Would like the option to use not just the previous day's /week's close but also previous day's/week's highs and lows anywhere from today up to say 5 days prior (full trading week)

The more the merrier. Right? And by the very nature of back testing you never know exactly what you need until you back tested it. To answer your question I'd love 1 year of a 1- day range but spx dailies is even better!

Hey Manish (and others), I am curious how far back you are looking at in terms of range. Like previous trading day's close? You mentioned weeks as well? Or would it be anywhere from today, up to say 4 days prior (full trading week)?

Just trying to get a better feel for what a design could look like in terms of specifying the range (a bigger range could get more complex, as you would have to specify the start/end date offset via something like T-minus _n_ number of trading days plus the time).