ninjatrader/strategies/vix-5-percent/README.md

# VIX 5% Bot

This swing trading strategy was taken from chapter 5 in *[Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work)* (2008) by Larry Connors.

## Rules

1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
2. Exit the position when VIX is 5% or more below its 10-day moving average.

## Parameters

Even though the strategy is based on 5% moves above / below the VIX moving average, both the entry and exit thresholds can be configured.

**Entry Percent**: The percentage above the moving average VIX must be to enter a long trade. (Default: 5)

**Exit Percent**: The percentage below the moving average VIX must be to exit the position. (Default: 5)

**Moving Average Period**: The period of the moving average used to measure VIX movement. (Default: 10)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/vix-5-percent/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/vix-5-percent/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/vix-5-percent/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/vix-5-percent/qqq-summary.png)

---
Initial commit of documentation for VIX 5% strategy 2024-08-30 19:08:53 +00:00			`# VIX 5% Bot`

			`This swing trading strategy was taken from chapter 5 in [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.`

			`## Rules`

			`1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).`
			`2. Exit the position when VIX is 5% or more below its 10-day moving average.`

Document the parameters of the VIX 5% strategy 2024-08-30 19:44:13 +00:00			`## Parameters`

			`Even though the strategy is based on 5% moves above / below the VIX moving average, both the entry and exit thresholds can be configured.`

			`Entry Percent: The percentage above the moving average VIX must be to enter a long trade. (Default: 5)`

			`Exit Percent: The percentage below the moving average VIX must be to exit the position. (Default: 5)`

			`Moving Average Period: The period of the moving average used to measure VIX movement. (Default: 10)`

Add backtest results for SPY for the VIX 5% strategy 2024-08-30 19:15:04 +00:00			`## Backtest Results`

			`### SPY`

Use cached backtest result images in VIX 5% strategy documentation 2024-09-23 15:02:27 +00:00			`![SPY Analysis](https://static.moshington.com/images/strategies/vix-5-percent/spy-analysis.png)`
Add backtest results for SPY for the VIX 5% strategy 2024-08-30 19:15:04 +00:00
Use cached backtest result images in VIX 5% strategy documentation 2024-09-23 15:02:27 +00:00			`![SPY Summary](https://static.moshington.com/images/strategies/vix-5-percent/spy-summary.png)`
Add backtest results for SPY for the VIX 5% strategy 2024-08-30 19:15:04 +00:00
Add QQQ backtest results for VIX 5% strategy 2024-08-30 19:18:59 +00:00			`### QQQ`

Use cached backtest result images in VIX 5% strategy documentation 2024-09-23 15:02:27 +00:00			`![QQQ Analysis](https://static.moshington.com/images/strategies/vix-5-percent/qqq-analysis.png)`
Add QQQ backtest results for VIX 5% strategy 2024-08-30 19:18:59 +00:00
Use cached backtest result images in VIX 5% strategy documentation 2024-09-23 15:02:27 +00:00			`![QQQ Summary](https://static.moshington.com/images/strategies/vix-5-percent/qqq-summary.png)`
Add QQQ backtest results for VIX 5% strategy 2024-08-30 19:18:59 +00:00
Initial commit of documentation for VIX 5% strategy 2024-08-30 19:08:53 +00:00			`---`