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| backtest-results | ||
| ConnorsVIXReversal1.cs | ||
| README.md | ||
Connors VIX Reversal 1
This strategy was taken from chapter 2 of Connors on Advanced Trading Strategies (1998).
It is the first of the Connors VIX Reversals presented in the book.
Rules
- VIX must make a 15-day high.
- The asset (e.g., SPY) must be above its 200-day moving average.
- If the close of VIX is below the open, enter a long trade.
- Exit the trade 3 days later.
Rule #2 was added by me after I found it resulted in improved backtest results.
The book also includes rules for going short (just invert the long trade rules), but the results of the backtests were consistently negative.
Therefore, I chose not to implement short trades in the strategies.
Parameters
Short-Term High Period: The number of days to consider when determining the highest value of VIX. (Default: 15)
Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)
Days to Exit: The number of days to wait before exiting any open trades. (Default: 3)
Backtest Results
SPY
QQQ
