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The original rules were clear:-Compute the rolling mean of High minus Low over the last 25 days;-Compute the IBS indicator: (Close - Low) / (High - Low);-Compute a lower band as the rolling High over the last 10 days minus 2.5 x the rolling mean of High mins Low (first bullet);-Go long whenever SPY closes under the lower band (3rd bullet), and IBS is lower than 0.3;-Close the trade whenever the SPY close is higher than yesterday's high.The logic behind this trading strategy is that the market tends to bounce back once it drops too low from its recent highs.The results shown above are from an improved strategy: better exit rule with dynamic stop losses. I created a full write-up with all its details here
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