42 lines
1.6 KiB
Markdown
42 lines
1.6 KiB
Markdown
# Connors VIX Reversal 1
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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 first 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. VIX must make a 15-day high.
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2. The asset (e.g., SPY) must be above its 200-day moving average.
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3. If the close of VIX is below the open, enter a long trade.
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4. Exit the trade 3 days later.
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Rule #2 was added by me after I found it resulted in improved backtest results.
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The book also includes rules for going short (just invert the long trade rules), but the results of the backtests were consistently negative.
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Therefore, I chose not to implement short trades in the strategies.
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## Parameters
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**Short-Term High Period**: The number of days to consider when determining the highest value of VIX. (Default: 15)
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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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**Days to Exit**: The number of days to wait before exiting any open trades. (Default: 3)
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## Backtest Results
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### SPY
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### QQQ
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