Crazy IBS

2022年6月22日

This is a mean reversion strategy using the IBS indicator, which calculates ratios of h/l/c/o. It does well particularly on NQ and VXX, but try it on other things! It tends to outperform other R2M strategies like RSI and BB mean reversion, at least in early 2022.

2022年7月17日

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Added support for trading session limitations (i.e. time/day)

2022年7月25日

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Added a kind of longitudinal stop, or a "trade better work within the next hour, or I'm cutting bait" option. You need to leave a lot of rope for r2m algorithms like this, but it can help to hit a stop, or at least call out to the operator that there's trouble happening.

2022年8月2日

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Added take-profit support. It isn't as effective as with trend followers, but it can still make a 10% difference to returns and avoid turning wins to losses.

2022年8月24日

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Added support for ADX-based filter and separate ADX-based early exit.

2022年8月31日

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Switched ADX filter from "inverse" back to regular ... sorry about that, that was silly.
Also added a SECOND ADX filter! This one is for longer time periods, ie longer DI length, to skip bad trades if a trend reversal is happening and it's going to go bad.