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This uses cover in place of the incorrect double sell! (just not my
day!
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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