Recruitment of participants IBS Swing Trade in the S&P 500

Strategy 2: IBS Swing Trade in the S&P 500

The strategy uses the IBS indicator, but we made a small twist. We have the strategy with code for Amibroker, Tradestation, or Python.

The strategy was our monthly Trading Edge for October 2021.

Facts and figures (SPY):

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  • No. of trades: 583
  • Average gain per trade: 0.78% (1.6% for winners and -1.7% for losers)
  • Win ratio: 74%
  • Profit factor: 2.5
  • CAGR: 15.2%
  • Exposure/time in the market: 36%
  • Risk-adjusted return: 42% (CAGR divided by time spent in the market (0.36))
  • Max drawdown: -22%

The equity curve (log scale) in SPY: