Detecting Intraday Stock Rallies That Retrace Using Minute Bars

Summary

This document presents a rule for flagging Chinese stocks that rise sharply during the session and then give back a substantial portion of that move. Using minute closing prices, it tracks the running high, finds the lowest close before that high, and measures the subsequent lowest close against the peak. A day is marked when the post-peak decline exceeds half the prior rise. One stock-day example illustrates the calculation, including an early rally followed by a retreat.

The method is a simple price-path label intended for further factor construction, not a tested trading strategy. The article demonstrates it on one instrument and one date, with no universe-wide results, predictive analysis, transaction costs, or threshold sensitivity study. Although the opening definition refers to volume behavior, the implemented indicator does not incorporate volume; the author explicitly identifies this as a possible extension.

Key ideas

• The signal identifies an intraday rise followed by a retreat from the session peak.
• Minute closes are used to calculate the pre-peak low, running high, and post-peak low.
• A retreat exceeding half the preceding rise triggers the daily label.
• The example covers one stock on one day and does not establish predictive value.
• The calculation omits volume despite the volume-based description of the pattern.

Tags

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