34 lines
1.3 KiB
Markdown
34 lines
1.3 KiB
Markdown
# VIX 5% Bot
|
|
|
|
This swing trading strategy was taken from chapter 5 in *[Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work)* (2008) by Larry Connors.
|
|
|
|
## Rules
|
|
|
|
1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
|
|
2. 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
|
|
|
|
|
|
|
|
|
|
|
|
--- |