Trading SPY And S&P 500 Using VIX (VIX Trading Strategies):

Trading SPY And S&P 500 Using VIX (VIX Trading Strategies):

Trading SPY And S&P 500 Using VIX (VIX Trading Strategies). The VIX is a popular measure of the implied volatility of S&P 500 index options. Put shortly, the VIX is a mean reversion indicator: when the risk premium increases (VIX is rising in value) it might be wise to buy stocks and sell when VIX drops in value.

We backtest the following trading rules:

We're using a 10-day moving average for the BB. I like to use short time frames since they are more responsive. First, let's try with a standard deviation of 3 for the upper band. When testing, there is no fills using 3 STD.

Below are the results using a standard deviation of 2.5

Can the strategy be improved or made different? If you have any suggestions, please comment . thank you HAPPY NEW YEAR 2024 ALL