The IFR2 strategy is based on the RSI indicator.

If the two period RSI is less than the overbought level (25 is the default, but you can configure it to be lower), a long position is placed at the close of the candle. If you are doing it live, you'd have to enter the market ~ 10 minutes before it closes, check the RSI , and buy if it is lower than your overbought level. This generates a discrepancy in the backtesting, but since it is a very small difference, it can be disregarded. Higher overbought levels generate more signals, but they mostly are unreliable. Lower values generates better yields, but they won't occur very often. This strategy is designed to be used in a daily graph, and I don't recommend using it in intraday periods, since you'll make too little money to compensate for the operational cost.

The strategy exits when the high price of two previous candles is reached. If the exit price is higher than the closing price of when you entered, you'll be at a profit, otherwise you'll be at a loss. The exit price is plotted in the graph and it's colors depends on the current open profit: positive values will be green, negative will be red.

This strategy completely disregards the current trend. Long orders will be placed even if you are at a strong down trend. This may seem odd, but you have to keep in mind that this is a volatility based strategy, not a trend following one.

This setup was designed by Alexandre Wolwacz, a.k.a. Stormer.
Release Notes: Updated the strategy to include different types of exit points. Now you can choose to exit on the highest of previous candles (the default setting), when the RSI is oversold, or when the price closes above the short moving average.

You can also configure to take trades only when the moving averages are trending. This kinda defeats the purpose of the strategy, since it is not a trend following strategy, but I found that is some assets it may work better to filter the trades.
Release Notes: Added the ability to go short.
Release Notes: I simplified the script and added a starting date as requested by a user.
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Comments

Excelent script. Stormer é fodástico huhuhuhuhu
Reply
@cacasor, Com certeza. Uma coisa que eu não gostei muito to setup dele é o ponto de saída, a máxima dos dois últimos candles é muito fácil de ser atingida. Pelo que testei, o fechamento acima de média móvel de Hull funcionou melhor.
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cacasor EduardoMattje
@EduardoMattje, exato. Eu já seu o ATR para saída também. Máx dos últimos 2 dias deixa uma relação riscoxganho ruim
Reply
@cacasor, Eu tava até pensando em adicionar o ATR como ponto de saída, mas como nem o Stormer nem o Larry Connors usam ele nesse setup eu resolvi não botar
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