This study examines the connection between the daily close and its close location on a relative basis using percentile rankings. Instead of identifying specific values, the strategy pinpoints days when the close falls within a certain range in the past 20 days (e.g., upper or lower 35 percent), and its closing bias is bearish or bullish. Stocks rarely reverse the first time these conditions are met, so the strategy enters only after a signal is triggered on four or five days within the 21-day lookback period (including the most recent day).

Testing shows the strategy’s core concepts are valid, but you’ll need to experiment with system parameters and exit rules to improve results.