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| ConnorsVIXReversal3.cs | ||
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Connors VIX Reversal 3
This strategy was taken from chapter 2 of Connors on Advanced Trading Strategies (1998).
It is the third and final Connors VIX Reversal presented in the book.
Rules
- The low of the VIX must be above its 10-day moving average.
- If the VIX closes at least 10% above its 10-day moving average, enter a long trade.
- 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
QQQ
