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Recruitment of participants IBS Trading Strategy

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 55: IBS Trading Strategy

    The strategy is based on the IBS indicator.

    Performance metrics (S&P 500):
    • No. of trades: 614
    • Average unleveraged gain per trade: 0.55% (1.36% for winners – minus 1.51% for losing trades)
    • Win ratio: 72%
    • Profit factor: 2.2
    • CAGR: 11.2% (assuming no leverage and no dividends – 1.5% better than Buy & Hold)
    • Exposure/time in the market: 25%
    • Risk-adjusted return: 44% (CAGR divided by time spent in the market (0.25))
    • Max. drawdown: -18% (Buy & Hold 55%)
    The equity curve (log scale):

    [​IMG]
     
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