IBS bounce on index futures, lag-1, after costs
Hypothesis. Close in the lower quintile of the day’s range predicts next-session mean reversion, conditional on a longer-horizon trend filter.
Evidence that matters. The intern backtest’s IS Sharpe is not the result. After costs and lag-1 execution, IS Sharpe compresses sharply. 2018–2020 OOS is positive but concentrated; the 2020 crash window is a wash.
Failure modes. Parameter neighbourhood is unstable below the stated IBS threshold. The trend overlay is doing real work. Fine at index-futures size; not a single-name idea.
Verdict Investigate further — shadow with the trend overlay. Do not allocate on the original specification.