# Connors VIX Reversal 2

This strategy was taken from chapter 2 of [*Connors on Advanced Trading Strategies*](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).

## Rules

1. The 5-period RSI of VIX must be above 70 on the previous daily bar.
2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).
3. Exit any open trade 5 trading days later.

I am not including short trades like in the book as the results were consistently negative.

## Parameters

**RSI Period**: The period of the RSI calculation used on VIX. (Default: 5)

**Overbought Level**: The RSI value above which the VIX is considered to be "overbought" and ready to reverse. (Default: 70)

**Days to Exit**: The number of days to wait before exiting any open trades. (Default: 3, differs from the book)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-2/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-2/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-2/qqq-summary.png)

---