einok
msg #88014
- Ignore einok
modified |
2/9/2010 5:17:42 PM
I found these rules for Connors VIX Reversal 3 (step 3 added by Dave Landry)
For Buys:
1. Today, the low of the VIX must be above its 10-day moving average.
2. Today, the VIX must close at least 10% above its 10-day moving average.
3. Today, the VIX must close below its open (this is Landry’s modification).
4. Once Rules 1 – 3 have been met, buy the market on close.
5. Exit (on the close) the day the VIX trades (intraday) below yesterday’s 10-day moving average (reversion to the mean).
For Sells:
1. Today, the high of the VIX must be below its 10-day moving average.
2. Today, the VIX must close at least 10% below its 10-day moving average.
3. Today, the VIX must close above its open (this is Landry’s modification).
4. Once Rules 1 – 3 have been met, sell the market on close.
5. Exit (on the close) the day the VIX trades (intraday) above yesterday’s 10-day moving average (reversion to the mean).
Can you test this and report the effect that step 3 in both Buys and Sells would have? Instead of 10day, can you also test 20 day?
Thanks
Erik
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