ninjatrader/strategies/vix-above-and-below-moving-average

VIX Above and Below Moving Average

The idea for these strategies comes from chapter 10 of How Markets Really Work (2012) by Larry Connors.

As with most of the strategies from this book, they are meant to illustrate certain characteristics of the market rather than be traded directly.

Rules

VIX Above Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more above its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

VIX Below Moving Average

1. The asset (e.g., SPY) must be above its 200-day moving average.
2. If VIX closes 10% or more below its 10-day moving average, enter a long trade.
3. Exit the trade after 5 trading days (~1 week).

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