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CloseHL Percent Rank Oscillator

by Brian Brown, 2913 days ago
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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

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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Type: Trading Indicator

Object ID: 1080


Country:
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Market: All

Style:
Technical Analysis

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