# Cumulative IBS Indicator

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:

2-day

3-day

4-day

5-day

6-day

7-day

8-day

9-day

10-day

11-day

12-day

13-day

14-day

15-day

16-day

17-day

18-day

# DV2 Further Research

In this post I will test the DV2 with other indicators.

First I tested a simple DV2 system on SPY from 1/1/2000 – 7/30/2012 from Yahoo! Finance data. The rules were:

• Sell/Short: DV2 > 50

The orders were taken at the day the signal was generated at the close price. The results were:

• CAGR: 24.08
• MDD: 42.67

All the tests after this use the same test dates, data source etc. as the test above.

DVI

The rules are:

• Buy: DV2 < 50 & DVI < 50
• Sell: DV2 > 50
• Short: DV2 > 50 & DVI > 50
• Cover: DV2 < 50

The results:

• CAGR: 22.40%
• MDD: 20.88%

These set of rules decrease the CAGR slightly yet decrease the MDD by over half.

A different variation of the rules:

• Buy: DV2 < 50 & DVI < 50
• Sell: DVI > 50
• Short: DV2 > 50 & DVI > 50
• Cover: DVI < 50

The results:

• CAGR: 18.14%
• MDD: 27.67%

Performance deteriorated versus the test above yet still beat the original on a risk/reward basis.

A different variation:

• Buy/Cover: DV2 < 50 & DVI < 50
• Sell/Short: DV2 > 50 & DVI > 50

The results:

• CAGR: 15.73%
• MDD: 27.67%

Performance deteriorated more.

A different variation:

• Buy: DV2 < 50 & DVI < 50
• Sell: DV2 > 50 | DVI > 50
• Short: DV2 > 50 & DVI > 50
• Cover: DV2 < 50 | DVI < 50

The results:

• CAGR: 22.76%
• MDD: 20.88%

A different variation:

• Buy: DV2 < 50 | DVI < 50
• Sell: DV2 > 50 | DVI > 50
• Short: DV2 > 50 | DVI > 50
• Cover: DV2 < 50 | DVI < 50

The results:

• CAGR: 22.86%
• MDD: 27.67%

A different variation:

• Sell: DV2 > 50 | DVI > 50
• Short: DV2 > 50
• Cover: DV2 < 50 | DVI < 50

The results:

• CAGR: 22.37%
• MDD: 20.88%

IBS (or CRTDR)

I found this indicator with some background information at this QUSMA post. It seemed to be useful as an indicator on its own, and as a filter for other indicators. Just like in the QUSMA post, I use a 3-Day MA of the IBS.

The rules are:

• Buy: DV2 < 50 & IBS < 50
• Sell: DV2 > 50
• Short: DV2 > 50 & IBS > 50
• Cover: DV2 < 50

The results:

• CAGR: 24.72%
• MDD: 26.70%

A different variation of the rules:

• Buy: DV2 < 50 & IBS < 50
• Sell: IBS > 50
• Short: DV2 > 50 & IBS > 50
• Cover: IBS < 50

The results:

• CAGR: 24.59%
• MDD: 27.44%

A different variation:

• Buy/Cover: DV2 < 50 & IBS < 50
• Sell/Short: DV2 > 50 & IBS > 50

The results:

• CAGR: 24.42%
• MDD: 31.22%

A different variation:

• Buy: DV2 < 50 & IBS < 50
• Sell: DV2 > 50 | IBS > 50
• Short: DV2 > 50 & IBS > 50
• Cover: DV2 < 50 | IBS < 50

The results:

• CAGR: 25.38%
• MDD: 19.79%

A different variation:

• Buy: DV2 < 50 | IBS < 50
• Sell: DV2 > 50 | IBS > 50
• Short: DV2 > 50 | IBS> 50
• Cover: DV2 < 50 | IBS < 50

The results:

• CAGR: 25.24%
• MDD: 20.33%

A different variation:

• Sell: DV2 > 50 | IBS > 50
• Short: DV2 > 50
• Cover: DV2 < 50 | IBS < 50

The results:

• CAGR: 24.44%
• MDD:  26.70%

RSI(2)

The rules are:

• Buy: DV2 < 50 & RSI < 50
• Sell: DV2 > 50
• Short: DV2 > 50 & RSI > 50
• Cover: DV2 < 50

The results:

• CAGR: 21.92%
• MDD: 35.00%

A different variation of the rules:

• Buy: DV2 < 50 & IBS < 50
• Sell: IBS > 50
• Short: DV2 > 50 & IBS > 50
• Cover: IBS < 50

The results:

• CAGR: 19.28%
• MDD: 28.34%

A different variation:

• Buy/Cover: DV2 < 50 & IBS < 50
• Sell/Short: DV2 > 50 & IBS > 50

The results:

• CAGR: 20.48%
• MDD: 33.70%

A different variation:

• Buy: DV2 < 50 & IBS < 50
• Sell: DV2 > 50 | IBS > 50
• Short: DV2 > 50 & IBS > 50
• Cover: DV2 < 50 | IBS < 50

The results:

• CAGR: 20.93%
• MDD: 30.02%

A different variation:

• Buy: DV2 < 50 | IBS < 50
• Sell: DV2 > 50 | IBS > 50
• Short: DV2 > 50 | IBS> 50
• Cover: DV2 < 50 | IBS < 50

The results:

• CAGR: 23.02%
• MDD: 30.13%

A different variation: