57 lines
1.9 KiB
Markdown
57 lines
1.9 KiB
Markdown
# IBS + RSI
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This is a mean reversion strategy based on the [IBS (Internal Bar Strength)](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/indicators/internal-bar-strength) and RSI (Relative Strength Index) indicators.
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The strategy was inspired by the following:
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[](https://x.com/QuantifiedStrat/status/1708949863084535856)
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## Rules
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1. The asset's (e.g., SPY) IBS must be < 0.25.
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2. If the 21-period RSI is < 45, enter a long trade.
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3. Exit the trade when the current day's close is higher than the previous day's close.
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## Parameters
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**RSI Period**: The period used in the RSI calculation. (Default: 21)
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**IBS Threshold**: The IBS value below which a long trade can be entered. (Default: 0.25)
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**RSI Threshold**: The RSI value below which a long trade can be entered. (Default: 45.0)
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## Backtest Results
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### SPY
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### QQQ
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### DIA
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### IWM
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### Sector ETFs
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This backtest is an aggregation of the results of the following sector ETFs:
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XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
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