ninjatrader/strategies/vix-stretches/README.md

VIX Stretches

This strategy was taken from chapter 12 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade.
3. Exit the trade when the 2-period RSI closes at or above 65.

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