ninjatrader/strategies/connors-vix-reversals/strategy-2/README.md

# Connors VIX Reversal 2

This strategy was taken from chapter 2 of [*Connors on Advanced Trading Strategies*](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).

## Rules

1. The 5-period RSI of VIX must be above 70 on the previous daily bar.
2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).
3. Exit any open trade 5 trading days later.

I am not including short trades like in the book as the results were consistently negative.

## Parameters

**RSI Period**: The period of the RSI calculation used on VIX. (Default: 5)

**Overbought Level**: The RSI value above which the VIX is considered to be "overbought" and ready to reverse. (Default: 70)

**Days to Exit**: The number of days to wait before exiting any open trades. (Default: 3, differs from the book)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-summary.png)

---
Initial commit of Connors VIX Reversal strategy READMEs 2024-11-09 13:58:57 +00:00			`# Connors VIX Reversal 2`

Add description to Connors VIX Reversal strategy READMEs 2024-11-09 14:08:06 +00:00			`This strategy was taken from chapter 2 of [Connors on Advanced Trading Strategies](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).`

Add rules to Connors VIX Reversal 2 strategy documentation 2024-11-13 14:36:41 +00:00			`## Rules`

			`1. The 5-period RSI of VIX must be above 70 on the previous daily bar.`
			`2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).`
			`3. Exit any open trade 5 trading days later.`

			`I am not including short trades like in the book as the results were consistently negative.`

Add parameters to Connors VIX Reversal 2 strategy documentation 2024-11-13 14:39:23 +00:00			`## Parameters`

			`RSI Period: The period of the RSI calculation used on VIX. (Default: 5)`

			`Overbought Level: The RSI value above which the VIX is considered to be "overbought" and ready to reverse. (Default: 70)`

			`Days to Exit: The number of days to wait before exiting any open trades. (Default: 3, differs from the book)`

Add SPY backtest results for Connors VIX Reversal 2 strategy 2024-11-13 14:42:40 +00:00			`## Backtest Results`

			`### SPY`

			`![SPY Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-analysis.png)`

			`![SPY Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-summary.png)`

Initial commit of Connors VIX Reversal strategy READMEs 2024-11-09 13:58:57 +00:00			`---`