ninjatrader/strategies/vix-rsi/README.md

# VIX RSI

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.

## Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. 2-period RSI of VIX is greater than 90.
3. The current day's VIX open is greater than the previous day's close.
4. If the 2-period RSI of the asset is below 30, enter a long trade.
5. Exit the trade when the 2-period RSI closes above 65.

## Parameters

**Long-Term Trend Period**: The period to use in the long-term trend calculation as measured by a simple moving average. (Default: 200)

**RSI Period**: The period to use in the RSI calculations. (Default: 2)

**RSI Smoothing**: The smoothing to use in the RSI calculations. (Default: 1)

**RSI Entry Threshold**: The RSI value below which to allow for entering a trade. (Default: 30)

**RSI Exit Threshold**: The RSI value above which to exit the trade. (Default: 65)

**VIX RSI Entry Threshold**: The RSI value of VIX above which to allow for entering a trade. (Default: 90)

## Backtest Results

### SPY

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

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

---