Inspired by Larry Connors’ Cumulative RSI(2) (found in this post), and the results of my Cumulative DV2 (found in this post) I decided to test out how a Cumulative IBS indicator would work. The formula for IBS can be found here, and the cumulative IBS is the X-day simple moving average of the IBS. This is a frictionless test on SPY from 1/1/2000 – 12/26/2012. I tested the cumulative IBS using default parameters from the original post I found over IBS (Long if IBS < 45 & Short if IBS > 95).
Equity curves for cumulative 1-9 day IBS. Starts at 1-day in the top left and ends at 9-day on the bottom right. It counts from left to right, meaning that the top middle picture is the cumulative 2-day IBS.
Equity curves for cumulative 10-18 day IBS. Follows same structure as above.
We can see the equity curves of the cumulative IBS reinforces the conclusion in the cumulative DV2 post.
Here are the individual graphs in anyone is interested: