How to normalize percentage difference across all time frames?

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dino2007
11
dino2007  

How to calculate an uniform value of change between e.g. OPEN - CLOSE && OPEN - HIGH && LOW - CLOSE across all timeframes.

For example, percentage difference between OPEN and CLOSE will be higher on 1H data then on 5M data.

How to normalize percentage difference across all time frames?

Fernando Carreiro
4315
Fernando Carreiro  

dino2007: How to calculate an uniform value of change between e.g. OPEN - CLOSE && OPEN - HIGH && LOW - CLOSE across all timeframes

For example, percentage difference between OPEN and CLOSE will be higher on 1H data then on 5M data.

How to normalize percentage difference across all time frames?

There are probably many ways to go about it, but you could use the Average True Range (ATR) to normalise the price change across time-frames

  • eg. ( Open - Close ) / ATR, ( Open - High ) / ATR, ( Low - Close ) / ATR
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