ninjatrader/strategies/connors-vix-reversals/strategy-1/README.md

# Connors VIX Reversal 1

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. VIX must make a 15-day high.
2. The asset (e.g., SPY) must be above its 200-day moving average.
3. If the close of VIX is below the open, enter a long trade.
4. Exit the trade 3 days later.

Rule #2 was added by me after I found it resulted in improved backtest results.

The book also includes rules for going short (just invert the long trade rules), but the results of the backtests were consistently negative.

Therefore, I chose not to implement short trades in the strategies.

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Initial commit of Connors VIX Reversal strategy READMEs 2024-11-09 13:58:57 +00:00			`# Connors VIX Reversal 1`

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 1 strategy documentation 2024-11-09 14:18:16 +00:00			`## Rules`

			`1. VIX must make a 15-day high.`
			`2. The asset (e.g., SPY) must be above its 200-day moving average.`
			`3. If the close of VIX is below the open, enter a long trade.`
			`4. Exit the trade 3 days later.`

			`Rule #2 was added by me after I found it resulted in improved backtest results.`

			`The book also includes rules for going short (just invert the long trade rules), but the results of the backtests were consistently negative.`

			`Therefore, I chose not to implement short trades in the strategies.`

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