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Add rules to vIX Above and Below Moving Average strategy

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moshferatu 2024-11-23 06:22:13 -08:00
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strategies/vix-above-and-below-moving-average/README.md
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@ -4,4 +4,18 @@ The idea for these strategies comes from chapter 10 of [*How Markets Really Work
As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.
## Rules
### VIX Above Moving Average
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more above its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
### VIX Below Moving Average
1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more below its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).
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