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Add VIX threshold percentage parameter to VIX Stretches strategy

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moshferatu 2024-09-19 07:38:46 -07:00
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strategies/vix-stretches/README.md
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@ -18,6 +18,8 @@ Refer to the [backtest results](#backtest-results) in order to understand why.
**VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10) **VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10)
**VIX Threshold Percentage**: The percentage above the simple moving average that VIX has to be in order to enter a trade. (Default: 5)
**VIX Stretch Days**: The minimum number of days required for VIX to be stretched above its moving average. (Default: 3) **VIX Stretch Days**: The minimum number of days required for VIX to be stretched above its moving average. (Default: 3)
**RSI Period**: The period of the RSI calculation used to exit trades. (Default: 2) **RSI Period**: The period of the RSI calculation used to exit trades. (Default: 2)