ES Two-Day Composite IBS Dip Buy (B12_03)
Treats the last two sessions as one big bar. If that bar was large and closed near its low, buys the still-weak next morning.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Flagged — Passes only on 1h; 39 trades; more than half the net comes from year 1.
1 full-size ES contract ($50 per point). Test window 2024-09-23 to 2026-09-23 (2 years). Slippage 4 ticks per order, $2.50 commission per contract per side ($5 round trip); $100k account. 4-tick slippage per side = NQ $20, ES $50, GC $40 before commission.
Plain-English rules
- Market
- S&P 500 E-mini (ES)
- Timeframe
- 1h — 1h only — 5m/15m/30m fail the net ÷ DD bar
- Direction
- Long only, max 1 trade/day
- Style
- Mean reversion
- Frequency
- about 20 trades a year; held to the close
- In stacks
- —
- Setup: the 2-day composite IBS is below 0.30; the 2-day range is at least 1.5× daily ATR; prior-day IBS below 0.60; daily ATR at least 35 points.
- Shared ES dip-buy engine: long only, at most 1 trade a day, regular session only (half-days skipped). A 'setup' is judged from the prior regular session. Decision bar: the first bar closing at or after 11:00 ET (08:00 PT); if nothing traded, a second look at the first bar closing at or after 13:00 ET (10:00 PT). It buys at that bar's close only if price is still weak (below the prior close or below today's open), then holds to the 16:00 ET close.
- Exit: protective stop 1.0× daily ATR below entry (clamped to 25–110 ES points), no profit target, otherwise flat at the 16:00 ET close. Of 39 trades in the list: 36 ended at the flatten, 2 at the stop, 1 outside-session flatten. 32 entered at the morning bar, 7 at the afternoon bar.
Summary of the rules. The full parameter-level rules document is delivered to subscribers (documents only — no code).
Equity curve & drawdown
Year-by-year
| Period | Net | PF | Trades |
|---|---|---|---|
| Year 1 (exits to 2025-08-31) | $40,985 | 5.5 | 18 |
| Year 2 (from 2025-09-01) | $18,720 | 2.52 | 21 |
31% of the 2-year profit came in year 2. Year split computed from the clipped saved trade list (39 trades, +$59,705, PF 3.79, win 61.5%); it differs slightly from the headline run. Year 1 = exits to 2025-08-31, year 2 = from 2025-09-01.
Recent form
Last 3 months (list): 3 trades, PF 1.15, +$360. Last 6 months: 7 trades, PF 0.91, −$847.50. Last exit in the list 2026-07-30; none after the window.
Robustness
Robustness checks not run. 1h only: on 5m/15m/30m net ÷ DD is about 2.2× (fails). The ladder calls it 'PASS all TFs', but on this bar only 1h passes.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 5m / 15m / 30m | +$27,370 – +$27,770 | ≈2.2 | 58.33% | 36 | $12,245 | fail the 3× bar (net ÷ DD ≈2.2×) |
Flags for this strategy
- FRAGILE (Tier B). Passes only on 1h (1h +$59.7k vs 30m +$27.8k on 39 vs 36 trades) — a classic lucky-timeframe pattern.
- Only 39 trades; one or two trades can move the result a lot.
- More than half of net profit comes from year 1.
- Overlap with ES B12_01: 67% of its days are B12_01 days; 62% of B12_01's days are its days.
- Part of the ES one-engine family: all ES strategies enter at the same two decision bars (about 08:00 and 10:00 PT), hold to the close and trade at most once a day, so only one of them can be in a trade on any day.