34 lines
1.1 KiB
Markdown
34 lines
1.1 KiB
Markdown
# VIX 5% Bot
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This swing trading strategy was taken from chapter 5 in *[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. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
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2. Exit the position when VIX is 5% or more below its 10-day moving average.
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## Parameters
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Even though the strategy is based on 5% moves above / below the VIX moving average, both the entry and exit thresholds can be configured.
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**Entry Percent**: The percentage above the moving average VIX must be to enter a long trade. (Default: 5)
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**Exit Percent**: The percentage below the moving average VIX must be to exit the position. (Default: 5)
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**Moving Average Period**: The period of the moving average used to measure VIX movement. (Default: 10)
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## Backtest Results
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### SPY
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### QQQ
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