A Failed Bounce Is Normally Followed By Rising Prices

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:

  1. Yesterday IBS (Internal Bar Strength) was at least 0.6 or higher.
  2. Yesterday’s low was lower than the lowest low during the five days before.
  3. Today’s close is lower than yesterday’s close.
  4. 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) ;
buyPrice= C;
Sell= C>Ref(H,-1) ;
sellPrice= C ;

The result is like this with 200 shares of SPY traded and 100 000 initial capital :

The equity chart looks like this (not good from 2018):