CloseHL Percent Rank Oscillator

This function uses the percent rank and moving average indicators in addition to the close, high, and low series to generate an oscillator that is bounded between 0 and 100.

Here is how the calculation of this technical indicator is performed:
First, it calculates the close relatively to the high/low range
Then it applies to it a simple moving average
Finally, it takes the percent rank over N-previous bar to generate an oscillator

The percent rank indicator is available in the Quant-Share sharing server: Percentile - Percent Rank of a Trading Indicator. It takes a value and then normalizes it based on the historical distribution of the N-previous values.


Here is my interpretation of the CloseHL Percent Rank Oscillator based on some quantitative analysis I have performed:

Buy when the oscillator is lower than 50 and sell the position when it becomes higher than 50

Here are some other items based on the percent rank indicator:
Percent Rank Market Indicator (Market Indicator)
MSR Support-Resistance Trading Indicator (Trading Indicator)
Trading Rules based on the Relative Strength Index - RSI Indicator (List of Rules)

The function name is "CloseHLPR". The percent rank and moving average periods can be changed by modifying the "CloseHLPR" formula.

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