Internal Bar Strength | IBS Indicator & Mean Reversion Strategy
No better than luck
Small profit, too noisy to call an edge
- trades tested
- 270
- per trade after costs
- +19.17bp
- winners
- 67%
- years of data
- 12.3
Daily long-only mean reversion on US index ETFs using Internal Bar Strength = (close - low) / (high - low). Buy with a market order the next day when IBS is below 0.2, exit when IBS is above 0.9; no stop loss, no target.
The exact rules we tested
- 01Instrument: US30 | Signal timeframe: 1d | Direction: long
- 02LONG when: ibs < 0.2
- 03Entry: market at next bar open
- 04Stop: none (as taught - the trade closes only on its exit rule)
- 05Exit signal: ibs > 0.9
- 06Where cl = close minus low
- 07Where hl = high minus low
- 08Where ibs = cl divided by hl