Strategy #0000000027 · Mean reversion and reversal
Internal Bar Strength mean reversion
Measure the close within the bar, then predefine reversal thresholds and next-period execution.
Internal Bar Strength places the close within the same bar’s high–low range. A low reading can define a short-term reversal signal. The source also describes cross-sectional ETF ranking; that is not the same rule as a single-stock time-series threshold.
IBS describes close location only; reversal, continuation and overnight gaps still need testing.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
Rose separates a low close from a guaranteed rebound
Rose sees an ETF close at 97 after a high of 105 and low of 95. IBS is 0.20, near the bottom of the range. Jack calls it oversold; Rose points out that bar location is not valuation.
They predefine the rule: below 0.20, buy at the next tradable open; above 0.80, short; otherwise stay flat. They separately specify exits, overnight exposure and whether they trade one asset or rank an ETF universe.
Using the same close to form a signal and assume execution creates an untradeable bias. Gaps, trend days, price limits and costs can erase a reversal premium.
- IBS = 0.20IBS=(C−L)/(H−L); H must exceed L and C must lie within the range.
- Assumed next returnThe interactive scenario uses a user-supplied next-period return; it does not replay historical bars.
- After assumed 0.10% costCross-sectional decile portfolios and single-asset thresholds should be reported separately.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
IBS_t=\frac{C_t-L_t}{H_t-L_t},\qquad s_{t+1}=\begin{cases}+1,& IBS_t\leq a\\-1,& IBS_t\geq b\\0,&a<IBS_t<b\end{cases}
H_t, L_t and C_t are the high, low and close of a completed bar; a and b are preselected long and short thresholds. The signal is formed after the bar and executed at the next tradable time. If H=L, IBS is undefined and the bar must be excluded.
Greeks: the directional intuition
- Bar construction
- Measures sensitivity to implied volatility.
- Signal timing
- Measures sensitivity to implied volatility.
- Trend regime
- Measures sensitivity to implied volatility.
- Universe choice
- Measures sensitivity to implied volatility.
IBS_t=\frac{C_t-L_t}{H_t-L_t},\qquad s_{t+1}=\begin{cases}+1,& IBS_t\leq a\\-1,& IBS_t\geq b\\0,&a<IBS_t<b\end{cases}
Practical context · published observations
Internal Bar Strength mean reversion: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
這是算術示例，不是歷史價格回放或策略績效。實證必須用完成 bar、下一可交易價格、點時 ETF 成分與交易成本，並分開測試時間序列與橫截面版本。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods share a mechanism, not every assumption.
Each row identifies what changes in its signal, construction or risk.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Alpha #53 | IBS change | Uses the negative change in a transformed IBS feature. | A close near the low makes one denominator unstable. |
| Alpha #54 | Nonlinear OHLC | Combines open and close through a nonlinear ratio. | Scaling and small price levels can make it unstable. |
| Alpha #60 | Volume-weighted location | Adds volume-ranked close location and a recent extreme. | Volume microstructure differs across markets. |
| Alpha #100 | Industry-neutral composite | Combines industry-neutralised price/volume features. | Requires point-in-time classifications, volume and more parameters. |
| Alpha #101 | Close versus open | Measures (C−O)/(H−L) within the bar. | It is not IBS and needs a zero-range guard. |
This is arithmetic, not a historical price replay or strategy performance. Empirical work needs completed bars, next-tradable fills, point-in-time ETF membership and costs, with time-series and cross-sectional versions tested separately.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.