No. of Recommendations: 4
But this mentions "session" high, which would normally mean a single day's trading session?
It's coming from an AI, which is likely responding to what most of its inquiries are -- short term. Other hits on my googling steered me to long treatises on "Average True Range", which focuses on "typically 14 days".
I take "session" to mean the period of interest, which for this strategy is 52 weeks.
FWIW, I thought that "current/(hi + lo)" (or "current/((hi + lo)/2)") would have the same rankings as "(current - lo)/ (hi - lo)"*, because they both are measuring where the current price sits in the 52 week range.
But...the rankings are not the same.
using the midpoint of high and low is that "off low" works best when the market is rebounding from a sharp selloff, and "off high" works most of the rest of the time,
Seeing as the average CAGR is around 22% (assuming the GTR1 backtests are right) you don't need to care about "gains coming off low". You don't need to capture them. All you need is some simple timing scheme to help you avoid the worst of the big drawdowns. Control your risk and the gains will take care of themselves.
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* Which is what popped up when googling "calculate current price in hi low range".
