40 lines
1.8 KiB
Markdown
40 lines
1.8 KiB
Markdown
# Internal Bar Strength Band
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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).
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## Rules
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1. Calculate the rolling mean of the High - Low over the past 25 days.
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2. Calculate the Internal Bar Strength (IBS): (Close - Low) / (High - Low).
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3. Calculate a lower band defined as the rolling High over the past 10 days minus 2.5x the calculation from #1.
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4. The asset (e.g., SPY) must be above its 200-day moving average.
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5. When the asset closes under the lower band from #3 and the IBS is < 0.3, enter a long trade.
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6. Exit the trade when the close is higher than the previous day's high.
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## Parameters
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**Lower Band Multiplier**: The multiplier to use when calculating the lower band below which trades can be entered. (Default: 2.5)
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**IBS Entry Threshold**: The IBS value below which a long trade can be entered. (Default: 0.3)
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**Rolling High Period**: The period used when calculating the rolling high. (Default: 10)
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**High Minus Low Period**: The period to use when calculating the rolling mean of the High - Low. (Default: 25)
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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## Backtest Results
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### SPY
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### QQQ
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