ninjatrader/strategies/vix-above-and-below-moving-average/README.md

# VIX Above and Below Moving Average

The idea for these strategies comes from chapter 10 of [*How Markets Really Work*](https://moshferatu.dev/moshferatu/how-markets-really-work) (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

## Rules

### VIX Above Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more above its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

### VIX Below Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more below its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

## Parameters

**Moving Average Period**: The period to use in the moving average calculation done on VIX. (Default: 10)

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

**Percent Above / Below**: The percentage above / below the moving average VIX must be to enter a trade. (Default: 10)

**Days to Exit**: The number of days to wait before exiting a trade. (Default: 5)

## Backtest Results

### SPY

#### VIX Above Moving Average

![SPY VIX Above Moving Average Analysis](https://static.moshington.com/images/strategies/vix-above-and-below-moving-average/spy-above-analysis.png)

![SPY VIX Above Moving Average Summary](https://static.moshington.com/images/strategies/vix-above-and-below-moving-average/spy-above-summary.png)

#### VIX Below Moving Average

![SPY VIX Below Moving Average Analysis](https://static.moshington.com/images/strategies/vix-above-and-below-moving-average/spy-below-analysis.png)

![SPY VIX Below Moving Average Summary](https://static.moshington.com/images/strategies/vix-above-and-below-moving-average/spy-below-summary.png)

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