ninjatrader/strategies/vix-rsi

VIX RSI

This strategy was taken from chapter 12 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. The asset (e.g., SPY) is above its 200-day moving average.
2. 2-period RSI of VIX is greater than 90.
3. The current day's VIX open is greater than the previous day's close.
4. If the 2-period RSI of the asset is below 30, enter a long trade.
5. Exit the trade when the 2-period RSI closes above 65.

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