Melbourne Quant Traders SIG Monthly Meeting
Monday 25th of November 2024
Online ONLY 7.30 pm (AEDT)
Join our ATAA meetings to improve your understanding of
how to invest or trade successfully in the financial markets,
focusing on the correct use and application of Technical Analysis
Session Highlights: Internal Bar Strength (IBS) as a predictor of ETF returns
Agenda:
7.30 pm to 8.00 pm - Speaker presentation (
online)
8.00 pm to 9.00 pm - Discussion and Q&A session
Presentation: "The IBS Effect Mean Reversion in Equity ETFs" - NAAIM Paper
Speaker: Graham Walker, ATAA Member
Author, Alexander Pagonidis, shows that Internal Bar Strength (IBS), which is equivalent to a 1-period Stochastic, is a strong and consistent predictor of close-to-close returns for equity ETFs trading in the United States. He shows that low IBS values are associated with high returns, while high IBS values are associated with low returns, a pattern that he describes as the IBS effect. The author uses a simple mean reversion trading system that employs Cutler’s RSI indicator to demonstrate how the IBS effect can be used to boost returns of the strategy while significantly decreasing the number of trades needed.
In this presentation, Graham will attempt to replicate some of the results presented in the paper.
Ref: https://www.naaim.org/wp-content/uploads/2014/04/00V_Alexander_Pagonidis_The-IBS-Effect-Mean-Reversion-in-Equity-ETFs-1.pdf
Graham's presentation will lead the discussion, and will be followed by a general discussion on topics of interest to Quant members.
This is a ONLINE ONLY meeting
The ATAA is the knowledge network for successfully using technical analysis
in financial market trading and investing.
Future Meetings: Generally, the fourth Monday of each month. The next get-together is scheduled to be an informal dinner at the Auburn Hotel in early-mid December, and our next formal meeting in February 2025.