[101 Trading Ideas] Trade the Next Move #strategy #101tradingideas

This is an example of using 101 Trading Ideas to find different ways to think about extreme events.

101 Trading Ideas:

#20 Trade the next move, also Inversion from Farnham Street Blog Models

Triggered Idea:

Instead of trying to time the current move, wait for the next one; instead of trying to catch a falling knife, catch a bouncing one

Start at the end of the current move and work forwards from there.

From Triggered Idea to Trading Strategy:

What happens after an extreme in VIX is followed by a pause. Think of the pause as the end of the current move.

Long Rules (reversal strategy, always in market)

20 days ago VIX closed > 35

then buy es

Short Rules:

none, long only


After 40 days

Results (2006-p)

trades: 8

w/l: 62%, 5 wins of 8 trades

avg trade: 42.13 pts

z: 1.89

profitable all years except 2008


A rough draft, alpha hunt idea. Not a complete strategy.

There is risk in trading. Most strategies degrade when moving from in-sample backtests to out-of-sample live markets. Be careful.

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