ninjatrader/strategies/vol-panics/README.md

# Vol Panics

This strategy was taken from chapter 5 of [*Buy the Fear, Sell the Greed*](https://moshferatu.dev/moshferatu/buy-the-fear-sell-the-greed) (2018) by Larry Connors.

## Rules

1. When VXX is trading above its 5-period moving average and its 4-period RSI is > 70, enter a short trade.
2. Exit the trade if VXX closes under its 5-period moving average.

## Parameters

**Moving Average Period**: The period used in the simple moving average calculation. (Default: 5)

**RSI Period**: The period used in the RSI calculation. (Default: 4)

**RSI Smoothing**: The smoothing used in the RSI calculation. (Default: 1)

**Entry Threshold**: The RSI value above which to enter the short trade. (Default: 70)

## Backtest Results

### /VX

Note that these backtests were performed on /VX (VIX futures) rather than on the VXX etf.

This is because the data feed I am using had very limited data available for VXX.

![/VX Analysis](https://static.moshington.com/images/strategies/vol-panics/vx-analysis.png)

![/VX Summary](https://static.moshington.com/images/strategies/vol-panics/vx-summary.png)

Hopefully these results demonstrate why you must be extremely careful when shorting volatility.

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