This is a variation on my RSI2 short system, except it BUYs based on RSI2 signal on the VIX.
Rule: Buy DIA or SPY when RSI2 of VIX meets the following criteria:
today > 95
yesterday > 90
day before yesteday > 80
Use stop loss of 5%
Sell when RSI2 of VIX < 65
Going back 20 years, this trade system is 68-70% winner, with a max drawdown of $13k on a hypothetical $100k trading account. Net profit has been $22k on 41 trades, avg bar held is 2 days! Which means that in 80 days, you made about 20% in profit, or about .25% a day, or 200% a year (approximate if you use 200 trading days a year).
If you can find a handful of trading strategies like this on different vehicles (bonds, commodities, etc) that money can rotate around make quite a bundle.
VIX bottom picker
Started by
dcengr
, Jul 17 2007 10:03 PM
1 reply to this topic
