Defining a Historical-High Breakout Factor in Chinese Stocks

Summary

This BigQuant forum post discusses how to define a factor for stocks closing above their historical maximum high. The example query groups earlier price records by instrument and name to calculate a prior high, then compares a later close with that value. The query filters out suspended securities and one listing sector, and the thread also suggests a rolling ten-day high condition as a simpler, shorter-horizon breakout definition.

The post is framed around an error involving comparisons with null values, but it does not provide a confirmed diagnosis or corrected query. It therefore offers a breakout-factor concept and a sketch of the data logic, rather than a complete implementation. It gives no backtest or trading results, and the query's date filtering and treatment of missing observations would need careful validation before using the factor. A historical-high signal by itself also says nothing about execution, risk limits, or whether breakouts persist.

Key ideas

• A historical-high breakout factor can compare a current closing price with the maximum high from earlier observations.
• The example query excludes suspended stocks and a specified listing sector when computing prior highs.
• A rolling ten-day maximum is offered as a simpler alternative breakout condition.
• The reported null comparison error is not diagnosed or resolved in the thread.
• The post provides no evidence that either breakout definition is profitable.

Tags

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