For example, an uptrend consists of a series of higher highs and higher lows as prices zigzag higher. Chart 2 shows IBM with the day, day, day and day Rate-of-Change. This is a fantastic indicator! An optimal value appears around In general, prices are rising as long as the Rate-of-Change remains positive. Effective Indicators for Trading Strategies. If the tsrategy period lasts longer than expected.
I got this strategy from Simon Thornington, who posted it in the trading strategy ideas thread. The original description can be found here. It uses the 2 period RSI of the VIX and the asset price SPY in this case to determine entry and exit points. Price must be above its day moving average. RSI 2 on price must be below Buy when RSI 2 of the VIX stgategy above Exit when RSI 2 of the price rises above 65 Hi David. I have added the opposite with short position and a neutral position.
This doubles the return. I would like to add a stop loss and a trend indication so that a position is kept longer on a trend. Last but not least: how to get hold of vix data? The quandl is not up to date for Calculating it realtime sfrategy not possible since option data is needed. In a sidewards pattern there is less to trade, so maybe decrease the days dynamically? J, realtime vix data would be ideal, it might be sort of hack, but one idea is to use the VIX futures ETFs as a proxy for the VIX.
Taking the log of the futures price seems to linearize the price nicely. I found a few futures ETFs and scaled the prices to a similar range for plotting, you can see they follow the same general trend of the VIX. Another source of VIX data is Yahoo. Here's a function to generate the url for their historical csv data. You could try this instead of using Quandl. Tranzactii pe forex will try later. I just copy-past my results. I would like to add stop-loss and limit the drawn down.
There seems a huge difference in using daily or minute sgrategy. The ETF instead of VIX data does not give similar effect. I used the VXXX strahegy and not the math. I guess the math. The batch transform function is being depreciated in favor of the history functionso I would start by vix rsi strategy that out when working in minute mode. I am not positive, but my guess is that you are running into a pretty common problem that comes up when switching from daily to minute mode. Also, the 'target' style orders are naive to any pending open orders that you may have.
The safest way around that is to not trade when you have open orders, the line below should handle that. As for the trading on every bar, I'm guessing you really only want to trade once per day. I wrote this post a while ago to demo one way to handle switching from daily to minute mode. If you look around at other minute data examples vix rsi strategy will find something that works for you. Also, when switching from daily to minute bars, the results should be in the same ballpark, but don't expect them to be exactly the same.
Ri every order fills at the close price of each day, the input data is different, which means the output will also be vix rsi strategy. Hopefully I covered the issue you ran into, you can message me from my profile page if you run into any issues, I'd like to see this algo on run minute data too. Here is a pipeline version of the code. It uses the ETF VXX to mimic VIX. However, because VXX only started trading in the backtest can only be run from that time.
Another pipeline version which uses the Quandl data for VIX from quantopian. This data goes back to Jan so can backtest further. Also doesn't have the error that VXX has. Sorry, something went wrong. Try again or contact us by sending feedback. Point72 is a family office. Point72 does not seek, solicit or accept investors that are not eligible family clients. This is not intended to be a testimonial and the reader should not construe it as such.
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Exit when RSI 2 of the price rises above There was an error loading this backtest. There was a runtime error. Sorry for the inconvenience. Try using the built-in debugger to analyze your code. If you would like help, send us an email. You can pass datetime objects instead of strings as well. Does anyone have the updated version of this code? I tried running but am getting errors. Please sign in or join Syrategy to post a reply.
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Do RSI and Bollinger bands really work? // RSI indicator strategy, Bollinger bands trading strategy
Find More of the Fashion You Love. Shop New Season Vix at Lyst. Find Strategic for less. eBay - it's where you go to save. Description The VIX RSI Strategy. Larry Connors and Cesar Alvarez talk about taking advantage of the VIX as an indicator for trading the SPY in their excellent book.