S&P 500 Mean Reversion Using IBS and RSI (Classical Mean Reversion Strategy for S&P 500 in 2024 and Beyond)
The classical mean reversion strategy in the S&P 500 involves specific criteria based on Internal Bar Strength (IBS) and Relative Strength Index (RSI) to determine trading signals.
We backtest the following trading rules:
IBS (internal bar strength) must be lower than 0.25 (using daily bars).
RSI (21) must be below 45.
If 1 and 2 are fulfilled, go long at the close.
Exit when close is higher than yesterday’s close.
The equity curve since January 2000 is shown below
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/sp-500-mean-reversion-using-ibs-and-rsi/