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Trading Indicator Rank

by QuantShare, 2664 days ago
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The Trading Indicator Rank function calculates the rank of a given trading indicator or time series compared to its previous values. The number of previous values is determined by the lookback period parameter of the function.
Trading Indicator Rank values vary between 1 and the provided period, where a number of one means that the current value is higher than all past values (within the lookback period) and a returned value of X = period, means that the current indicator or time series value is the lowest among all past values.

Percentile - Percent Rank of a Trading Indicator is another trading object that performs almost the same calculation with the difference that it returns the percentile or percent rank instead of the rank.
If the current bar's value is the highest the latter will return 100, while the current trading indicator will return 1. If the current bar's value is the lowest the latter will return 0, while the current trading indicator will return N, where N is the lookback period specified as an argument.

Besides the lookback period, the trading indicator rank accepts a time series as the first argument. Example:
IndicatorRank(close, 20)
Return the rank of the close price over the preceding 20 bars.

IndicatorRank(perf(close, 10), 20) < 5
This trading rule returns 1 if the stock 10-Bar rate of return is among the top 5 highest compared to the previous 20 instances.

llv(IndicatorRank(close, 20) < 4, 5) == 1
The above trading rule returns 1 if the stock close price is among the three highest values (given the previous 20 values) for the last five consecutive bars.




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Type: Trading Indicator

Object ID: 612


Country:
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Market: All

Style:
Technical Analysis

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