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Add rules to VIX Stretches strategy

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moshferatu 2024-09-18 07:28:20 -07:00
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strategies/vix-stretches/README.md
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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. 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.
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