ninjatrader/strategies/vol-panics/README.md

Vol Panics

This strategy was taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors.

Rules

1. When VXX is trading above its 5-period moving average and its 4-period RSI is > 70, enter a short trade.
2. Exit the trade if VXX closes under its 5-period moving average.

Parameters

Moving Average Period: The period used in the simple moving average calculation. (Default: 5)

RSI Period: The period used in the RSI calculation. (Default: 4)

RSI Smoothing: The smoothing used in the RSI calculation. (Default: 1)

Entry Threshold: The RSI value above which to enter the short trade. (Default: 70)

Backtest Results

/VX

---