How to classify dropdown field values?

In Deals we have the stage dropdown where every value can be classified in "open", "closed won", .. etc.

How can we have that for custom modules?

Long version for context:
We have different stages for a custom module like "new record", "testing", "setup call", .. etc.. Some of these stages are considered as "open", some as "in progress", some as "closed". We want to see how many "open" or "in progress" records are assigned to someone. In order to achieve that, we have two different fields that are synced with a workflow rule. That is really cumbersome.

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