the standard VIX BB system using Bollinger Band length of 20
with Stdev of 2 and -2 for longs and shorts. Here's a custom
version that uses different Bollinger Band settings for longs and
shorts and the exits are a close above or below a short term MA.
The stats are good, though at times it will scale in 2, 3 or
a maximum of 4 entries. The system is raw without filters
really, with some good filters one could improve the trades, which
I'll look to add
I added the stats and settings and some trade examples
it's basically a mean reversion system
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Custom SPY VIX Bollinger Band strategy
Posted by matt on 24th of Apr 2024 at 04:26 pm
the standard VIX BB system using Bollinger Band length of 20 with Stdev of 2 and -2 for longs and shorts. Here's a custom version that uses different Bollinger Band settings for longs and shorts and the exits are a close above or below a short term MA. The stats are good, though at times it will scale in 2, 3 or a maximum of 4 entries. The system is raw without filters really, with some good filters one could improve the trades, which I'll look to add
I added the stats and settings and some trade examples
it's basically a mean reversion system