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Internal Bar Strength – Mean Reversion Trading AFL code

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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.

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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.

Cumulative IBS

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 Close

Go 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)

Backtest results

Equity Curve
Equity Curve

Underwater Equity
Underwater Equity

Profit Table
Profit Table

Related Readings and Observations

About Rajandran

Rajandran is a Full time trader and founder of Marketcalls & Co-Founder of Traderscafe, trades mostly using discretionary Trading Concepts like Market Profile, Trading sentimental analysis, building timing models, algorithmic trading models. Instructs professional traders, full time traders & aspiring full time traders. Rajandran attended college in the Chennai where he earned a BE in Electronics and Communications. Rajandran has a broad understanding of trading softwares like Amibroker, Ninjatrader, Esignal, Metastock, Motivewave, Market Analyst(Optuma),Metatrader,Tradingivew,Python and understands individual needs of traders and investors utilizing a wide range of methodologies.

Comments

  1. Vaibhav says

    Hi Rajandran ,

    Thanks for sharing this system.

    Could you please share a screenshot of BackTest Settings as well ?

    Thanks!

    Reply

  2. Vaibhav says

    Also, if it is not too much to ask, could you please point to a guiding document of BackTest settings.

    Thanks Again.

    Reply

  3. vibhu goel says

    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 ??

    Reply

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