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You are here: Home / Amibroker / Internal Bar Strength – Mean Reversion Trading AFL code

Internal Bar Strength – Mean Reversion Trading AFL code

April 23, 2014 by Rajandran 3 Comments

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.

 
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

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Filed Under: Amibroker Tagged With: AFL Code, Amibroker, IBS, Internal Bar Stength, Mean Reversion, Trading System

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

    May 11, 2014 at 7:15 pm

    Hi Rajandran ,

    Thanks for sharing this system.

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

    Thanks!

    Reply
  2. Vaibhav says

    May 11, 2014 at 7:16 pm

    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

    August 15, 2015 at 7:57 pm

    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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