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Add parameters to VIX Stretches strategy documentation

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moshferatu 2024-09-18 07:32:53 -07:00
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strategies/vix-stretches/README.md
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@ -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. 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. 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)
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