The internal Bar Strength Indicator On The S&P 500 (Amibroker And Tradestation Code)

The strategy in plain English:

The Internal Bar Strength is an effective indicator in mean-revertive assets, like stock indices, for example. We test the following:

1. Calculate the IBS each day: (close-low)/(high-low).
2. If the close has an IBS reading below 0.2, go long at the close.
3. Sell at the close when the IBS ends higher than 0.8.

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Amibroker code:

IBS: (Close-Low)/(High-Low) ;

Buy= IBS<0.2 ;

buyPrice=C ; //buy on the close

Sell= IBS>0.8 ;

sellPrice=C ; //sell on the close

Tradestation code:

{
The internal Bar Strength Indicator On The S&P 500 (Strategy 71)
Calculate the IBS each day: (close-low)/(high-low).
If the close has an IBS reading below 0.2, go long at the close.
Sell at the close when the IBS ends higher than 0.8.
}

Inputs:
	IbsBuyTreshold(0.2),
	IbsSellTreshold(0.8);
	
Vars:
	ibs(0);

ibs=(C-L)/(H-L);

if ibs < IbsBuyTreshold Then
	buy this bar at close;

if ibs > IbsSellTreshold then 
	Sell this bar at 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.