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IBS Internal Bar Strength

IBS Internal Bar Strength is a mean-reversion strategy that uses the previous bar's close within its range to find oversold or overbought conditions. An optional EMA filter aligns trades with the trend and entries can be added only when price moves a minimum percentage from the last entry. Positions exit when IBS crosses the opposite threshold or a maximum holding time is reached.

Details

  • Data: Price candles.
  • Entry Criteria:
    • Long: IBS below entry threshold, EMA condition met, and allowed direction.
    • Short: IBS above exit threshold, EMA condition met, and allowed direction.
  • Exit Criteria: IBS crossing opposite threshold or trade duration limit.
  • Stops: Time-based exit.
  • Default Values:
    • IbsEntryThreshold = 0.09
    • IbsExitThreshold = 0.985
    • EmaPeriod = 220
    • MinEntryPct = 0
    • MaxTradeDuration = 14
  • Filters:
    • Category: Mean reversion
    • Direction: Long & Short
    • Indicators: IBS, EMA
    • Complexity: Low
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Previous-bar IBS mean reversion with optional EMA alignment, spaced additions,
/// full-basket opposite-threshold exits and a maximum holding period in finished bars.
/// </summary>
public class IbsInternalBarStrengthStrategy : Strategy
{
	private readonly StrategyParam<decimal> _ibsEntryThreshold;
	private readonly StrategyParam<decimal> _ibsExitThreshold;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<bool> _useEmaFilter;
	private readonly StrategyParam<bool> _allowLong;
	private readonly StrategyParam<bool> _allowShort;
	private readonly StrategyParam<decimal> _minEntryPct;
	private readonly StrategyParam<int> _maxTradeDuration;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousIbs;
	private decimal _previousClose;
	private decimal _previousEma;
	private bool _previousEmaReady;
	private decimal _lastEntryPrice;
	private int _barCount;
	private int _firstEntryBar;

	public decimal IbsEntryThreshold { get => _ibsEntryThreshold.Value; set => _ibsEntryThreshold.Value = value; }
	public decimal IbsExitThreshold { get => _ibsExitThreshold.Value; set => _ibsExitThreshold.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public bool UseEmaFilter { get => _useEmaFilter.Value; set => _useEmaFilter.Value = value; }
	public bool AllowLong { get => _allowLong.Value; set => _allowLong.Value = value; }
	public bool AllowShort { get => _allowShort.Value; set => _allowShort.Value = value; }
	public decimal MinEntryPct { get => _minEntryPct.Value; set => _minEntryPct.Value = value; }
	public int MaxTradeDuration { get => _maxTradeDuration.Value; set => _maxTradeDuration.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public IbsInternalBarStrengthStrategy()
	{
		_ibsEntryThreshold = Param(nameof(IbsEntryThreshold), 0.09m).SetRange(0m, 1m);
		_ibsExitThreshold = Param(nameof(IbsExitThreshold), 0.985m).SetRange(0m, 1m);
		_emaPeriod = Param(nameof(EmaPeriod), 220).SetGreaterThanZero();
		_useEmaFilter = Param(nameof(UseEmaFilter), true);
		_allowLong = Param(nameof(AllowLong), true);
		_allowShort = Param(nameof(AllowShort), true);
		_minEntryPct = Param(nameof(MinEntryPct), 0m).SetNotNegative();
		_maxTradeDuration = Param(nameof(MaxTradeDuration), 14).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (IbsEntryThreshold >= IbsExitThreshold)
			throw new InvalidOperationException("IbsEntryThreshold must be below IbsExitThreshold.");

		ResetState();
		// A disabled filter must not impose a 220-bar warm-up on the IBS signal.
		var ema = new ExponentialMovingAverage { Length = UseEmaFilter ? EmaPeriod : 1 };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, (candle, value) => ProcessCandle(candle, value, ema.IsFormed)).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			if (UseEmaFilter)
				DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

	private void ResetState()
	{
		_previousIbs = null;
		_previousClose = _previousEma = _lastEntryPrice = 0m;
		_previousEmaReady = false;
		_barCount = _firstEntryBar = 0;
	}

	private void ProcessCandle(ICandleMessage candle, decimal emaValue, bool emaReady)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var ibs = _previousIbs;
		var previousClose = _previousClose;
		var previousEma = _previousEma;
		var filterReady = _previousEmaReady;
		var range = candle.HighPrice - candle.LowPrice;
		_previousIbs = range == 0m ? 0.5m : (candle.ClosePrice - candle.LowPrice) / range;
		_previousClose = candle.ClosePrice;
		_previousEma = emaValue;
		_previousEmaReady = emaReady;
		_barCount++;

		if (ibs is null || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0m)
		{
			var oppositeThreshold = Position > 0m ? ibs > IbsExitThreshold : ibs < IbsEntryThreshold;
			if (oppositeThreshold || _barCount - _firstEntryBar >= MaxTradeDuration)
			{
				if (Position > 0m)
					SellMarket(Math.Abs(Position));
				else
					BuyMarket(Math.Abs(Position));
				_lastEntryPrice = 0m;
				_firstEntryBar = 0;
				return;
			}
		}

		if (UseEmaFilter && !filterReady)
			return;

		if (Position != 0m && _lastEntryPrice > 0m
			&& 100m * Math.Abs(candle.ClosePrice - _lastEntryPrice) / _lastEntryPrice < MinEntryPct)
			return;

		var buy = AllowLong && Position >= 0m && ibs < IbsEntryThreshold
			&& (!UseEmaFilter || previousClose > previousEma);
		var sell = AllowShort && Position <= 0m && ibs > IbsExitThreshold
			&& (!UseEmaFilter || previousClose < previousEma);
		if (!buy && !sell)
			return;

		// Added entries do not extend the lifetime of the existing basket.
		if (Position == 0m)
			_firstEntryBar = _barCount;
		_lastEntryPrice = candle.ClosePrice;
		if (buy)
			BuyMarket();
		else
			SellMarket();
	}
}