PhilipMember12/28/2014 at 7:11 pmPost count: 6
Was reading Frank’s excellent “Strategies For Trading Inverse Volatility” write-up and have a question – if one were to use 5/15 day SMA’s as technical indicators (in addition to other indicators), does Frank’s article imply the following:
1. If VXX crosses above 15-day SMA, exit (cover) next day at open.
2. If VXX crosses below the 5 day SMA, go short next day at open.
3. If VXX stays between two SMAs, keep the short as-is.
Is that the correct interpretation of what’s described in the article?
Frank GrossmannModerator12/29/2014 at 4:25 pmPost count: 169
It refers to my old article http://logicalinvest.wordpress.com/2013/12/07/strategies-for-trading-inverse-volatility/
You have the two 5 and 15 day SMA lines of VXX. If the 5 day line crosses the 15 from above to below, then you can short VXX. This is normally after a VIX spike.
If the 5 day line crosses the 15 day line from below to above, then you should close the position the next day at open.
So, only have an open position if the 5 day line is below the 15 day line.
It is important that you check on the VXX charts if this is still a good strategy. These parameters can change over time.
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