Daily Price Distance Combining Intraday Range and Overnight Gaps

Summary

This indicator estimates how far price traveled across both the regular session and the overnight gap. It starts with twice the high-to-low range, subtracts the absolute open-to-close change, then adds the absolute difference between the current open and the previous close. The result is labeled daily price distance.

The calculation is a descriptive measure rather than a trading strategy: it has no entry, exit, or position-sizing rules, and the document provides no backtest or performance evidence. Its usefulness depends on the intended interpretation of “distance”; it combines an adjusted intraday range with the opening gap, but does not show that the measure predicts future returns or distinguishes directional movement from volatility.

Key ideas

• The measure uses the daily high, low, open, close, and prior close.
• It adjusts twice the intraday range by subtracting the absolute session change.
• It adds the absolute overnight gap between the current open and previous close.
• The document gives a formula but no evidence that the measure forecasts price movements.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.