|
…
|
||
|---|---|---|
| .. | ||
| backtest-results | ||
| ConnorsVIXReversal2.cs | ||
| README.md | ||
Connors VIX Reversal 2
This strategy was taken from chapter 2 of Connors on Advanced Trading Strategies (1998).
It is the second of the Connors VIX Reversals presented in the book.
Rules
- The 5-period RSI of VIX must be above 70 on the previous daily bar.
- If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).
- 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
QQQ
