From 947dc7874898031326af4123a742efa8b19014ad Mon Sep 17 00:00:00 2001 From: moshferatu Date: Thu, 19 Sep 2024 05:13:12 -0700 Subject: [PATCH] Add rules to VIX RSI strategy documentation --- strategies/vix-rsi/README.md | 8 ++++++++ 1 file changed, 8 insertions(+) diff --git a/strategies/vix-rsi/README.md b/strategies/vix-rsi/README.md index c46c097..463b782 100644 --- a/strategies/vix-rsi/README.md +++ b/strategies/vix-rsi/README.md @@ -2,4 +2,12 @@ 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. 2-period RSI of VIX is greater than 90. +3. The current day's VIX open is greater than the previous day's close. +4. If the 2-period RSI of the asset is below 30, enter a long trade. +5. Exit the trade when the 2-period RSI closes above 65. + --- \ No newline at end of file