IBS Mean Reversion System
Here is a simple mean reversion system adapted from IBS reversion edge with QuantShare. And our IBS mean reversion strategy is a slight variation of the Internal Bar Strength by taking a three day moving average to IBS (maIBS) and looking for IBS crossovers to derive the trading conditions.
[wp_ad_camp_5]
Internal Bar strength is calculated using a simple formula,
IBS = (close-low)/(High-Low)
IBS takes values between 0 and 1 and simply indicates at which point along the day’s range the closing price is located.
Buy and Sell Rules
Adapted timeframe : Daily
Holding Period : 1 day.
Go Long : If maIBS crosses below 0.3 and buy next day open
Long Exit : Exit the Same day at CloseGo Short : If maIBS crosses above 0.75 and buy next day open
Short Exit : Exit the Same day at Close
Amibroker AFL code
Download IBS AFL code
Backtest Results
For those who are interested here are the backtested results.
Bactesting Period : May 2007 – April 2014
Commisions – Rs200 per trade included for 2 lots of Nifty (includes both buy and sell transaction)
Equity Curve
Underwater Equity
Profit Table
Hi Rajandran ,
Thanks for sharing this system.
Could you please share a screenshot of BackTest Settings as well ?
Thanks!
Also, if it is not too much to ask, could you please point to a guiding document of BackTest settings.
Thanks Again.
Dear Rajendran,
its my great pleasure to talking with genious guy like you ,, i have beeen searching some reversal Afl in intraday in commodity ..
commodity move is highly volatile
Could you suggest some AFL for intraday perspective ??