1.3 KiB
1.3 KiB
VIX RSI
This strategy was taken from chapter 12 of Short Term Trading Strategies That Work (2008) by Larry Connors.
Rules
- The asset (e.g., SPY) is above its 200-day moving average.
- 2-period RSI of VIX is greater than 90.
- The current day's VIX open is greater than the previous day's close.
- If the 2-period RSI of the asset is below 30, enter a long trade.
- Exit the trade when the 2-period RSI closes above 65.
Parameters
Long-Term Trend Period: The period to use in the long-term trend calculation as measured by a simple moving average. (Default: 200)
RSI Period: The period to use in the RSI calculations. (Default: 2)
RSI Smoothing: The smoothing to use in the RSI calculations. (Default: 1)
RSI Entry Threshold: The RSI value below which to allow for entering a trade. (Default: 30)
RSI Exit Threshold: The RSI value above which to exit the trade. (Default: 65)
VIX RSI Entry Threshold: The RSI value of VIX above which to allow for entering a trade. (Default: 90)
Backtest Results
SPY
