From 37cc814ab0bab15690228d051a0d3811efa06312 Mon Sep 17 00:00:00 2001 From: moshferatu Date: Wed, 18 Sep 2024 07:28:20 -0700 Subject: [PATCH] Add rules to VIX Stretches strategy --- strategies/vix-stretches/README.md | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/strategies/vix-stretches/README.md b/strategies/vix-stretches/README.md index 68b45aa..a23ae92 100644 --- a/strategies/vix-stretches/README.md +++ b/strategies/vix-stretches/README.md @@ -2,4 +2,10 @@ This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors. +## Rules + +1. The asset (e.g., SPY) is above its 200-day moving average. +2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade. +3. Exit the trade when the 2-period RSI closes at or above 65. + --- \ No newline at end of file