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Model - Larry Connors VXX Trend Following
Created by Q Merlin 25 days ago
, last modified 25 days ago
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C# Coded Model


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These models are programmed in the C# language and utilize the Microsoft .NET framework. A Quantacula model is a C# class derived from the UserModelBase base class.

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Model Name
Larry Connors VXX Trend Following

Description
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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.

  1. 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.)
  2. 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.


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Q VKQ1 posted 24 days ago

Just did some quick tests on the web site and it seems that the 15% stop-loss is the sweet spot (optimum). When was that strategy published?

Just did some quick tests on the web site and it seems that the 15% stop-loss is the sweet spot (optimum). When was that strategy published?
Q Merlin posted 23 days ago, and edited 23 days ago

In April 2018. I'm always using stops less than 10%. But trading volatility requires larger stops. Depending on your asset size you may get better results while adjusting the stop but i would never go further than 20%.

In April 2018. I'm always using stops less than 10%. But trading volatility requires larger stops. Depending on your asset size you may get better results while adjusting the stop but i would never go further than 20%.
The author deleted this post 13 days ago
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