IBAC Strategy - Zygora

3 apr

IBAC - Intrinsic Binary Averaging based Contrarian

A contrarian scalping strategy in the futures market, designed to stabilize market efficiency by capitalizing on price reversals. The strategy has no stop loss, instead employing a cascading approach—adding to the position size each time the price moves in the wrong direction—and closes the full position when the target profit is reached. Without delving into intricate details, the strategy adheres to the following basic rules:

1. Position sizing is determined by a customized indicator based on cumulative reversal probability, which also contributes to identifying the signal’s direction.
   
2. Direction is determined by the Moving Average: price above the Moving Average signals a Short position, while price below it signals a Long position.
   
3. The threshold for entries and exits is adjusted based on the range between extremes (highest high minus lowest low) over the past 100 historical bars.
   
4. The next limit entry is placed at a distance equal to the threshold length below (for Long) or above (for Short) the current average price.
   
5. The next target profit is set at a distance equal to the threshold length above (for Long) or below (for Short) the current average price.
   
6. A signal is triggered when there is a sudden price movement detected by the RSI (Relative Strength Index).
   

When a signal is identified, the strategy starts with a risk-reward ratio (RR) of 1:1. However, the RR worsens as the cascading steps—referred to as inventory I—increase, because the average entry price shifts unfavorably with each new position added. To mitigate the risk of liquidation, the strategy aims to hold a smaller inventory amount over time. This is achieved by using a multiple threshold multiplier: when a specified inventory limit is reached, the threshold for the next entry increases, and the threshold for the next target profit decreases. As a result, with higher inventory levels, the strategy accepts a lower RR but increases the likelihood of hitting the target profit.

The target profit is always set above the average entry price (for Long) or below it (for Short), ensuring that the strategy eventually closes at a profit. This leads to a 100% win rate but comes with relatively high drawdowns due to the absence of a stop loss and the cascading nature of the positions. The strategy performs best in a consolidation market in 1 minute timeframe, where price tends to oscillate within a range, allowing the contrarian approach to capitalize on reversals. The strategy’s name is derived from its customized indicator for position sizing, which leverages cumulative reversal probability to optimize position sizes and assist in determining the signal’s direction.

12 apr

Note di rilascio

A contrarian scalping strategy for futures markets, IBAC stabilizes market efficiency by exploiting price reversals. It skips stop losses, instead adding to positions when price moves against it, closing everything at a profit target.

• Price above a 50-period MA signals Short
  
• RSI (14-period) flags sudden moves (e.g., _70 or _30)
  
• Position Sizing: A custom indicator uses cumulative reversal probability—based on 100-bar price swing frequency—to size positions and refine direction.
  
• Entries/Exits: Thresholds (highest high minus lowest low over 100 bars) set limit entries and profit targets. Next Long entry is one threshold below the average price; target is one above.
  
• Risk Management: As inventory grows, a multiple threshold multiplier (e.g., doubles entry distance, halves target distance at 3 positions) adjusts the risk-reward, ensuring profitability over time.
  

Starting at a 1:1 RR, the ratio worsens with more positions but always closes profitably (100% win rate), though drawdowns can hit 30%. Backtested on a $10,000 account with BTCUSDT (0.04% commission, no slippage), it shines in consolidation markets on a 1-minute chart. Avoid trends or high volatility where cascades risk larger losses.