S&P 500 Mean Reversion Using IBS and RSI (Amibroker And Tradestation Code)

The strategy in plain English:

1. IBS (internal bar strength) must be lower than 0.25 (using daily bars).
2. RSI (21) must be below 45.
3. If 1 and 2 are fulfilled, go long at the close.
4. Exit when close is higher than yesterday’s close.

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Amibroker code:

ibs=(close-low)/(high-low);

buy=ibs<0.25 and rsi(21)<45;

buyprice= close;

sell=close>ref(high,-1);

sellprice=Close;

Tradestation code:

{
S&P 500 Mean Reversion Using IBS and RSI (Strategy 63)
IBS (internal bar strength) must be lower than 0.25 (using daily bars).
RSI (21) must be below 45.
If 1 and 2 are fulfilled, go long at the close.
Exit when close is higher than yesterday’s close.
}

Inputs:
    IbsTreshold(0.25),
	RsiLookback(21),
	RsiTreshold(45);

Vars:
	Ibs(0);

Ibs = (Close - Low) / (High - Low);
	
if RSI(Close, RsiLookback) < RsiTreshold and Ibs < IbsTreshold Then
	Buy this bar on close;
	
if Barssinceentry(0) >= 1 and Close > High[1] Then
	Sell this bar on close;

Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.