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Add rules to Internal Bar Strength Band strategy documentation

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moshferatu 2024-11-16 06:39:45 -08:00
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strategies/internal-bar-strength-band/README.md
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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). 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).
## 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.
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