A Historical Distribution of Price Returns over a Fixed Lookback
Summary
This ProRealTime version 11 indicator builds a historical distribution of price changes by comparing each close with the price from a configurable number of bars earlier. It separates gains and losses, rounds percentage moves into buckets of 0.1 percentage points, and expresses each bucket’s count as a percentage of the observations. The output can be displayed as a histogram or a line chart, with axes scaled to the collected values and a marker showing where the latest comparison falls in the distribution.
The tool summarizes the frequency of past returns for the selected lookback and chart history; it does not itself define entries, exits, or a forecast. Its usefulness depends on the chosen lookback, available history, instrument, and sampling timeframe. The document supplies implementation details and the indicator’s intended display, but no empirical evaluation or evidence that the distribution predicts future returns. It is limited to ProRealTime version 11, and the described buckets summarize historical frequencies rather than the sequence or conditions that produced them.
Key ideas
- The indicator compares each close with the price from a chosen number of bars earlier.
- Positive and negative percentage changes are tallied in separate 0.1 percentage-point buckets.
- Bucket counts are shown as a percentage of all counted observations.
- The distribution can appear as a histogram or line chart, with the latest return marked.
- It describes historical frequencies and provides no tested forecast or trading rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.