# Connors VIX Reversal 3

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

It is the third and final [Connors VIX Reversal](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/connors-vix-reversals) presented in the book.

## Rules

1. The low of the VIX must be above its 10-day moving average.
2. If the VIX closes at least 10% above its 10-day moving average, enter a long trade.
3. Exit the trade when VIX trades (intraday) below the previous day's 10-day moving average.

I have decided not to include short trades like in the book as the backtest results were consistently negative.

## Parameters

**Short-Term Trend Period**: The period of the short-term trend as measured using a simple moving average. (Default: 50, differs from the book)

**Percent Above**: The percentage above the short-term trend VIX must close in order to enter a long trade. (Default: 10)

## Backtest Results

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-3/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-3/spy-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/connors-vix-reversal-3/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/connors-vix-reversal-3/qqq-summary.png)

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