From a7d7124c7268b89f4d01bd703cd62284900b1e59 Mon Sep 17 00:00:00 2001 From: moshferatu Date: Sat, 23 Nov 2024 06:22:13 -0800 Subject: [PATCH] Add rules to vIX Above and Below Moving Average strategy --- .../vix-above-and-below-moving-average/README.md | 14 ++++++++++++++ 1 file changed, 14 insertions(+) diff --git a/strategies/vix-above-and-below-moving-average/README.md b/strategies/vix-above-and-below-moving-average/README.md index 1c80806..6b8f882 100644 --- a/strategies/vix-above-and-below-moving-average/README.md +++ b/strategies/vix-above-and-below-moving-average/README.md @@ -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). + --- \ No newline at end of file