ninjatrader/strategies/connors-vix-reversals/strategy-2/README.md

Connors VIX Reversal 2

This strategy was taken from chapter 2 of Connors on Advanced Trading Strategies (1998).

Rules

1. The 5-period RSI of VIX must be above 70 on the previous daily bar.
2. If the current VIX close is < the previous close, enter a long trade (e.g., on SPY).
3. Exit any open trade 5 trading days later.

I am not including short trades like in the book as the results were consistently negative.

Parameters

RSI Period: The period of the RSI calculation used on VIX. (Default: 5)

Overbought Level: The RSI value above which the VIX is considered to be "overbought" and ready to reverse. (Default: 70)

Days to Exit: The number of days to wait before exiting any open trades. (Default: 3, differs from the book)

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