证券研究报告 | 2025年11月28日 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：利用创新高个股进行市场监测：截至 2025 年 11 月 28 日，共 1043 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 是基础化工、电力设备及新能源、机械行业，创新高个股数量占比最高的是 纺织服装、电力设备及新能源、煤炭行业。按照板块分布来看，本周周期、 制造板块创新 ...

- The report introduces a quantitative model named "250-day new high distance" to monitor market trends and identify investment hotspots. The model is based on momentum and trend-following strategies, which have been proven effective in previous studies. It calculates the distance between the latest closing price and the highest closing price in the past 250 trading days using the formula: $ 250\text{-day new high distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max}(\text{Close}, 250)} $ where $\text{Close}_{t}$ represents the latest closing price, and $\text{ts\_max}(\text{Close}, 250)$ 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 pullback [11][19][27] - The model is evaluated positively for its ability to track market trends and identify leading stocks that are consistently reaching new highs. It is inspired by methodologies from notable researchers and practitioners such as George (2004), William O'Neil, and Mark Minervini, who emphasize the importance of monitoring stocks near their 52-week highs [11][18][19] - The report also introduces a screening method for "stable new high stocks," focusing on stocks with smooth price paths and consistent momentum. The screening criteria include 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 trend continuation (average 250-day new high distance over the past 120 days and past five days). Stocks meeting these criteria are ranked, and the top 50% are selected [25][27][28] - The backtesting results show that 1080 stocks reached 250-day new highs in the past 20 trading days. Among them, the highest numbers are in the basic chemicals, machinery, and electric power equipment & new energy sectors. The highest proportions are in coal, steel, and non-ferrous metals sectors. Additionally, 39 stocks were identified as "stable new high stocks," with the majority belonging to cyclical and manufacturing sectors [19][20][28] - Key metrics for indices include the 250-day new high distance for major indices as of November 14, 2025: Shanghai Composite Index (0.97%), Shenzhen Component Index (3.71%), CSI 300 (2.52%), CSI 500 (4.15%), CSI 1000 (1.90%), CSI 2000 (0.66%), ChiNext Index (6.40%), and STAR 50 Index (11.56%) [12][13][32] - Key metrics for industries include the 250-day new high distance for sectors such as textiles & apparel (0.00%), light manufacturing (0.08%), comprehensive (0.06%), transportation (0.14%), and steel (0.36%) [13][15][32] - Key metrics for concepts include the 250-day new high distance for HJT batteries, home furnishings, forestry, equal-weight micro-cap stocks, energy storage, oil & gas, and lithium mining concepts, which are relatively close to their 250-day highs [15][17][32]

证券研究报告 | 2025年10月24日 **Acknowledgement** **The authors thank the anonymous referee for the help and comments on the manuscript.** 乘势而起：市场新高趋势追踪：截至 2025 年 10 月 24 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 0.00%、3.18%、1.04%、3.85%、2.99%、 3.14%、2.77%、4.99%。中信一级行业指数中通信、石油石化、电力及 公用事业、建筑、电子行业指数距离 250 日新高较近，食品饮料、综合 金融、银行、消费者服务、医药行业指数距离 250 日新高较远。概念指 数中，万得微盘股日频等权、林木、锂矿、电力公用事业、石油天然气、 煤炭、万得全 A 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 24 日，共 1123 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 ...

证券研究报告 | 2025年10月24日 **Acknowledgement** **The authors thank the anonymous referee for the help and comments on the manuscript.** 乘势而起：市场新高趋势追踪：截至 2025 年 10 月 24 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 0.00%、3.18%、1.04%、3.85%、2.99%、 3.14%、2.77%、4.99%。中信一级行业指数中通信、石油石化、电力及 公用事业、建筑、电子行业指数距离 250 日新高较近，食品饮料、综合 金融、银行、消费者服务、医药行业指数距离 250 日新高较远。概念指 数中，万得微盘股日频等权、林木、锂矿、电力公用事业、石油天然气、 煤炭、万得全 A 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 24 日，共 1123 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 ...

Quantitative Models and Construction Methods Model 1: 250-Day New High Distance Model - **Model Name**: 250-Day New High Distance Model - **Model Construction Idea**: This 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, which can be indicative of market trends and hotspots[11] - **Model Construction Process**: - Calculate the 250-day new high distance using the formula: $$ \text{250-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $$ where $\text{Close}_{t}$ is the latest closing price and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - If the latest closing price is a new high, the distance is 0; otherwise, it is a positive value indicating the percentage drop from the new high[11] - **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] Model 2: Stable New High Stock Tracking Model - **Model Name**: Stable New High Stock Tracking Model - **Model Construction Idea**: This model selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - **Model Construction Process**: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific criteria include: - 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 path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - **Model Evaluation**: This model is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Model Backtest Results 250-Day New High Distance Model - **Shanghai Composite Index**: 2.39%[12] - **Shenzhen Component Index**: 7.55%[12] - **CSI 300 Index**: 4.15%[12] - **CSI 500 Index**: 7.06%[12] - **CSI 1000 Index**: 6.05%[12] - **CSI 2000 Index**: 6.64%[12] - **ChiNext Index**: 10.01%[12] - **STAR 50 Index**: 11.43%[12] Stable New High Stock Tracking Model - **Number of Selected Stocks**: 27[27] - **Top Sectors**: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - **Top Industries in Cyclical Sector**: Non-ferrous Metals[27] - **Top Industries in Manufacturing Sector**: Machinery[27] Quantitative Factors and Construction Methods Factor 1: 250-Day New High Distance Factor - **Factor Name**: 250-Day New High Distance Factor - **Factor Construction Idea**: This factor measures 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] - **Factor Construction Process**: - Calculate the 250-day new high distance using the formula: $$ \text{250-Day New High Distance} = 1 - \frac{\text{Close}_{t}}{\text{ts\_max(Close, 250)}} $$ where $\text{Close}_{t}$ is the latest closing price and $\text{ts\_max(Close, 250)}$ is the maximum closing price over the past 250 trading days[11] - **Factor Evaluation**: This factor is effective in identifying stocks that are leading the market and can be used to track market trends and hotspots[11] Factor 2: Stable New High Factor - **Factor Name**: Stable New High Factor - **Factor Construction Idea**: This factor selects stocks that have recently reached new highs and exhibit stable price paths, which are less likely to be influenced by extreme short-term movements[24] - **Factor Construction Process**: - Select stocks that have reached a 250-day new high in the past 20 trading days[19] - Filter stocks based on analyst attention, relative strength, price path stability, and new high continuity[26] - Specific criteria include: - 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 path stability: Evaluate using the sum of absolute daily returns over the past 120 days - New high continuity: Average 250-day new high distance over the past 120 days - Trend continuation: Average 250-day new high distance over the past 5 days[26] - **Factor Evaluation**: This factor is useful for identifying stocks with strong and stable upward trends, which are less likely to be influenced by short-term volatility[24] Factor Backtest Results 250-Day New High Distance Factor - **Shanghai Composite Index**: 2.39%[12] - **Shenzhen Component Index**: 7.55%[12] - **CSI 300 Index**: 4.15%[12] - **CSI 500 Index**: 7.06%[12] - **CSI 1000 Index**: 6.05%[12] - **CSI 2000 Index**: 6.64%[12] - **ChiNext Index**: 10.01%[12] - **STAR 50 Index**: 11.43%[12] Stable New High Factor - **Number of Selected Stocks**: 27[27] - **Top Sectors**: Cyclical (14 stocks), Manufacturing (8 stocks)[27] - **Top Industries in Cyclical Sector**: Non-ferrous Metals[27] - **Top Industries in Manufacturing Sector**: Machinery[27]

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 October 17, 2025, the distance to the 250-day new highs for major indices are: Shanghai Composite Index at 2.39%, Shenzhen Component Index at 7.55%, CSI 300 at 4.15%, CSI 500 at 7.06%, CSI 1000 at 6.05%, CSI 2000 at 6.64%, ChiNext Index at 10.01%, and STAR Market 50 Index at 11.43% [5][26] - Among the CITIC primary industry indices, sectors such as Power and Utilities, Nonferrous Metals, Steel, Coal, and Electric Equipment & New Energy are closest to their 250-day new highs, while Food & Beverage, Consumer Services, Comprehensive Finance, Banking, and Oil & Petrochemicals are further away [9][26] Group 2: High-Performing Stocks - A total of 1,233 stocks reached 250-day new highs in the past 20 trading days, with the highest numbers in the Electronics, Machinery, and Basic Chemicals sectors [2][14] - The highest proportion of new high stocks is found in Nonferrous Metals, Electronics, and Steel industries, with respective proportions of 59.68%, 41.20%, and 39.62% [14][26] - The Technology and Manufacturing sectors had the most stocks reaching new highs this week, with respective counts of 406 and 364 [16][26] Group 3: Stable High-Performing Stocks - The report identifies 27 stable high-performing stocks, including companies like Shannon Chip Creation, Oriental Tower, and Nuway Shares, based on analyst attention, relative strength, price path stability, and continuity of new highs [3][21] - The highest number of stable high stocks comes from the Cyclical and Manufacturing sectors, with 14 and 8 stocks respectively, particularly in Nonferrous Metals and Machinery [21][26]

Group 1 - The report tracks stocks, industries, and sectors reaching new highs, indicating market trends and hotspots [1][4] - As of October 10, 2025, the distance to the 250-day new high for major indices is as follows: Shanghai Composite Index 0.94%, Shenzhen Component Index 2.70%, CSI 300 1.97%, CSI 500 2.00%, CSI 1000 1.49%, CSI 2000 2.61%, ChiNext Index 4.55%, and STAR Market 5.61% [5][23] - Among the CITIC primary industry indices, power and utilities, steel, building materials, non-ferrous metals, and basic chemicals are closest to their 250-day new highs, while food and beverage, banking, consumer services, comprehensive finance, and transportation are further away [8][23] Group 2 - A total of 1,235 stocks reached a 250-day new high in the past 20 trading days, with the most in the electronics, machinery, and basic chemicals sectors [2][13] - The highest proportion of new high stocks is found in non-ferrous metals, electronics, and electric equipment and new energy sectors, with respective proportions of 54.03%, 39.75%, and 35.05% [13][15] - The technology and manufacturing sectors had the most new high stocks this week, with 403 and 363 stocks respectively [15] Group 3 - The report identifies 50 stable new high stocks based on analyst attention, relative strength, trend continuity, price path stability, and new high sustainability [3][24] - The cyclical and technology sectors had the most stable new high stocks, with 18 and 17 stocks respectively, with basic chemicals leading in the cyclical sector and electronics in the technology sector [19][24]

- The report introduces a quantitative model named "250-day new high distance" to track market trends and identify hot sectors. The model is based on momentum and trend-following strategies, which have been proven effective in previous studies. The calculation formula is: $ 250\text{-day new high distance} = 1 - \frac{\text{Closet}}{\text{ts\_max(Close, 250)}} $ where Closet 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 is a positive value indicating the degree of pullback[11][19][23] - The model evaluates the relative proximity of major indices to their 250-day highs. As of September 26, 2025, the distances for indices such as the Shanghai Composite Index, Shenzhen Component Index, CSI 300, CSI 500, CSI 1000, CSI 2000, ChiNext Index, and STAR 50 Index are 1.43%, 1.76%, 0.95%, 1.37%, 2.08%, 3.67%, 2.60%, and 1.60%, respectively[12][13][32] - The report also tracks the proximity of industry indices to their 250-day highs. Industries such as power equipment & new energy, non-ferrous metals, electronics, media, and machinery are closer to their 250-day highs, with distances of 1.69%, 0.82%, 2.65%, 2.74%, and 2.09%, respectively[13][15][32] - A separate analysis focuses on concept indices, including power generation equipment, gold, wind power, solar power, and energy storage, which are relatively close to their 250-day highs[15][17][32] - The report identifies 1233 stocks that reached 250-day highs in the past 20 trading days. The sectors with the highest number of such stocks are electronics (182 stocks), machinery (178 stocks), and basic chemicals (137 stocks). The sectors with the highest proportion of stocks reaching new highs are non-ferrous metals (54.84%), electronics (37.45%), and power equipment & new energy (31.09%)[19][20][33] - The report introduces a screening method for "stable new high stocks" based on factors such as analyst attention, relative stock strength, price path smoothness, and trend sustainability. Stocks are selected based on metrics like the absolute value of 120-day price changes, cumulative absolute daily price changes over 120 days, and the average 250-day new high distance over the past 120 days[23][26][33] - Using the above screening criteria, 50 stable new high stocks were identified, including companies like New Yisheng, Giant Network, and Lead Intelligent. The technology sector contributed 20 stocks, with electronics being the most represented industry. The manufacturing sector contributed 13 stocks, with machinery being the most represented industry[27][33][31]

- 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]