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Dimitris,
Nice article. I've attempted to translate the two CVR systems to AB.
Here is his description of CVR 3:
The rules for the CVR 3 are as follows:
For Buys:
Today, the low of the VIX must be above its 10-day moving average.
Today, the VIX must close at least 10% above its 10-day moving average.
If rules 1 and 2 are met, buy the market on the close.
Exit (on the close) the day the VIX trades (intraday) below yesterday's
10-day moving average (reversion to the man). Or exit within two to four days.
For Sells:
Today, the high of the VIX must be below its 10-day moving average.
Today, the VIX must close at least 10% below its 10-day moving average.
If rules 1 and 2 are met, sell on the close.
Exit (on the close) the day the VIX trades (intraday) above yesterday's
10-day moving average (reversion to the mean). Or exit within two to four
days.
Attached is my translation, and the results since 1997 for ^SPX (his
suggested trading vehicle)
Be very suspicious of my translation - any corrections most welcome.
Steve
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