System for trading $VIX


Is it possible to program this in AB?

With that in mind, here is my “system” for trading $VIX spike peak buy signals. I should say that I created this from my past observations and, since it tested well, I did not feel it was necessary to test further scenarios. However, if anyone wants to, that would be fine with me.

  1. identify a sharply rising or “spiking” $VIX. For my purposes $VIX is “spiking” if it has increased 3 points over the last day, or over the last two days, or over the last three days, close to close. Thus, if $VIX closed at 13 today, then if it closes above 16 on any of the following three days, it would be in “spiking” mode.
  2. once $VIX is “spiking,” we look for a spike peak. In this mode, we keep track of the highest intraday price that has been reached. A spike peak occurs if $VIX closes any day at least three (3) points lower than the highest intraday price of the recent “spiking” sequence. $SPX is bought at that close.
  3. the system is stopped out if $VIX subsequently closes above the afore-mentioned highest intraday price.

We monitored the signals for 22 trading days, noting the gains or losses after 1 trading day, 3 days, 5 days, 10 days, and 22 days (approximately one trading month). If the signal is not stopped out, no new signal can arise even if it otherwise would have by the above rules. Once the 22 days had passed or the system was stopped out, only then was a new “spiking” status watched for.

This is the reference link:

Thanks for your help,