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| backtest-results | ||
| README.md | ||
| VolPanicsBot.cs | ||
Vol Panics
This strategy was taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors.
Rules
- When VXX is trading above its 5-period moving average and its 4-period RSI is > 70, enter a short trade.
- (Optional Aggressive Entry) If VXX closes higher than the initial entry price at any point during the trade, enter a second short trade.
- Exit the trade if VXX closes under its 5-period moving average.
Parameters
Moving Average Period: The period used in the simple moving average calculation. (Default: 5)
RSI Period: The period used in the RSI calculation. (Default: 4)
RSI Smoothing: The smoothing used in the RSI calculation. (Default: 1)
Entry Threshold: The RSI value above which to enter the short trade. (Default: 70)
Backtest Results
/VX
Note that these backtests were performed on /VX (VIX futures) rather than on the VXX etf.
This is because the data feed I am using had very limited data available for VXX.
Hopefully these results demonstrate why you must be extremely careful when shorting volatility.