VIX Crossing — Strategy by llbot
By llbot
Performance Metrics
- Author: llbot
- Symbol: CME_MINI:MNQ1!
- Timeframe: 1 day
- Net P&L: +17,911.50 USD (+36.20%)
- Win Rate: 61.2%
- Profit Factor: 1.998
- Max Drawdown: 3,792.00 USD (5.31%)
- Total Trades: 134
Description
# VIX Crossing Strategy## OverviewVIX Crossing is a quantitative trading strategy that combines volatility signals from the VIX index with trend confirmation from the Nasdaq-100 (NDX) to generate long entry signals. The strategy employs multiple exit conditions to manage risk and lock in profits systematically.## Strategy Logic### Entry ConditionThe strategy initiates a long position when:- **VIX Crossunder**: The VIX closing price crosses below its 5-bar simple moving average (SMA), signaling a decrease in implied volatility- **AND NDX Confirmation**: The Nasdaq-100 closes above its 21-bar exponential moving average (EMA), confirming uptrend strengthThis dual-signal approach reduces false entries by requiring both volatility normalization and positive market momentum.### Exit ConditionsThe strategy automatically closes positions when any of the following conditions are met:1. **VIX Crossover (Volatility Exit)**: VIX closes above its SMA, indicating rising volatility2. **Time-Based Exit**: Position is force-closed after 10 bars from entry, preventing prolonged drawdowns3. **Take-Profit Exit**: Position closes when unrealized profit exceeds $3,000 per contract4. **Stop-Loss Exit**: Position closes when unrealized loss exceeds $1,500 per contractExit conditions are evaluated each bar while the position is open, with explicit logging of the exit reason for trade analysis.## Configuration Parameters| Parameter | Default | Purpose ||-----------|---------|---------|| VIX SMA Length | 5 | Smoothing period for VIX volatility baseline || NDX EMA Length | 21 | Smoothing period for Nasdaq-100 trend confirmation || Force Close After X Bars | 10 | Maximum holding period in bars || TP Amount per Contract | $3,000 | Profit target per contract || SL Amount per Contract | $1,500 | Loss limit per contract |## Risk Management Features- **Position Sizing**: Capital allocation based on profit/loss per contract rather than fixed units, allowing for scalable risk- **Dual Risk Controls**: Combined time-based and price-based exits prevent extended exposure- **Profit Asymmetry**: 2:1 profit-to-loss ratio encourages risk/reward discipline- **Contract-Based Accounting**: Profit targets and stop losses scale with position size## Capital Requirements- **Initial Capital**: $50,000- **Commission**: $3 per contract (cash-based)- **Instrument**: Designed for index-based derivatives or equities with liquid options markets## Technical Indicators Used- Simple Moving Average (SMA) for VIX smoothing- Exponential Moving Average (EMA) for NDX trend detection- Crossover/Crossunder detection for signal generation## Underlying Assumptions1. VIX crossunder events represent mean-reversion opportunities in Nasdaq-heavy portfolios2. NDX EMA confirmation filters out uncorrelated volatility spikes3. 10-bar holding period aligns with typical mean-reversion timeframes4. Contract-based profit targets accommodate varying leverage levels