Definition
#Measures the percentage price change from the start of the current rolling window to the latest price in that same window.
Formula & calculation
#((Current Price - Price at Start of Window) / Price at Start of Window) × 100Units & range
%. Can be positive or negative.
Interpretation
#Positive = price is up since the start of this window. Negative = price is down. Straightforward, but the number doesn't tell you whether the move is meaningful: a 0.5% return in a 0.1% volatility session is very different from a 0.5% return in a 3% session. Always read against the window's volatility.
Practical usage
#Always pair with volume or anomaly metrics. Elevated volume z-score with a flat return means the activity is being absorbed. Watch for a breakout or reversal. The setup you want: anomalous volume and price following through.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming large activity automatically implies a positive return.
Timeframe note
#This metric applies to rolling windows such as 5m, 15m, and 60m. The underlying definition stays the same; what changes is the time horizon used to measure it. Shorter windows react faster, while longer windows smooth noise and emphasize broader structure.
5m
Faster response to fresh changes in activity and short-horizon structure.
15m
Balanced view between responsiveness and persistence.
60m
Broader context that is slower but more stable.