Full formal term is 高密度脂蛋白胆固醇 (gāomìdù zhīdànbái dǎngùchún, HDL-C). The shortened 高密度胆固醇 is standard in patient-facing medical speech and blood-test reports. Contrasts with 低密度胆固醇 (LDL, the 'bad' cholesterol).
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Parse as 高密度 ('high density') + 胆固醇 ('cholesterol'). The middle character 胆 means 'gallbladder' — early chemists isolated the substance from gallstones, so the Chinese name literally reads 'gallbladder-solid-alcohol'.