# VIX 5% Bot

This swing trading strategy was taken from chapter 5 in *[Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work)* (2008) by Larry Connors.

## Rules

1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
2. Exit the position when VIX is 5% or more below its 10-day moving average.

## Parameters

Even though the strategy is based on 5% moves above / below the VIX moving average, both the entry and exit thresholds can be configured.

**Entry Percent**: The percentage above the moving average VIX must be to enter a long trade. (Default: 5)

**Exit Percent**: The percentage below the moving average VIX must be to exit the position. (Default: 5)

**Moving Average Period**: The period of the moving average used to measure VIX movement. (Default: 10)

## Backtest Results

### SPY

![SPY Analysis](./backtest-results/spy_analysis.png)

![SPY Summary](./backtest-results/spy_summary.png)

### QQQ

![QQQ Analysis](./backtest-results/qqq_analysis.png)

![QQQ Summary](./backtest-results/qqq_summary.png)

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