51 lines
2.0 KiB
Markdown
51 lines
2.0 KiB
Markdown
# VIX Stretches
|
|
|
|
This strategy was taken from chapter 12 of [*Short Term Trading Strategies That Work*](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.
|
|
|
|
I would advise against trading this strategy as is, however.
|
|
|
|
Refer to the [backtest results](#backtest-results) in order to understand why.
|
|
|
|
## Rules
|
|
|
|
1. The asset (e.g., SPY) is above its 200-day moving average.
|
|
2. If VIX is stretched 5% or more above its 10-day moving average for 3 or more days, enter a long trade.
|
|
3. Exit the trade when the 2-period RSI closes at or above 65.
|
|
|
|
## Parameters
|
|
|
|
**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 200)
|
|
|
|
**VIX Moving Average Period**: The period use to calculate the simple moving average of VIX. (Default: 10)
|
|
|
|
**VIX Threshold Percentage**: The percentage above the simple moving average that VIX has to be in order to enter a trade. (Default: 5)
|
|
|
|
**VIX Stretch Days**: The minimum number of days required for VIX to be stretched above its moving average. (Default: 3)
|
|
|
|
**RSI Period**: The period of the RSI calculation used to exit trades. (Default: 2)
|
|
|
|
**RSI Smoothing**: The smoothing of the RSI calculation used to exit trades. (Default: 1)
|
|
|
|
**RSI Exit Threshold**: The value of the RSI calculation at or above which to exit trades. (Default: 65)
|
|
|
|
## Backtest Results
|
|
|
|
### SPY
|
|
|
|
|
|
|
|
|
|
|
|
### QQQ
|
|
|
|
|
|
|
|
|
|
|
|
### DIA
|
|
|
|
|
|
|
|
|
|
|
|
--- |