Published by Q Merlin
2 days ago
Stolen from Larry Connors Book "Buy The Fear, Sell The Greed – 7 Behavioral Quant Strategies for Traders". Here's a short description:
With VXX the goal is to get short at the proper time, climb aboard as it declines, and stay aboard as long as possible. We also want to exit early if there’s a change in trend because if there is we can safely be in cash. How do we do this? It’s fairly simple: with moving average crossovers. A moving average crossover simply takes two different period moving averages. When the shorter period crosses below the longer period moving average, you go short VXX. When it crosses above its longer-term moving average you exit and go into cash.
The rules are simple for the VXX Trend Strategy and the test results are solid, especially for a trend-following methodology.
- When the 10-period simple moving average (SMA) (we also tested an exponential moving average, EMA) crosses under its 30-period SMA, short VXX. (If you use the exponential moving average, short VXX when its 10-period EMA crosses under its 30-period EMA.)
- Stay short until the 10-period SMA (EMA) crosses above its 30-period SMA (EMA).
I have extend the System with a 15% Stop-Loss. Instead of shortening VXX, you can also go Long on SVXY or ZIV. I prefer VXX because the ETF has enough liquidity.
APR: 15.10% • WIn Rate: 54.55% • Sharpe: 0.91