# 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

# Cumulative DV2 Indicator

Inspired by Larry Connors’ Cumulative RSI(2) (found in this post), I decided to test out how a Cumulative DV2 indicator would work. This is a frictionless test on SPY from 1/1/2000 – 12/26/2012. I tested the cumulative DV2 using default parameters (Buy/Cover if DV2 < 50 & Sell/Short if DV2 > 50)

Normal DV2:

2-day cumulative DV2

3-day cumulative DV2

4-day cumulative DV2

5-day cumulative DV2

6-day cumulative DV2

7-day cumulative DV2

8-day cumulative DV2

9-day cumulative DV2

10-day cumulative DV2

11-day cumulative DV2

The results make me think of one of David Varadi‘s posts (link) about how mean-reversion isn’t necessarily ‘dead’, it has only changed to become mean-reverting on a longer period of time (per the equity charts of the 4-9 day cumulative DV2). An adaptive framework similar to that found at this post by Sanz Prophet could definitely be used.