Rescaled Range

Rescaled Range is an implementation of the fractal rescaled ranges developed by Harold Edwin Hurst and Benoit Mandlebrot.

Settings include:

• “Window Size” - the number of time periods in a window over which price changes are analyzed. This will generally correspond to your trading horizon and defaults to 15.
  
• “Number of Windows” - the number of “Window Size” intervals to average the rescaled range value over. By looking at a number of such periods, the study captures potential volatility that may have occurred in the recent past. This should be set long enough to capture the current trend (defaults to 63), but not so long to include volatility regimes no longer in play.
  

Each window in the average is offset by 1 time period from the the others - like a moving average.

This study plots two lines - “Rescaled Range High” which indicates overbought conditions when the price moves above it and “Rescaled Range Low” which indicates oversold conditions when the price moves below it.

This study builds upon the bridge range work of Joe Catanzaro (joecat808) and Caleb Sandfort (calebsandfort). Bridge ranges are used to position the rescaled range with respect to the closing price.

Note: Your time series must have (Window Size + Number of Windows) or more periods of data to complete this study. For example, using the defaults, your time series should have (15+63) = 78 periods or more of data.