ninjatrader/strategies/vix-rsi

VIX RSI

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. 2-period RSI of VIX is greater than 90.
3. The current day's VIX open is greater than the previous day's close.
4. If the 2-period RSI of the asset is below 30, enter a long trade.
5. Exit the trade when the 2-period RSI closes above 65.

Parameters

Long-Term Trend Period: The period to use in the long-term trend calculation as measured by a simple moving average. (Default: 200)

RSI Period: The period to use in the RSI calculations. (Default: 2)

RSI Smoothing: The smoothing to use in the RSI calculations. (Default: 1)

RSI Entry Threshold: The RSI value below which to allow for entering a trade. (Default: 30)

RSI Exit Threshold: The RSI value above which to exit the trade. (Default: 65)

VIX RSI Entry Threshold: The RSI value of VIX above which to allow for entering a trade. (Default: 90)

Backtest Results

SPY

QQQ

DIA

IWM

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