moshferatu/ninjatrader
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
1f6699513c
ninjatrader/strategies/vol-panics
History
moshferatu 3d94fb07ec Add note regarding short volatility to Vol Panics strategy documentation
2024-10-05 06:18:18 -07:00
..
backtest-results Add /VX backtest results for Vol Panics strategy 2024-10-05 06:16:18 -07:00
README.md Add note regarding short volatility to Vol Panics strategy documentation 2024-10-05 06:18:18 -07:00
VolPanicsBot.cs

README.md

Vol Panics

This strategy was taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors.

Rules

  1. When VXX is trading above its 5-period moving average and its 4-period RSI is > 70, enter a short trade.
  2. 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.

/VX Analysis

/VX Summary

Hopefully these results demonstrate why you must be extremely careful when shorting volatility.