ninjatrader/strategies/internal-bar-strength-band/README.md

# Internal Bar Strength Band

This strategy is based on the [Internal Bar Strength (IBS) indicator](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/internal-bar-strength) and the rules were taken from Quantitativo's [Quant Trading Rules blog](https://www.quantitativo.com/p/a-mean-reversion-strategy-with-211).

Refer also to the related [Internal Bar Strength strategy](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/internal-bar-strength).

## Rules

1. Calculate the rolling mean of the High - Low over the past 25 days.
2. Calculate the Internal Bar Strength (IBS): (Close - Low) / (High - Low).
3. Calculate a lower band defined as the rolling High over the past 10 days minus 2.5x the calculation from #1.
4. The asset (e.g., SPY) must be above its 200-day moving average.
5. When the asset closes under the lower band from #3 and the IBS is < 0.3, enter a long trade.
6. Exit the trade when the close is higher than the previous day's high.

## Parameters

**Lower Band Multiplier**: The multiplier to use when calculating the lower band below which trades can be entered. (Default: 2.5)

**IBS Entry Threshold**: The IBS value below which a long trade can be entered. (Default: 0.3)

**Rolling High Period**: The period used when calculating the rolling high. (Default: 10)

**High Minus Low Period**: The period to use when calculating the rolling mean of the High - Low. (Default: 25)

**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/internal-bar-strength-band/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/internal-bar-strength-band/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/internal-bar-strength-band/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/internal-bar-strength-band/qqq-summary.png)

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