Last Updated on June 19, 2022 by Quantified Trading
The failed bounce trading strategy: Rob Hanna at Quantifiable Edges had an interesting article some days ago about bounces in the S&P 500. Let’s test his idea and turn it into a testable hypothesis:
The failed bounce trading strategy:
I made some changes to Hanna’s strategy and ended up with these simple rules for the failed bounce trading strategy:
- Yesterday’s 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 the close is higher than yesterday’s high.
The result is like this with 200 shares of SPY traded and 100 000 in initial start capital :
The equity chart looks like this for the failed bounce trading system (not good from 2018):
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