1.3 KiB
1.3 KiB
VIX 5% Bot
This swing trading strategy was taken from chapter 5 in Short Term Trading Strategies That Work (2008) by Larry Connors.
Rules
- If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
- 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
QQQ
