According to Toby Crabel:
2NR is the narrowest range from high to low of any 2-day period relative to any 2-day period within previous 20 days
3NR is the narrowest range from high to low of any 3-day period relative to any 3-day period within previous 20 days
4NR is the narrowest range from high to low of any 4-day period relative to any 4-day period within previous 40 days
8NR is the narrowest range from high to low of any 8-day period relative to any 8-day period within previous 40 days
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