1.1 KiB
1.1 KiB
VXX Trend
This strategy was taken from chapter 6 of Buy the Fear, Sell the Greed (2018) by Larry Connors.
Rules
- When the 10-period moving average crosses under the 30-period moving average, enter a short trade on VXX.
- Exit the trade when the 10-period moving average crosses above the 30-period moving average.
Parameters
Short-Term Trend Period: The period of the short term trend as measured using a simple moving average. (Default: 10)
Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 30)
Backtest Results
/VX
Including backtest results for the VIX futures since the VXX data I have goes back only as far as 2018.
VXX
