ninjatrader/strategies/vxx-trend

VXX Trend

This strategy was taken from chapter 6 of Buy the Fear, Sell the Greed (2018) by Larry Connors.

Rules

1. When the 10-period moving average crosses under the 30-period moving average, enter a short trade on VXX.
2. Exit the trade when the 10-period moving average crosses above the 30-period moving average.

Parameters

Short-Term Trend Period: The period of the short term trend as measured using a simple moving average. (Default: 10)

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 30)

Backtest Results

/VX

Including backtest results for the VIX futures since the VXX data I have goes back only as far as 2018.

VXX

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