Hello,
I like to rank 4 major US indices futures (ES,NQ,RTY,YM) by relative strength using % from open.

I would like to expand this ranking to include non Indice instruments.
Problem is that those other instruments could have much wider % swings, without really outperforming the indices: instrument can be choppy and zigzaging but still be % from open higher than strongly trending indice.
So % from open ranking is not a good comparison criteria.

What would you suggest as better ranking criteria to overcome this problem?

brakkar 

Hello, I like to rank 4 major US indices futures (ES,NQ,RTY,YM) by relative strength using % from open. I would like to expand this ranking to include non Indice instruments. Problem is that those other instruments could have much wider % swings, without really outperforming the indices: instrument can be choppy and zigzaging but still be % from open higher than strongly trending indice. So % from open ranking is not a good comparison criteria. What would you suggest as better ranking criteria to overcome this problem?

Percentage of ATR is one way to do what you're asking.

Current distance above/below some fixed-period moving averages might be another.

Tymbeline 

Current distance above/below some fixed-period moving averages might be another.

That wouldn't adjust for the different volatilities of the different instruments.

The more volatile instruments, in your case, would always be the furthest away from the average.

They need a way to 'normalize' the data's volatility, so that they can be fairly compared.

I mentioned using a factor of ATR.
Another would be to use the Std. Dev.
Etc.

userque 

Percentage of ATR is one way to do what you're asking.

I like the ATR concept. I was already doing something similar with volume.... might as well do it with ATR or just HL range.