47 lines
1.8 KiB
Markdown
47 lines
1.8 KiB
Markdown
# VIX Stretches
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This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.
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## Rules
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1. The asset (e.g., SPY) is above its 200-day moving average.
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2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade.
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3. Exit the trade when the 2-period RSI closes at or above 65.
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## Parameters
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
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**VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10)
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**VIX Threshold Percentage**: The percentage above the simple moving average that VIX has to be in order to enter a trade. (Default: 5)
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**VIX Stretch Days**: The minimum number of days required for VIX to be stretched above its moving average. (Default: 3)
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**RSI Period**: The period of the RSI calculation used to exit trades. (Default: 2)
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**RSI Smoothing**: The smoothing of the RSI calculation used to exit trades. (Default: 1)
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**RSI Exit Threshold**: The value of the RSI calculation at or above which to exit trades. (Default: 65)
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## Backtest Results
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### SPY
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### QQQ
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### DIA
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