37 lines
1.4 KiB
Markdown
37 lines
1.4 KiB
Markdown
# Connors VIX Reversal 2
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This strategy was taken from chapter 2 of [*Connors on Advanced Trading Strategies*](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).
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It is the second of the [Connors VIX Reversals](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/connors-vix-reversals) presented in the book.
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## Rules
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1. The 5-period RSI of VIX must be above 70 on the previous daily bar.
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2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).
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3. Exit any open trade 5 trading days later.
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I am not including short trades like in the book as the results were consistently negative.
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## Parameters
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**RSI Period**: The period of the RSI calculation used on VIX. (Default: 5)
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**Overbought Level**: The RSI value above which the VIX is considered to be "overbought" and ready to reverse. (Default: 70)
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**Days to Exit**: The number of days to wait before exiting any open trades. (Default: 3, differs from the book)
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## Backtest Results
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### SPY
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### QQQ
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