From 1356dfe682884e544fefbdaaf373ff78a979f859 Mon Sep 17 00:00:00 2001 From: moshferatu Date: Wed, 13 Nov 2024 06:36:41 -0800 Subject: [PATCH] Add rules to Connors VIX Reversal 2 strategy documentation --- strategies/connors-vix-reversals/strategy-2/README.md | 8 ++++++++ 1 file changed, 8 insertions(+) diff --git a/strategies/connors-vix-reversals/strategy-2/README.md b/strategies/connors-vix-reversals/strategy-2/README.md index 2f5979a..2eb67e8 100644 --- a/strategies/connors-vix-reversals/strategy-2/README.md +++ b/strategies/connors-vix-reversals/strategy-2/README.md @@ -2,4 +2,12 @@ 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. The 5-period RSI of VIX must be above 70 on the previous daily bar. +2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY). +3. Exit any open trade 5 trading days later. + +I am not including short trades like in the book as the results were consistently negative. + --- \ No newline at end of file