ninjatrader/strategies/connors-vix-reversals/strategy-3

Connors VIX Reversal 3

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

It is the third and final Connors VIX Reversal presented in the book.

Rules

1. The low of the VIX must be above its 10-day moving average.
2. If the VIX closes at least 10% above its 10-day moving average, enter a long trade.
3. Exit the trade when VIX trades (intraday) below the previous day's 10-day moving average.

I have decided not to include short trades like in the book as the backtest results were consistently negative.

Parameters

Short-Term Trend Period: The period of the short-term trend as measured using a simple moving average. (Default: 50, differs from the book)

Percent Above: The percentage above the short-term trend VIX must close in order to enter a long trade. (Default: 10)

Backtest Results

SPY

QQQ

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