Correcting a Rolling-High Filter That Includes the Current Close

Summary

The document addresses a screening condition that combines a stock closing above a rolling maximum with a recent limit-up requirement. The questioner reports that the combined filters return no candidates even though individual conditions seem to identify qualifying stocks. The response points to a boundary issue: the rolling maximum includes the current day, so a strict greater-than comparison against that maximum can reject the very observation being tested.

The proposed correction changes the comparison to greater than or equal to the rolling maximum. This is a compact example of how window definitions and inclusive versus strict comparisons can affect factor screens, especially when filters are combined. The explanation is brief and offers no dataset, worked example, or validation results. It also leaves the rolling window’s exact length and the limit-up status encoding unspecified, so users should verify those definitions in their own platform and ensure that the intended prior-period high is represented correctly.

Key ideas

• A rolling maximum may include the current observation, affecting a breakout condition.
• A strict greater-than comparison can fail when the current close is itself the maximum.
• The suggested adjustment uses an inclusive comparison to retain ties at the rolling high.
• Combined filters can behave differently from testing each condition separately.
• The note gives no empirical validation, so window and status definitions should be checked.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.