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Add rules to Connors VIX Reversal 2 strategy documentation

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moshferatu 2024-11-13 06:36:41 -08:00
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strategies/connors-vix-reversals/strategy-2/README.md
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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.
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