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Melbourne Quant Traders SIG ONLINE Meeting - November 2024

About this event

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.

Date and Time

Monday, November 25, 2024, 7:30 PM until 9:00 PM

Location

Online Only
AUS

Event Contact(s)

Jim Haralambidis
Melbourne Quant SIG Convener


Admin Secretary

Category

Online Only Events

Registration Info

Registration is required
Payment In Full In Advance Only
All attendees are required to register for this event.