ninjatrader/strategies/vix-stretches/README.md

# VIX Stretches

This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.

I would advise against trading this strategy as is, however.

Refer to the [backtest results](#backtest-results) in order to understand why.

## Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade.
3. Exit the trade when the 2-period RSI closes at or above 65.

## Parameters

**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)

**VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10)

**VIX Threshold Percentage**: The percentage above the simple moving average that VIX has to be in order to enter a trade. (Default: 5)

**VIX Stretch Days**: The minimum number of days required for VIX to be stretched above its moving average. (Default: 3)

**RSI Period**: The period of the RSI calculation used to exit trades. (Default: 2)

**RSI Smoothing**: The smoothing of the RSI calculation used to exit trades. (Default: 1)

**RSI Exit Threshold**: The value of the RSI calculation at or above which to exit trades. (Default: 65)

## Backtest Results

### SPY

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

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

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/vix-stretches/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/vix-stretches/qqq-summary.png)

### DIA

![DIA Analysis](https://static.moshington.com/images/strategies/vix-stretches/dia-analysis.png)

![DIA Summary](https://static.moshington.com/images/strategies/vix-stretches/dia-summary.png)

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