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VIX RSI Strategy by Connors and Alvarez

Connors and Alvarez VIX RSI strategy for thinkorswim

VIX RSI Strategy for ThinkOrSwim

Larry Connors and Cesar Alvarez talk about taking advantage of the VIX as an indicator for trading the SPY in their excellent book, “Short Term Trading Strategies that Work“. The idea is that you want to trade the SPY or SPX long when the VIX gets extended and the market is pulling back. Based on that general principle, they have developed a way to quantify these variables, and packaged these ideas together in the VIX RSI strategy. The idea is that when the VIX gets a specific overbought reading on a short term RSI setting, and the market gets a specific oversold reading on the same RSI setting, and additionally the VIX has a unique opening pattern, the historical odds greatly favor a long on the SPY.

The Authors’ Stats:

  • Instrument: SPY
  • Win Rate: 79.35%
  • # Trades: 92
  • SPX points gained: 879.46
  • Avg. Holding Time: under 5 days

What You Get

  • The VIX RSI strategy file for thinkorswim
  • All parameters include the default settings from the authors that gave such a terrific result
  • All parameters are customizable in the properties menu, including SPY sma length, RSI length, RSI overbought/oversold parameters, etc.
  • Customizable market hours
  • Option to use a percentage-based stop or not to use a stop
  • Specify the size of stop to use, if any
  • Customizable colors

Why You Want It

  • The extremely high win/loss ratio on the SPY and SPX, as demonstrated by the authors, makes it an easy strategy to trade from a psychological standpoint
  • Option to add a stop makes the strategy even more easy to trade
  • Long-only strategy further makes it suitable for almost anyone, regardless of the type of account they trade out of
  • Ability to quantitatively backtest the strategy on multiple instruments, timeframes, and conditions affords more peace of mind and encourages traders to fully trust in their system
  • The ideas behind this strategy and its edge can be taken and further customized to your trading style to create a unique edge that only you know about

How it Works

The VIX RSI strategy is fairly simple to understand: the idea is we want to buy the SPY when the VIX gets overbought and additionally opens above its prior day’s close. Under the default settings, when the VIX has a reading over 90 on the RSI(2) and opens above yesterday’s close, and the market itself is currently trading above its 200 day SMA (indicating a primary uptrend), and the market itself also has an RSI(2) reading under 30, then a buy signal is issued. A sell signal is issued when the RSI(2) of the SPY closes above an overbought reading of 65.

 


$69.99 $49.99 Add to cart

 

Connors and Alvarez VIX RSI strategy for thinkorswim

Connors and Alvarez VIX RSI strategy for thinkorswim

 


$69.99 $49.99 Add to cart

 

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VIX Stretches Trading Strategy for SPY

VIX Stretches by Connors and Alvarez

The VIX Stretches Trading Strategy for ThinkOrSwim

The VIX Stretches Trading Strategy is discussed by Larry Connors and Cesar Alvarez in their excellent book, “Short Term Trading Strategies that Work“. The strategy is based on the idea that when the VIX gets stretched above its simple moving average by a certain amount, and it stays stretched for a certain number of days, the statistical likelihood of a market advance increases, giving edge to people buying the market.

The Authors’ Stats:

  • Instrument: SPY
  • Win Rate: 84.85%
  • # Trades: 33
  • SPX points gained: 363.9
  • Avg. Holding Time: under 5 days

What You Get

  • The VIX Stretches strategy file for thinkorswim
  • All parameters are customizable in the properties menu, including SPY sma length, VIX sma length, VIX stretch percent, RSI parameters, etc.
  • Customizable market hours
  • Option to use a percentage-based stop or not to use a stop
  • Specify the size of stop to use, if any
  • Customizable colors

Why You Want It

  • The extremely high win/loss ratio on the SPY and SPX, as demonstrated by the authors, makes it an easy strategy to trade from a psychological standpoint
  • Option to add a stop makes the strategy even more easy to trade
  • Long-only strategy further makes it suitable for almost anyone, regardless of the type of account they trade out of
  • Ability to quantitatively backtest the strategy on multiple instruments, timeframes, and conditions affords more peace of mind and encourages traders to fully trust in their system

How it Works

The VIX stretch strategy is fairly simple to understand: the idea is we want to buy the SPY when the VIX gets stretched — and stays stretched — above its 10-period SMA for several days. Under the default settings, when the VIX is stretched more than 5% above its 10-period SMA for 3 days, and the market itself is currently trading above its 200 SMA (indicating a primary uptrend), then a buy signal is issued. A sell signal is issued when the RSI(2) of the SPY closes above an overbought reading of 65.

 


$69.99 $49.99 Add to cart

 

VIX Stretches Trading Strategy
VIX Stretches Trading Strategy

 


$69.99 $49.99 Add to cart