Percent Rank

TL;DR. The percentage of the previous n values that the current value is at or above. 100 means it is at least as high as every one of them; 0 means it is lower than all of them; 50 sits in the middle. Always between 0 and 100, whatever the price.

#What it measures

• Rank, not distance. Percent Rank counts how many past values the current one beats. A value far above the rest and one barely above them both read 100.
• Unaffected by outliers. One huge bar in the window moves a mean and a standard deviation; it moves a rank by one place at most.
• The building block of Connors RSI. Connors RSI ranks the day's return among the last 100 returns; this node ranks any value you feed it.

#Formula

#Inputs in AlgoLift

#Recommended periods

• 20 (fast): Where the bar stands within roughly the last day or session.
• 100 (default): A broad reference window.
• 250 to 500 (slow): Rank against a long history. A value of 100 here is a new extended high.

#Outputs in AlgoLift

#How to read it

• 100: the value is at least the highest of the last n. With a long period this is a breakout to a new high.
• 0: below every one of the last n, a new low for the window.
• Above 80 or below 20: the top or bottom fifth of the window, the usual stretched readings.
• Steps in whole fractions: with a period of 5 the only possible readings are 0, 20, 40, 60, 80 and 100. Short periods give coarse lines.

#Best in, worst in

Best in filters and regime tests where only the order matters: "is this the highest close of the last 100 bars", "is volatility in its top tenth".

Worst in fine timing. The line moves in steps and pins at 0 or 100 during a trend, so it rarely gives an exact entry bar by itself.

#Three setups

#1. Pullback inside an uptrend

With price above its 200-bar average, enter long when the Percent Rank of the close over 20 bars drops below 10 (a Comparison node), and exit when it climbs back above 50.

#2. New-high breakout

Feed the close with a period of 250 and enter on a Crossover of Percent Rank above 99.5: the close has reached its highest level in about a year of bars.

#3. Volatility regime switch

This node ranks a price source. To rank another line, such as the ATR, put the Percentile Rank Modifier on it instead; then run a breakout rule only when the ATR's rank is above 70 and a fade rule only below 30, with this node's rank of the close as the entry trigger.

#Common mistakes

• Expecting a smooth line. A short period makes a staircase. Use 20 or more where the steps matter.
• Reading 100 as "too high". In a trend the rank pins at 100 for many bars; that is strength, not exhaustion.
• Tuning the threshold to the last decimal. With a period of 20 the line can only take 21 values, so a threshold of 14 and one of 11 are the same rule (overfitting in trading).