ninjatrader/strategies/vix-above-and-below-moving-average/README.md

VIX Above and Below Moving Average

The idea for these strategies comes from chapter 10 of How Markets Really Work (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

Rules

VIX Above Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more above its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

VIX Below Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more below its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

Parameters

Moving Average Period: The period to use in the moving average calculation done on VIX. (Default: 10)

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)

Percent Above / Below: The percentage above / below the moving average VIX must be to enter a trade. (Default: 10)

Days to Exit: The number of days to wait before exiting a trade. (Default: 5)

Backtest Results

SPY

VIX Above Moving Average

VIX Below Moving Average

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