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Document the parameters of the VIX 5% strategy

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moshferatu 2024-08-30 12:44:13 -07:00
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strategies/vix-5-percent/README.md
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@ -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