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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
