in the three major stock indices, with the ChiNext index previously rising over 1% before turning negative [1] Market Performance - As of 10:09 AM, the Shanghai Composite Index fell by 0.36% - The Shenzhen Component Index decreased by 0.07% - The ChiNext Index dropped by 0.08% [1] Sector Performance - Lithium mining, computing power, and oil and natural gas sectors showed the largest declines [1]

- 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 calculation formula 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 equals 0; otherwise, it is a positive value indicating the degree of fallback [11][12][13] - 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] - The report provides backtesting results for the "250-day new high distance" model across major indices as of November 21, 2025. The distances are: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45% [12][13][32] - The report introduces a factor named "Stable New High Stocks" to identify stocks with smooth price paths and sustained momentum. The factor construction involves: - Analyst attention: At least five buy or overweight ratings in the past three months - Relative strength: Top 20% in 250-day price change - Price stability: Ranking top 50% based on metrics like price displacement ratio and smoothness of 250-day new high distance over the past 120 days - Trend continuation: Ranking top 50 stocks based on the average 250-day new high distance over the past five days [24][27][28] - The report evaluates the "Stable New High Stocks" factor positively, citing research by Turan G Bali et al. (2011) and Da et al. (2012), which demonstrate the superior returns of stocks with smooth momentum paths compared to those with jumpy price movements [24][27] - Backtesting results for the "Stable New High Stocks" factor show 15 selected stocks, including Heertai, Sray New Materials, and Zangge Mining. These stocks are distributed across manufacturing and cyclical sectors, with manufacturing focusing on construction and cyclical sectors on non-ferrous metals [28][31][33]

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 monitor market trends and identify potential market leaders. It is based on the momentum and trend-following strategy, which has been proven effective in various studies[11][18]. - **Model Construction Process**: The 250-day new high distance is calculated as follows: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ 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 has fallen from the high, the distance is a positive value, indicating the degree of decline[11]. - **Model Evaluation**: The model effectively identifies market trends and highlights stocks or indices that are leading the market, aligning with the principles of momentum and trend-following strategies[11][18]. 2. Model Name: Stable New High Stock Selection Model - **Model Construction Idea**: This model focuses on selecting stocks that exhibit stable price paths and consistent momentum, as smoother price trajectories are associated with stronger momentum effects[24][27]. - **Model Construction Process**: The selection process involves the following criteria: - **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: - **Price Path Smoothness**: Ratio of price displacement to the total price path - **Sustainability of New Highs**: 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[24][27]. - **Model Evaluation**: The model emphasizes the importance of smooth price paths and consistent momentum, which are less likely to attract excessive attention and thus yield stronger returns[24][27]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Stable New High Stock Selection Model - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 250-Day New High Distance - **Factor Construction Idea**: This factor measures the relative distance of a stock's price from its 250-day high, serving as an indicator of momentum and trend strength[11]. - **Factor Construction Process**: The formula is: $ 250 \text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ Where: - $\text{Close}_{t}$ 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 captures momentum and trend-following characteristics, making it a reliable indicator for identifying market leaders[11]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: This factor evaluates the smoothness of a stock's price trajectory, as smoother paths are associated with stronger momentum effects[24]. - **Factor Construction Process**: - Calculate the ratio of price displacement to the total price path over a specified period - Rank stocks based on this ratio and select the top performers[24]. - **Factor Evaluation**: The factor highlights stocks with stable momentum, which are less likely to attract excessive attention and thus yield stronger returns[24]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Indices' 250-Day New High Distance**: - Shanghai Composite Index: 4.83% - Shenzhen Component Index: 8.65% - CSI 300: 6.20% - CSI 500: 9.69% - CSI 1000: 7.59% - CSI 2000: 7.40% - ChiNext Index: 12.16% - STAR 50 Index: 16.45%[12][13][32] 2. Price Path Smoothness Factor - **Selected Stocks**: 15 stocks were identified, including Heertai, Sray New Materials, and Zangge Mining. - **Sector Distribution**: - Manufacturing: 5 stocks (e.g., construction industry) - Cyclical: 5 stocks (e.g., non-ferrous metals industry)[28][33]

Group 1 - The report tracks stocks, industries, and sectors that are reaching new highs, indicating market trends and hotspots [1][4][24] - As of November 21, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 4.83%, Shenzhen Component Index 8.65%, CSI 300 6.20%, CSI 500 9.69%, CSI 1000 7.59%, CSI 2000 7.40%, ChiNext Index 12.16%, and STAR 50 Index 16.45% [5][24] - Among the CITIC primary industry indices, the sectors closest to their 250-day new highs include petroleum and petrochemicals, textiles and apparel, basic chemicals, home appliances, and steel [8][24] Group 2 - A total of 1,127 stocks reached a 250-day new high in the past 20 trading days, with the highest number of new highs in the basic chemicals, machinery, and power equipment and new energy sectors [2][13][24] - The highest proportion of new high stocks is found in the textiles and apparel, coal, and non-ferrous metals sectors, with respective proportions of 41.41%, 38.89%, and 38.71% [13][24] - The cyclical and manufacturing sectors had the most new high stocks this week, with 364 and 315 stocks respectively [15][24] Group 3 - The report identifies 15 stocks that have shown stable new highs, including Heertai, Sry New Materials, and Cangge Mining, with the manufacturing and cyclical sectors contributing the most stocks [3][20][25] - The construction industry had the highest number of new highs within the manufacturing sector, while the non-ferrous metals industry led in the cyclical sector [20][25]

- The report introduces a quantitative model called "250-day new high distance" to track market trends and identify investment hotspots. The model is based on the idea that stocks nearing their 52-week high tend to outperform those far from their 52-week high, as supported by research from [George@2004] and other experts[11][18]. The formula for calculating the 250-day new high distance is: $ 250 \text{ day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max(Close, 250)}$ 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 decline from the high[11] - The report evaluates the model positively, highlighting its effectiveness in identifying market trends and leading stocks that drive market cycles[11][18] - The report also introduces a factor-based screening method for "stable new high stocks" using criteria such as analyst attention, relative stock strength, price path smoothness, and new high sustainability. The screening process includes: 1. Analyst attention: At least 5 buy or overweight ratings in the past 3 months 2. Relative stock strength: Top 20% of market-wide 250-day price change 3. Price path smoothness: Evaluated using metrics like absolute value of price changes over the past 120 days and cumulative absolute price changes over the same period 4. New high sustainability: Average 250-day new high distance over the past 120 days 5. Trend continuation: Average 250-day new high distance over the past 5 days[25][27] - The report positively evaluates the factor-based screening method, citing research that smooth price paths and sustained momentum are associated with stronger returns[25][27] --- - The backtesting results for the "250-day new high distance" model show that as of November 7, 2025, 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 0.47%, 2.34%, 1.45%, 2.93%, 1.39%, 1.36%, 3.49%, and 8.02%[2][12][32] - The backtesting results for the "stable new high stocks" factor show that 50 stocks were selected based on the screening criteria. Among these, the cyclical and technology sectors had the highest number of stocks, with 21 and 16 stocks respectively. Within the cyclical sector, the non-ferrous metals industry had the most new high stocks, while the electric equipment and new energy industry led the technology sector[3][28][33]