ninjatrader/strategies/internal-bar-strength-band

Internal Bar Strength Band

This strategy is based on the Internal Bar Strength (IBS) indicator and the rules were taken from Quantitativo's Quant Trading Rules blog.

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.

Parameters

Lower Band Multiplier: The multiplier to use when calculating the lower band below which trades can be entered. (Default: 2.5)

IBS Entry Threshold: The IBS value below which a long trade can be entered. (Default: 0.3)

Rolling High Period: The period used when calculating the rolling high. (Default: 10)

High Minus Low Period: The period to use when calculating the rolling mean of the High - Low. (Default: 25)

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)

Backtest Results

SPY

QQQ

---