From c21c723a8f364492bac391e900d61ac9ee4f3d75 Mon Sep 17 00:00:00 2001 From: moshferatu Date: Wed, 18 Sep 2024 07:32:53 -0700 Subject: [PATCH] Add parameters to VIX Stretches strategy documentation --- strategies/vix-stretches/README.md | 14 ++++++++++++++ 1 file changed, 14 insertions(+) diff --git a/strategies/vix-stretches/README.md b/strategies/vix-stretches/README.md index a23ae92..3084909 100644 --- a/strategies/vix-stretches/README.md +++ b/strategies/vix-stretches/README.md @@ -8,4 +8,18 @@ This strategy was taken from chapter 12 of [*Short Term Trading Strategies That 2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade. 3. Exit the trade when the 2-period RSI closes at or above 65. +## Parameters + +**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200) + +**VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10) + +**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 Smoothing**: The smoothing of the RSI calculation used to exit trades. (Default: 1) + +**RSI Exit Threshold**: The value of the RSI calculation at or above which to exit trades. (Default: 65) + --- \ No newline at end of file