I've reviewed your work on the IBS indicator – quite thorough testing across multiple markets and asset classes. Your slippage analysis reveals important insights about where this strategy is viable.
A few suggestions of mine that might improve your analysis,if you do not mind:
The performance metrics could be more comprehensive. Including Sharpe ratio, maximum drawdown, and win rate statistics would provide a much clearer picture of the risk-adjusted performance beyond just the equity curves.
Those 0.2/0.8 thresholds would really benefit from some sensitivity testing. Have you verified whether they represent optimal values or if performance remains stable with slight variations? This would help confirm the robustness of these specific parameters.
The correlation to the S&P500 you identified deserves, for me, further investigation. It would be valuable to calculate the strategy's alpha directly to determine whether it's generating genuine edge or simply capturing market beta through a different mechanism.
Breaking down performance by market regimes (trending vs. ranging, high vs. low volatility periods) might reveal important CONTEXT about when this strategy performs best.
Your approach to combining multiple edges and using paper trading as an incubator is great and it is good risk management. I have found your framework for gradually moving from strategy discovery to implementation very good.
Finally (yes there is an end to this!) I'd be interested to hear how the paper trading results develop over the coming months. Your systematic approach to strategy evaluation is something I do not see very often around.
I think this strategy could be improved if we:
1. Only trade in bull regimes (or trade with short rules in bear regimes)
2. Combine with other pullback signals
Cheers!
amazing, this ibs indicator is nothing more than a 1 day fast stochastic, or 1 day %R inversely plotted, what a GIMMICK!!
I've reviewed your work on the IBS indicator – quite thorough testing across multiple markets and asset classes. Your slippage analysis reveals important insights about where this strategy is viable.
A few suggestions of mine that might improve your analysis,if you do not mind:
The performance metrics could be more comprehensive. Including Sharpe ratio, maximum drawdown, and win rate statistics would provide a much clearer picture of the risk-adjusted performance beyond just the equity curves.
Those 0.2/0.8 thresholds would really benefit from some sensitivity testing. Have you verified whether they represent optimal values or if performance remains stable with slight variations? This would help confirm the robustness of these specific parameters.
The correlation to the S&P500 you identified deserves, for me, further investigation. It would be valuable to calculate the strategy's alpha directly to determine whether it's generating genuine edge or simply capturing market beta through a different mechanism.
Breaking down performance by market regimes (trending vs. ranging, high vs. low volatility periods) might reveal important CONTEXT about when this strategy performs best.
Your approach to combining multiple edges and using paper trading as an incubator is great and it is good risk management. I have found your framework for gradually moving from strategy discovery to implementation very good.
Finally (yes there is an end to this!) I'd be interested to hear how the paper trading results develop over the coming months. Your systematic approach to strategy evaluation is something I do not see very often around.