From 14931b4cf097c2713e4f061e8518a16a872fca6f Mon Sep 17 00:00:00 2001 From: moshferatu Date: Fri, 30 Aug 2024 12:44:13 -0700 Subject: [PATCH] Document the parameters of the VIX 5% strategy --- strategies/vix-5-percent/README.md | 10 ++++++++++ 1 file changed, 10 insertions(+) diff --git a/strategies/vix-5-percent/README.md b/strategies/vix-5-percent/README.md index 09d117d..3ee1048 100644 --- a/strategies/vix-5-percent/README.md +++ b/strategies/vix-5-percent/README.md @@ -7,6 +7,16 @@ This swing trading strategy was taken from chapter 5 in *[Short Term Trading Str 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