Gold Mean Reversion Using Internal Bar Strength and Prior-Day Levels

Summary

This strategy uses Internal Bar Strength (IBS), calculated from a bar’s close relative to its high-low range, to identify unusually weak or strong closes. For gold, it proposes buying when IBS falls below a chosen threshold and exiting when price closes above the previous day’s high. It proposes shorting when IBS exceeds another threshold and exiting below the previous day’s low. The example also filters entries with price relative to a longer moving average and the direction of a shorter moving average’s slope.

The example lists adjustable triggers, moving-average settings, position size, and a stop based on a multiple of average true range. Its author characterizes the approach as having a high win rate partly because of a wide stop, while explicitly recommending further testing to assess whether that tradeoff is worthwhile. Although the post includes strategy code and mentions a gold contract and spread, it provides no dated performance results, drawdown, or comparison. The thresholds and filters are presented as configurable choices, not validated settings, and the strategy’s performance across other markets remains unestablished.

Key ideas

• IBS measures where the close falls within a bar’s high-low range.
• The long setup combines low IBS with price above a moving average and a rising shorter average.
• The short setup combines high IBS with price below a moving average and a falling shorter average.
• Positions exit when price closes beyond the previous day’s high or low, with a volatility-based stop also specified.
• The post supplies no performance statistics and calls for further testing of the wide-stop tradeoff.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.