Rob Hanna at Quantifiable Edges had an interesting article some days ago about bounces in S&P 500.
I made some changes to his strategy an ended up with these simple rules:
- Yesterday IBS (Internal Bar Strength) was at least 0.6 or higher.
- Yesterday’s low was lower than the lowest low during the five days before.
- Today’s close is lower than yesterday’s close.
- Exit when close is higher than yesterday’s high.
In Amibroker it’s like this:
Buy= ref(ibs,-1)>0.6 AND Ref(L,-1)<Ref(LLV(L,5),-2) AND C<Ref(C,-1) ;
Sell= C>Ref(H,-1) ;
sellPrice= C ;
The result is like this with 200 shares of SPY traded and 100 000 initial capital :