32 lines
1.1 KiB
Markdown
32 lines
1.1 KiB
Markdown
# VXX Trend
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This strategy was taken from chapter 6 of [*Buy the Fear, Sell the Greed*](https://moshferatu.dev/moshferatu/buy-the-fear-sell-the-greed) (2018) by Larry Connors.
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## Rules
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1. When the 10-period moving average crosses under the 30-period moving average, enter a short trade on VXX.
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2. Exit the trade when the 10-period moving average crosses above the 30-period moving average.
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## Parameters
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**Short-Term Trend Period**: The period of the short term trend as measured using a simple moving average. (Default: 10)
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**Long-Term Trend Period**: The period of the long-term trend as measured using a simple moving average. (Default: 30)
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## Backtest Results
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### /VX
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Including backtest results for the VIX futures since the VXX data I have goes back only as far as 2018.
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### VXX
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