ninjatrader/strategies/ibs-rsi/README.md

1.6 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:

IBS + RSI Rules

Rules

  1. The asset's (e.g., SPY) IBS must be < 0.25.
  2. If the 21-period RSI is < 45, enter a long trade.
  3. 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

SPY Analysis

SPY Summary

QQQ

QQQ Analysis

QQQ Summary

DIA

DIA Analysis

DIA Summary

IWM

IWM Analysis

IWM Summary