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