ninjatrader/strategies/vix-5-percent

VIX 5% Bot

This swing trading strategy was taken from chapter 5 in Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

1. If VIX is 5% or more above its 10-day moving average, enter a long position (e.g., on SPY).
2. Exit the position when VIX is 5% or more below its 10-day moving average.

Backtest Results

SPY

QQQ

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