Mass Index

Methodology

Mass Index identifies trend reversals by measuring the range between high and low prices. A 'reversal bulge' occurs when the 25-period sum rises above 27 then drops below 26.5, signalling a potential direction change.

class MassIndex(Strategy):
    n = 9
    n2 = 25
    thresh_high = 27
    thresh_low = 26.5

    def init(self):
        self.mi = self.I(_mass_index, self.data.High, self.data.Low, self.n, self.n2)

    def next(self):
        if self.mi[-1] < self.thresh_low and self.mi[-2] >= self.thresh_high and not self.position:
            self.buy()
        elif self.mi[-1] > self.thresh_high and self.position:
            self.position.close()

Risk & trade diagnostics

Drawdown and rolling Sharpe for one symbol at a time appear in the equity charts above. This section adds strategy-specific views: how each index run for mass-index sits in risk–return space, engine stop / take-profit settings when present, and per-trade MAE/MFE when OHLC trade stats exist in the JSON. Older static portfolio PNGs aggregated every strategy; these plots are scoped to this strategy only.