ninjatrader/strategies/vix-5-percent

VIX 5% Bot

This swing trading strategy was taken from chapter 5 in Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
2. Exit the position when VIX is 5% or more below its 10-day moving average.

Parameters

Even though the strategy is based on 5% moves above / below the VIX moving average, both the entry and exit thresholds can be configured.

Entry Percent: The percentage above the moving average VIX must be to enter a long trade. (Default: 5)

Exit Percent: The percentage below the moving average VIX must be to exit the position. (Default: 5)

Moving Average Period: The period of the moving average used to measure VIX movement. (Default: 10)

Backtest Results

SPY

QQQ

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