VixFixLinReg-Strategy

2021년 4월 27일

This idea came up while discussing about strategies with one of the trading enthusiast from tradingview community.

Strategy basically uses existing script of Vix Fix by Chris Moody:

VixFix is a great indicator for finding the market bottoms. But, sometimes it generates signal too early. But, we can apply linear regression on vix fix to find vix fix top to make timing much better.

Entry condition:

• Wait for Vix fix bar to turn lime.
  
• Once vix fix is turned lime, then wait for linear regression (shown below 0) to turn lime from green. This indicates VIX-Fix has started declining.
  
• Go long once above two conditions are satisfied
  

Exit Condition:

• ATR Based Stop
  
• Applied only if linear regression is green - which means VixFix rising.
  

Note: This is ideal for identifying market bottom. May not yield good results on individual stocks.