乘势而起：市场新高趋势追踪：截至 2025 年 10 月 17 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 2.39%、7.55%、4.15%、7.06%、6.05%、 6.64%、10.01%、11.43%。中信一级行业指数中电力及公用事业、有色 金属、钢铁、煤炭、电力设备及新能源行业指数距离 250 日新高较近， 食品饮料、消费者服务、综合金融、银行、石油石化行业指数距离 250 日新高较远。概念指数中，林木、黄金、煤炭、HJT 电池、锂矿、金属 非金属、电力公用事业等概念指数距离 250 日新高较近。 证券研究报告 | 2025年10月17日 热点追踪周报 由创新高个股看市场投资热点（第 215 期） 见微知著：利用创新高个股进行市场监测：截至 2025 年 10 月 17 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、钢铁行业。按照板块分布来看，本周科技、制造板块创新高股票数量最 多；按 ...

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10月17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2.39%、 7.55%、4.15%、7.06%、6.05%、6.64%、10.01%、11.43%。中信一级行业指数中电力及公用事业、有色金属、钢铁、煤炭、电力设备及新能源行 业指数距离250日新高较近，食品饮料、消费者服务、综合金融、银行、石油石化行业指数距离250日新高较远。概念指数中，林木、黄金、煤炭、HJT电 池、锂矿、金属非金属、电力公用事业等概念指数距离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10月17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、钢铁行业。按照板块分布来看，本周科技、制造板块创新高股票 ...

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10月10日，共1235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最多；按照指数分布来看，中证2000、 中证1000、中证500、沪深300、创业板指、科创50指数中创新高个股数量占指数成份股个数比例分别为：22.15%、26.20%、31.60%、29.33%、 34.00%、52.00%。 平稳创新高股票跟踪 我们根据分析师关注度、股价相对强弱、趋势延续性、股价路径平稳性、创新高持续性等角度，本周从全市场创新高股票中筛选出了包含工业富联、香农 芯创、兴业银锡等50只平稳创新高的股票。按照板块来看，创新高股票数量最多的是周期、科技板块，分别有18、17只入选。其中，周期板块中创新高最 多的是基础化工行业；科技板 ...

乘势而起：市场新高趋势追踪：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 高股票数量最多；按照指数分布来看，中证 2000、中证 1000、中证 500、沪 深 300、创业板指、科创 50 指数 ...

- Model Name: 250-Day New 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 market trends and hotspots[11] - Model Construction Process: - Formula: $ 250 \text{ Day New High Distance} = 1 - \frac{Closet}{ts\_max(Close, 250)} $ - Explanation: Closet represents the latest closing price, and ts_max(Close, 250) represents the highest closing price in the past 250 trading days. If the latest closing price is a new high, the distance is 0; otherwise, it is a positive value indicating the fallback[11] - Model Evaluation: The model effectively captures market trends and hotspots by identifying stocks that are continuously reaching new highs[11] - Factor Name: Stable New High Stocks; Factor Construction Idea: The factor selects stocks that have shown stable price paths and continuous new highs, considering analyst attention, relative strength, and trend continuity[27] - Factor Construction Process: - Analyst Attention: At least 5 buy or hold ratings in the past 3 months - Relative Strength: Top 20% in market performance over the past 250 days - Price Stability: Evaluated using the sum of absolute daily returns over the past 120 days and the smoothness of the price path - Continuous 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[27][29] - Factor Evaluation: The factor identifies stocks with strong momentum and stable price paths, which are likely to continue performing well[27] Model Backtest Results - 250-Day New High Distance Model, Shanghai Composite Index: 0.66%, Shenzhen Component Index: 0.00%, CSI 300: 0.00%, CSI 500: 0.00%, CSI 1000: 0.52%, CSI 2000: 1.95%, ChiNext Index: 0.00%, STAR 50 Index: 1.71%[12][13][16] Factor Backtest Results - Stable New High Stocks Factor, Number of Stocks: 50, including New Yisheng, Shijia Photon, Shenghong Technology, etc. Most stocks are from the technology and manufacturing sectors, with 21 and 14 stocks respectively[30][34]

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's closing price from its 250-day high to identify market trends and hotspots. It is based on the premise that stocks nearing their 52-week highs tend to outperform, as highlighted in prior research by George (2004) and others[10][17]. - **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; otherwise, the distance is positive, indicating the percentage drop from the high[10]. - **Model Evaluation**: This model effectively captures momentum and trend-following strategies, aligning with the principles of notable investors like William O'Neil and Mark Minervini[10][17]. 2. Model Name: Stable New High Stock Screening Model - **Model Construction Idea**: This model identifies stocks with stable price paths and consistent upward trends, leveraging the "smooth momentum" effect. Research suggests that stocks with smoother price paths yield higher returns than those with volatile paths[23]. - **Model Construction Process**: The screening criteria include: - **Price Path Smoothness**: Measured as the ratio of the absolute value of the past 120-day price change to the sum of absolute daily price changes over the same period[23]. - **Analyst Attention**: At least five "buy" or "overweight" ratings in the past three months[26]. - **Relative Strength**: The stock's 250-day return ranks in the top 20% of the market[26]. - **Trend Continuity**: The average 250-day new high distance over the past 120 days[26]. - **Trend Extension**: The average 250-day new high distance over the past five days, with the top 50 stocks selected[26]. - **Model Evaluation**: This model emphasizes the importance of smooth price trajectories and consistent momentum, which are less likely to attract excessive investor attention, thereby enhancing returns[23]. --- Model Backtesting Results 1. 250-Day New High Distance Model - **Key Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Stable New High Stock Screening Model - **Selected Stocks**: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - **Sector Distribution**: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[27][32] --- 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 characteristics[10]. - **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[10]. - **Factor Evaluation**: This factor is widely recognized for its ability to identify leading stocks and market trends, as supported by academic and practical research[10][17]. 2. Factor Name: Price Path Smoothness - **Factor Construction Idea**: Quantifies the smoothness of a stock's price trajectory, emphasizing consistent upward trends over volatile movements[23]. - **Factor Construction Process**: $ Price\ Path\ Smoothness = \frac{Absolute\ Value\ of\ 120\ Day\ Return}{Sum\ of\ Absolute\ Daily\ Returns\ over\ 120\ Days} $[23] - **Factor Evaluation**: This factor highlights stocks with stable momentum, which are less likely to be overreacted to by investors, leading to stronger performance[23]. --- Factor Backtesting Results 1. 250-Day New High Distance Factor - **Key Indices' 250-Day New High Distance**: - Shanghai Composite Index: 0.50% - Shenzhen Component Index: 8.58% - CSI 300: 6.44% - CSI 500: 6.62% - CSI 1000: 4.53% - CSI 2000: 1.33% - ChiNext Index: 15.45% - STAR 50 Index: 12.60%[2][11][31] 2. Price Path Smoothness Factor - **Selected Stocks**: 33 stocks were identified, including Shenghong Technology, Jingbeifang, and Giant Network[27][32]. - **Sector Distribution**: - Technology: 9 stocks (e.g., electronics) - Manufacturing: 8 stocks (e.g., machinery)[27][32]

Group 1: Market Trends and Highs - The report tracks stocks, industries, and sectors reaching new highs, serving as market indicators and highlighting the effectiveness of momentum and trend-following strategies [1][4] - As of May 16, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index at 3.50%, Shenzhen Component Index at 11.44%, CSI 300 at 8.62%, CSI 500 at 9.71%, CSI 1000 at 8.22%, CSI 2000 at 5.97%, ChiNext Index at 20.03%, and STAR Market 50 Index at 11.68% [5][24] Group 2: High-Performing Stocks - A total of 544 stocks reached a 250-day new high in the past 20 trading days, with the highest numbers in the basic chemical, machinery, and pharmaceutical sectors, totaling 81, 64, and 43 stocks respectively [2][13] - The highest proportion of new high stocks is found in the banking, transportation, and defense industries, with respective proportions of 64.29%, 20.33%, and 17.65% [13][26] Group 3: Sector Analysis - The manufacturing and cyclical sectors had the most stocks reaching new highs this week, with 174 and 157 stocks respectively, while the consumer, technology, pharmaceutical, and financial sectors had 68, 67, 43, and 32 stocks respectively [16] - The proportion of new high stocks in various indices includes: CSI 2000 at 10.05%, CSI 1000 at 7.80%, CSI 500 at 7.40%, CSI 300 at 10.33%, ChiNext Index at 5.00%, and STAR Market 50 Index at 6.00% [16][26] Group 4: Stable High-Performing Stocks - The report identifies 47 stable high-performing stocks, including Shuanglin Co., Wanchen Group, and Zhongchong Co., with the majority from the manufacturing and consumer sectors, totaling 17 and 11 stocks respectively [3][21] - The automotive industry leads in the manufacturing sector for new highs, while the agriculture, forestry, animal husbandry, and fishery industry leads in the consumer sector [21]