NYSE:MA-1.6*NYSE:V Revision: 1 Author: @ozdemirtrading Revision 2 Considerations : - Simplify and clean up plotting Disclaimer: This strategy is currently working on the 5M chart. Change the length input to accommodate your needs. For the backtesting of more than 3 months, you may need to upgrade your membership. Description: The general idea of the...
Strategy version of Combo Z Score Objective: Can we use both VIX and MOVE relationships to indicate movement in the SPY? VIX (forward contract on SPY options) correlations are quite common as forward indicators however MOVE (forward contract on bonds) also provides a slightly different level of insight Using the Z-Score of VIX vs VVIX and MOVE vs inverted VIX...
It is a long only strategy. 1. Buy when price breaks out of the upper band. 2. Exit has two options. Option 1 allows you to exit using lower band. Option 2 allows you to exit using moving average. 3. Option 1 preferred over option 2 if the instrument is highly volatile. 4. Slippage and commissions are not considered in the return calculation.