1.9 KiB
1.9 KiB
IBS + RSI
This is a mean reversion strategy based on the IBS (Internal Bar Strength) and RSI (Relative Strength Index) indicators.
The strategy was inspired by the following:
Rules
- The asset's (e.g., SPY) IBS must be < 0.25.
- If the 21-period RSI is < 45, enter a long trade.
- Exit the trade when the current day's close is higher than the previous day's close.
Parameters
RSI Period: The period used in the RSI calculation. (Default: 21)
IBS Threshold: The IBS value below which a long trade can be entered. (Default: 0.25)
RSI Threshold: The RSI value below which a long trade can be entered. (Default: 45.0)
Backtest Results
SPY
QQQ
DIA
IWM
Sector ETFs
This backtest is an aggregation of the results of the following sector ETFs:
XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
