PercentRank — Percent Rank

What fraction of the last N values the current one exceeds, 0–100. Distribution-free: it makes no assumption about normality, which is what makes it a better “unusually high” test than a z-score on anything with fat tails.

Signature

PercentRank(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Comparison window. Default 50, bounds 2–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{PercentRank} = 100,\frac{#{x_i < x_t,\ i < t}}{n - 1} $$

Warmup

period bars to a full window; before that it ranks against the bars available.

Reading the value

pr.value
pr > 95

Example

class RankBreakout(Strategy):
    """Enter when the close ranks in the top 5% of its recent history."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        pr = PercentRank(50, on=self.trade)
        if pr.value > 95 and self.trade.is_flat:
            self.buy(self.trade, reason=f"Rank {pr.value:.0f}")
        if pr.value < 50 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Rank faded")

Variants

PercentRank(100, on=atr)     # is today's volatility unusual?

Notes

• Counts strictly-less-than, so a repeated value does not inflate the rank.
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side count exactly on every bar; zero alarm trades).
• Useful on any single-value indicator, not just price — that is where it earns its place.