From 93ba983cd33c48bcd2d030e16cab1745255587ca Mon Sep 17 00:00:00 2001 From: moshferatu Date: Mon, 7 Oct 2024 05:42:20 -0700 Subject: [PATCH] Add 2-3-5 scale-in rules to Vol Panics strategy documentation --- strategies/vol-panics/README.md | 10 ++++++++++ 1 file changed, 10 insertions(+) diff --git a/strategies/vol-panics/README.md b/strategies/vol-panics/README.md index 1914d91..1c96c14 100644 --- a/strategies/vol-panics/README.md +++ b/strategies/vol-panics/README.md @@ -8,6 +8,16 @@ This strategy was taken from chapter 5 of [*Buy the Fear, Sell the Greed*](https 2. (Optional Aggressive Entry) If VXX closes higher than the initial entry price at any point during the trade, enter a second short trade. 3. Exit the trade if VXX closes under its 5-period moving average. +### 2-3-5 Scale-In Version + +This version of the strategy enters up to 3 trades: + +1. The initial entry according to the original rules but with 20% of the total position size. +2. An entry with 30% of the total position size if VXX closes higher than the initial entry price at any point during the trade. +3. A final entry with 50% of the total position size if VXX closes higher than the second entry price at any point during the trade. + +The exit condition remains the same as in the original version of the strategy. + ## Parameters **Moving Average Period**: The period used in the simple moving average calculation. (Default: 5)