35 lines
1.4 KiB
Markdown
35 lines
1.4 KiB
Markdown
# Connors VIX Reversal 3
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This strategy was taken from chapter 2 of [*Connors on Advanced Trading Strategies*](https://moshferatu.dev/moshferatu/connors-on-advanced-trading-strategies) (1998).
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It is the third and final [Connors VIX Reversal](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/connors-vix-reversals) presented in the book.
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## Rules
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1. The low of the VIX must be above its 10-day moving average.
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2. If the VIX closes at least 10% above its 10-day moving average, enter a long trade.
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3. Exit the trade when VIX trades (intraday) below the previous day's 10-day moving average.
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I have decided not to include short trades like in the book as the backtest results were consistently negative.
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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: 50, differs from the book)
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**Percent Above**: The percentage above the short-term trend VIX must close in order to enter a long trade. (Default: 10)
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## Backtest Results
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### SPY
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### QQQ
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